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|2015-present||Associate Professor at the Department of Quantitative Economics, Maastricht University.|
|2012-2015||Assistant Professor at the Department of Quantitative Economics, Maastricht University.|
|2009-2012||Postdoctoral researcher at the Department of Quantitative Economics, Maastricht University.|
|2004-2009||PhD in Economics at the Department of Quantitative Economics, Maastricht University.
PhD thesis: “Bootstrapping Nonstationary Time Series” (received Christiaan Huygens wetenschapsprijs 2012).
|2000-2004||BSc and MSc in Econometrics at Maastricht University (cum laude)|
Time Series Econometrics, Bootstrap and Resampling Methods, High-Dimensional Statistics, Panel Data Econometrics, Nonparametric Statistics, Macro-Econometrics, Financial Econometrics, Climate Econometrics, Official Statistics.
Publications and Working Papers
- See Research page.
- See Teaching page.
Grants, Honors and Awards
- Elected as member of De Jonge Akademie (2019-2024).
- Maastricht University SBE “Excellent Undergraduate Educator” Award 2017 (+ nominations in 2014-2016).
- NWO MaGW Vidi grant for project “Inference for High-Dimensional Econometric Time Series” (2017-2022).
- Among the four nominees for the Pierson Medaille 2015.
- NWO MaGW Research Talent grant for Ph.D. project “Bootstrap Inference for Risk Measures” (2015-2019), with E. Beutner, F.C. Palm and A. Heinemann.
- Maastricht University SBE “Excellent Young Scholar” Award 2012.
- Received Christiaan Huygens wetenschapsprijs 2012 for my PhD thesis.
- NWO MaGW Veni grant for project “Bootstrap Methods for Time-Varying Processes” (2013-2016).
- PhD thesis received honorable mention (among top 4) for KVS penning 2011.
- GSBE Research Fellow (2011-2018).
- Post-doc position funded by NWO MaGW Open Competition grant for project “Bootstrap Methods for Nonstationary Time Series and Panel Data” (2010–2013) (with J. Urbain and F.C. Palm).
- PhD position funded by NWO MaGW Open Competition grant for project “Bootstrapping Nonstationary Time Series” (2006–2009) (with J. Urbain and F.C. Palm).
- Alexander Heinemann, “Bootstrap Inference for Risk Measures” (defense June 20, 2019; daily co-supervisor; funded by NWO Research Talent grant).
- Hanno Reuvers, “Vector Autoregressions: Lag Order Uncertainty and Least Absolute Deviations” (defense May 14, 2018; co-promotor).
- Robert Adamek, “Honest Inference in High-Dimensional Time Series” (2018-2022; supervisor; funded by NWO Vidi grant)”.
- Adam Jassem, “Enrichment of economic and marketing models with unstructured text data” (2018-2022; supervisor)”.
- Marina Friedrich, “Bootstrap Inference for Nonparametric Time-Varying Coefficient Models” (2014-2018; daily co-supervisor).
- Luca Margaritella, “Inference in High-Dimensional Time Series” (2017-2021; daily supervisor; funded by NWO Vidi grant)”.
- Yicong Lin, “Structural Instability in Time Series Models” (2016-2019; daily co-supervisor)”.
- Caterina Schiavoni, “Big Data as a Data Source for Official Statistics” (2017-2021; daily co-supervisor; funded by Statistics Netherlands).
- Etiënne Wijler, “Analysis of High-Dimensional Time Series Methods” (2015-2019; daily supervisor).
PhD assessment committees
- Dominik Blatt, “Advancements in Structural Break Testing”. (June 21, 2018, member of defense committee)
- Sean Telg, “Mixed Causal-Noncausal Models; Identification, Estimation and Inference”. (December 6, 2017, member of defense committee)
- Artem Duplinskiy, “Persistency in Dynamic Econometric Models”. (March 22, 2017, member of reading committee)
- Lennart Freitag, “Credit Rating Agencies and the European Sovereign Debt Crisis”. (May 12, 2016, member of defense committee)
- Oksana Balabay, “Time Series Modelling in Repeatedly Conducted Sample Surveys”. (May 11, 2016, member of defense committee)
- Dennis Türk, “Electrified – Essays on Trading and Risk Management in Electricity Markets”. (February 5, 2016, member of reading committee)
- Hande Karabiyik, “Estimation and Inference in Cross-Sectionally Dependent Panel Data Models”. (January 21, 2015, member of reading committee)
- Thomas B. Götz, “Modeling Non-stationary and Stationary Mixed Frequency Time Series”. (September 10, 2014, member of reading committee)
- Member of Programme Committee for the annual NESG conference (2013-present).
- Invited as Member of Jury for the Econometric Game, Amsterdam, April 2019.
- Member of Jury for Research Competition hosted by the Institute of Data Science, Maastricht University, January 2018.
- Session Organizer (on Inference for High-Dimensional Econometric Time Series) at the 11th International Conference on Computational and Financial Econometrics (CFE 2017); London, December 2017.
- Member of the local organizing committee of the ESOBE 2017 conference.
- Local organizer of the 2nd Maastricht Workshop on Advances in Quantitative Economics.
- Chair of the local organizing committee of the NESG 2015 conference.
- Session Organizer (on Nonstationary Time Series and Panels) at the 9th International Conference on Computational and Financial Econometrics (CFE 2015); London, December 2015.
- Member of Scientific Committee for (EC)2 Conference; Maastricht, The Netherlands, December 2012.
- Deputy Theme Leader of the GSBE Research Theme on Data-Driven Decision Making (D3M), Maastricht University (2017-present}.
- Member of Steering Committee Institute of Data Science, Maastricht University (2016-present).
- Member of Board of Admission MSc Econometrics and Operations Research.
- Member of Board of Admission MSc Economic and Financial Research.
- Annals of Economics and Statistics, Communications in Statistics – Theory and Methods, Communications in Statistics – Simulation and Computation, Computational Statistics and Data Analysis, Econometrics, Econometric Reviews, Econometric Theory, Economic Modeling, Empirical Economics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Empirical Finance, Journal of Multivariate Analysis, Journal of Applied Statistics, Journal of Time Series Analysis, Macroeconomic Dynamics, Oxford Bulletin of Economics and Statistics, Scandinavian Journal of Statistics, Statistica Sinica, Statistical Methodology, Statistics, Statistics & Probability Letters.
Conference and Seminar Presentations
- 11th International Conference on Computational and Financial Econometrics (CFE 2017); London, December 2017.
- 9th International Conference on Computational and Financial Econometrics (CFE 2015); London, December 2015.
- European Meeting of Statisticians (EMS) 2015; Amsterdam, July 2015.
- 8th International Conference on Computational and Financial Econometrics (CFE 2014); Pisa, December 2014.
- Tilburg University CentER Econometrics and Statistics Seminar; Tilburg, September 2014.
- Workshop on Recent Developments in Bootstrap Methods for Time Series Data; Copenhagen, September 2013.
- NESG conference 2013; Amsterdam, The Netherlands, June 2013.
- (EC)2 Conference; Maastricht, The Netherlands, December 2012.
- 18th International Panel Data Conference; Paris, France, July 2012.
- Amsterdam Econometrics Seminar at Tinbergen Institute; Amsterdam, The Netherlands, October 2011.
- Statistische Woche 2011; Leipzig, Germany, September 2011.
- 10th OxMetrics User Conference; Maastricht, The Netherlands, September 2011.
- 16th International Panel Data Conference; Amsterdam, The Netherlands, July 2010.
- NESG conference 2010; Leuven, Belgium, June 2010.
- NAKE Research Day 2010; Utrecht, The Netherlands, April 2010.
- Econometric Society European Meeting 2009; Barcelona, Spain, August 2009.
- Joint CORE-STAT Econometrics seminar at Center of Operations Research and Econometrics (CORE), Université catholique de Louvain; Louvain-la-Neuve, Belgium, March 2009.
- Conference on Factor Structures for Panel and Multivariate Time Series Data; Maastricht, The Netherlands, September 2008.
- Econometric Society European Meeting 2008; Milan, Italy, August 2008.
- Workshop on Bootstrap and Time Series; Kaiserslautern, Germany, June 2008.
- Inference and Tests in Econometrics: A Tribute to Russell Davidson; Marseille, France, April 2008.
- 1st Meeting of the Methods in International Finance Network; Maastricht, The Netherlands, September 2007.
- Econometric Society World Congress 2005; London, United Kingdom, August 2005.
Executive Teaching & Consultancy
- Joint course developer and teacher of module “Time Series” in BISS Certified Data Science executive education programme.
- Project Leader of “Forecasting Commodity Prices” in collaboration with OCI Fertilizers.
- R, Gauss, C++, Python, Matlab, Ox, LaTeX.
A selection of codes for methods developed in my research is available here.