Recursive-Design Residual Bootstrap for Semi-Strong GARCH-type Volatility Models and Conditional Value-at-Risk Estimation
Barend Spanjers , Barend Spanjers
- Research Master Defense
Barend Spanjers , Barend Spanjers
Sander Barendse (University of Amsterdam)
Louise Laage (Georgetown University), Koen Jochmans (University of Toulouse), Joachim Freyberger (University of Bonn), Daniel Wilhelm (University College London), Harold D Chiang (University of Wisconsin-Madison), Dmitry Arkhangelsky (CEMFI), Helmut Farbmacher (Technical University of Munich), Irene Botosaru (McMaster University), Frank Windmeijer (University of Oxford), Chris Muris (McMaster University), Cavit Pakel (Bilkent University)
Faculty: Siem Jan Koopman (Vrije Universiteit Amsterdam and Tinbergen Institute) and Francisco Blasques (Vrije Universiteit Amsterdam and Tinbergen Institute)
Takuya Ura (UC Davis, United States)
Eva Janssens , Eva Janssens
Yoshiyasu Rai (University of Mannheim, Germany)
Yuan Yue
Bertille Antoine (Simon Fraser University, Canada)
Abhishek Ananth (Cornell University, United States)
Denis Kojevnikov (Tilburg University)
Yi He
Nestor Parolya (TU Delft)
Eva Janssens (University of Amsterdam)
Marina Khismatullina (Erasmus University Rotterdam), Tom Boot (University of Groningen), Martin Schumann (Maastricht University), Vasilis Sarafidis (BI Norwegian Business School), Geert Dhaene (KU Leuven)
Jules Depersin (CREST)
Evgenii Vladimirov (UvA)
Andrea Nagy (Erasmus University Rotterdam)
Ekaterina Ugulava , Ekaterina Ugulava
Lina Zhang