TI fellows Koopman, Lucas and PhD Student Zamojski win National Bank of Poland Research Grant
TI fellows Siem Jan Koopman, Andre Lucas, and TI PhD student Marcin Zamojski (all from VU Amsterdam) have been awarded a research grant from the National Bank of Poland.
The grant of € 10,000 will be used to build new models to forecast interest rates using the (score-based) time-varying parameter methodology recently developed at the VU University Amsterdam. The project is one out of 10 projects that the National Bank of Poland will fund following their 6th annual call for research proposals. The results will be of interest to regulators who need modern tools to analyze how monetary policy affects the term structure of interest rates. Score driven models were first proposed by researchers at VU University Amsterdam and are currently subject of extensive research under the NWO VICI grant that Andre Lucas received in 2010.
Siem Jan Koopman is professor of econometrics, Andre Lucas is professor of finance, and Marcin Zamojski is PhD researcher at VU Amsterdam.