I am interested in nonparametric methods, nonlinear time series analysis, and applications to large, complex datasets thereof. My current research studies asymptotic properties of infinite-dimensional nonparametric time series regression models.

I am interested in theoretical and applied high-dimensional econometrics. At the moment, I am looking at high-dimensional panel data models. 

My research interests are in financial econometrics, with a focus on nonparametric methods to model risk and dependency in asset prices and their derivatives. Currently I am working on estimating the state-price density using high frequency options data.

Alexis De Boeck

My interest are very broad in theoretical econometrics. Currently, I am looking into methods to conduct inference in point and partially identified nonseparable models.

My primary research interest is financial econometrics.  In one paper I address the issue of inefficient information use in GARCH models, namely that GARCH-type models do not incorporate current information in their modelling. I propose a new model which incorporates also current information. I show that my model improves the precision of both short-run and long-run volatility forecast, as well as providing a conceptual link between GARCH and Stochastic Volatility models. Extending upon this, I develop an asymptotics theory for the QMLE of this new model, which can be seen as a generalization of the asymptotic theory for the QMLE of the standard GARCH (1,1) model.

Shaoran Li
My research interests are applications of nonparametric econometrics on time series model and financial econometrics.

Shuyi Ge
My interests are applied non-parametric methods, I am considering combining non-parametric methods and machine learning to do forecasting in financial market.

Ondrej Tobek
My research focuses on market micro-structure and empirical asset pricing. I am researching impacts of liquidity on stock prices and low-frequency measures of liquidity using trading volume.

Former Students:

Yang Yan (2012) Pictet Asset Management

Lena Boneva (Körber) (2015), Bank of England 

James Brugler (2015, University of Melbourne Business School

Yumin Yen 
(2012) Academica Sinica

Abhisek Banerjee (2011) Nobel Group

Bonsoo Koo (2011) Monash University

Sujin Park (2011) Getco

Ziad Daoud (2011) Fulcrum Asset Management

Sorawoot Srisuma (2010) Postdoc, LSE 

Anisha Ghosh (2009) Tepper School of Business, Carnegie Mellon 

Ilze Kalnina (2009) Universite de Montreal 

Cristian Huse (2007) Stockholm School of Economics 

David Jacho-Chávez, "Identification, Estimation and Efficiency of Nonparametric and Semiparametric Models in Microeconometrics", (2006) - Indiana, Bloomington. 

Dennis Kristensen (2004), "Estimation in Two Classes of Semiparametric Diffusion Models", - Wisconsin, Madison. 

Thong Nguyen (Joint with A. Jeffrey and P. C. B. Phillips), "Essays on the Term Structure of Interest Rates", (2000) - Hong Kong, UST. 

Moto Shintani (Joint with P. C. B. Phillips), "Nonparametric Econometrics for Nonstationary and Chaotic Data", (2000) - Vanderbilt. 

Woocheol Kim (Joint with P. C. B. Phillips), "Nonparametric Analyses of Evolutionary Time Series and Nonlinear Additive ARCH Models", (1999) - Humboldt University, Berlin. 

Zhiejie Xiao (Joint with P. C. B. Phillips), "Efficiency Issues in Stationary and Nonstationary Time Series", (1997) - Illinois, Urbana-Champaign. 

Douglas Hodgson (Joint with P. C. B. Phillips), "Adaptive Estimation in Cointegrated Systems", (1995) - Rochester.