Siem Jan Koopman 2015
VU University Amsterdam
CREATES, Aarhus University
Tinbergen Institute
VU Econometrics
The
Department of Econometrics and OR
is part of the
Faculty of Economics and Business Administration
of the
Vrije Universiteit Amsterdam or,
in English,
VU University Amsterdam.
VU Econometrics group
Staff
- dr. K. Azam (PhD Warwick University, UK) -- joint with Department of Finance
- dr. F. Bijleveld (PhD VU University, NL)
- dr. F. Blasques (PhD Maastricht University, NL)
- dr. C.S. Bos (PhD Erasmus University Rotterdam, NL)
- dr. K. Boudt (PhD K.U. Leuven, Belgium)
- dr. L. Callot (PhD CREATES Aarhus University, Denmark)
- dr. L. Hoogerheide (PhD Erasmus University Rotterdam)
- prof. dr. S.J. Koopman (PhD London School of Economics, UK)
- dr. K.A. Lasak (PhD University Autònoma, Barcelona, Spain)
- dr. R. Okui (PhD University of Pennsylvania, Philadelphia, USA)
- dr. M. Ooms (PhD Erasmus University Rotterdam, NL)
- dr. J. Schaumburg (PhD Humboldt-Universität Berlin, Germany)
Visiting Professors
PhD students
Visiting PhD students
Former PhD students
- dr. F. Bijleveld (SWOV Institute for Road Safety Research, Netherlands)
- dr. V. Dordonnant (Data Scientist, RTE - Reseau de Transport d'Electricite, La Defense, Paris)
- dr. I. Hindrayanto (Economic Research, De Nederlandsche Bank, Amsterdam)
- prof. dr. M. Francke (Professor, Amsterdam Business School, University of Amsterdam and Ortec Finance Research)
- dr. P. Janus (UBS Research, Zurich)
- dr. B. Jungbacker (Morgan Stanley, London)
- dr. K.M. Lee (Ortec Finance Research)
- dr. R. Luginbuhl (CPB Netherlands Bureau for Economic Policy Analysis)
- dr. G. Mesters (Assistant Professor, Department of Economics and Business, Universitat Pompeu Fabra, Barcelona GSE)
- dr. M. Scharth (Lecturer, The University of Sydney Business School, Australia)
- dr. B. Schwaab (Financial Research, European Central Bank, Frankfurt)
- dr. S. Vujic (Associate Professor in Econometrics, Department of Economics, University of Antwerp)
- dr. M. van der Wel (Associate Professor, Econometric Institute, Erasmus University and CREATES, University of Aarhus, Denmark)
- dr. Xin Zhang (Economic Research, Sveriges Riksbank, Stockholm, Sweden)
Former visiting researchers at VU Econometrics
- dr. Joao Valle e Azevedo (Banco de Portugal, PhD Stanford University)
- dr. Marco Bazzi (European Central Bank, PhD University of Padova, Italy)
- dr. Francesco Calvori (University of Florence)
- Marcos Cascone (UNICAMP, University of Campinas, Brazil, Department of Statistics and Scientific Computing)
- prof. dr. Drew D. Creal (Booth Graduate School of Business, University of Chicago, PhD University of Washington)
- dr. Maria Angeles Carnero Fernandez (University of Alicante, PhD University Carlos III, Madrid)
- dr. Carolina Garcia Martos (PhD, Technical University of Madrid, UPM)
- prof.dr. G. Valle Moura (Universidade Federal de Santa Catarina, Department of Economics)
- dr. Stefano Grassi (CREATES, University of Aarhus, Denmark)
- dr. Philip Gould (PhD, Monash University, Australia)
- Xiaowen Jin (Hong Kong University)
- dr. Johannes Tang Kristensen (CREATES, University of Aarhus, Denmark)
- Xiuping Mao (University Carlos III, Madrid, Department of Statistics)
- Matias Pacce (University of Alicante, Department of Economics)
- Desislava Petrova (Institut Català de Ciències del Clima, Barcelona)
Student assistant
Web master
Secretaries
Vacancies / Job openings
-
If you are interested in
visiting our group for a short period, you can contact
SJK.
Research interests
-
Dynamic regression and time series
-
Time-varying parameters
-
Kalman filter and state space methods (linear/nonlinear, Gaussian/non-Gaussian)
-
Simulation-based estimation (Bayesian and classical)
-
Stochastic volatility
-
Dynamic factor analysis
-
Long memory and fractional integration
-
Periodic time series models
-
Electricity load and price forecasting
-
Modelling (interest rate) term structures / yield curve
-
Business, default and credit cycles
-
Seasonal adjustment
BSc Econometrics and OR
The bachelor program includes various
mathematical and statistical courses
such as Basic Mathematical Skills,
Analysis, Calculus, Linear Algebra, Programming,
Probability and Mathematical Statistics.
The core of the program consists of courses related to
Econometrics, Mathematical Economics and Operations Research.
In addition, a number of economics subjects need to be
studied including Macroeconomics, Finance, Marketing and
Accounting.
The Econometric courses for which our group is responsible
are
- Econometrics 0 (Year 1, January block, 2 ECTS)
- Academic Skills (Year 1, June block, 6 ECTS)
- Introduction to Econometrics (Year 2, first semester course, 6 ECTS)
- Numerical methods (Year 2, 6 ECTS)
- Econometrics (Year 2, second semester course 6 ECTS)
- Econometrics Case (Year 2, 3 ECTS)
- Essay (Year 3, 3 ECTS)
- Financial Econometrics (Year 3, semester 2, 6 ECTS)
- Time Series (Year 3, semester 2, 6 ECTS)
The bachelor programme can be completed in three years
and concludes with the writing of a
thesis.
MSc Econometrics
The master program in Econometrics at VU University
provides you with the opportunity to study
Econometrics in depth.
The program takes one year and is worth 60 credit points (ECTS).
It focuses on econometric theory and methods
with a focus on applications in economics and finance.
- Period 1 (Sept--Oct)
- Advanced Econometrics 1
- Course in Economics/Finance/Mathematics/Statistics
- Period 2 (Nov--Dec)
- Advanced Econometrics 2
- Course in Economics/Finance/Mathematics/Statistics
- Period 3 (Jan)
- Case study Financial Econometrics
- Period 4 (Feb--Mar)
- Time Series Econometrics
- Course in Economics/Finance/Mathematics/Statistics
- Period 5 and 6 (Apr--Jun)
- Optional Capita Selecta
- Thesis
The thesis can be based on practical or theoretical work.
The first option gives you the opportunity to analyse
real-life problems in finance or economics.
The second option allows you to focus on your topic of interest
by studying the relevant literature and doing independent
scientific work but with the support of the academic staff.