• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Behavioral Macro and Complexity
      • Econometrics and Data Science Methods for Business and Economics and Finance
      • Inequalities in Health and Healthcare
      • Introduction in Genome-Wide Data Analysis
      • Research on Productivity, Trade, and Growth
      • Summer School Business Data Science Program
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
  • Summer School
  • Alumni
  • Times
Home | People | Phyllis Wan
 placeholder

Phyllis Wan

Research Fellow

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

Biography

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. (2020). Goodness-of-fit testing for time series models via distance covariance Journal of Econometrics, :.

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.