Home | People | Phyllis Wan

Phyllis Wan

Research Fellow

Erasmus University Rotterdam
Research field
Econometrics, Finance, Risk Management, Time Series Econometrics


Phyllis Wan is an Assistant Professor at the Department of Econometrics, Erasmus University Rotterdam. Her academic interests include statistical and econometric methods, quantitative risk management, high-dimensional data and machine learning. Her recent research focuses on extreme value analysis and its applications in economics, finance, meteorology and hydrology. She holds a PhD from Columbia University.

List of publications

Wan, P. and Davis, R. (2022). Goodness-of-fit testing for time series models via distance covariance Journal of Econometrics, 227(1):4--24.

Auerbach, J. and Wan, P. (2020). Forecasting the Urban Skyline with Extreme Value Theory International Journal of Forecasting, 36(3):814--828.

Wan, P. (2020). Discussion of: Graphical models for extremes Journal of the Royal Statistical Society. Series B. Statistical Methodology, 82(4):871--932.