PhD defence of Cem Çakmaklı on Thursday 26 January 2012
On Thursday 26 January 2012 Cem Çakmaklı will defend his PhD thesis entitled 'Exploiting Common Features in Macroeconomic and Financial Data'. Supervisors are Professor Dick van Dijk and Professor Richard Paap.
Time and location
The PhD defence will take place in the Senate Hall of Erasmus University Rotterdam and will start at 11.30 hrs.
About the PhD thesis
Living in the age of information, economic agents have access to a substantial amount of publicly available information on which they can base their decisions. Unfortunately, in most of the cases the key information required by the economic agents such as financial expectations or economic activity is not precisely observed. Instead, statistical measures and predictions of those must be derived from the observed macroeconomic and financial variables. A popular approach in practice is to employ unobserved components models to extract the required information from the observed data. These models assume an underlying process of the unobserved variables, denoted as states, to capture the evolution of the observed data that depend on these latent states.
In the first part of the thesis, a very popular class of these models, viz. dynamic factor models, is employed to extract the common information and indicators of macroeconomic conditions. These factors are used to make accurate predictions of future stock returns and their volatilities.
In the second part, another popular class of unobserved components models, viz. dynamic mixture models, is employed to extract the categorical information in some key macroeconomic and financial variables. Together with this, the information diffusion among different variables is modeled using these categorical representations.
In the third part of the thesis, both approaches from the previous parts are combined. A specific class of dynamic factor models is proposed for modeling the dynamic evolution of a large dataset of bond yields, where the density of the factors is estimated using Bayesian semiparametric techniques along with other model parameters.
About Cem Çakmaklı
Cem Çakmaklı graduated from Technical University of İstanbul in 2005. He joined the Tinbergen Institute in September 2005 and he graduated from the M.Phil programme of the institute in 2007. Currently, he is working as an Assistant Professor at the Department of Quantitative Economics of the University of Amsterdam. His main interests include time-series econometrics, financial econometrics and macroeconometrics.
See for more information:
For more information about this ceremony, please contact Ronald de Groot, the Communication Advisor of Erasmus School of Economics phone +31 10 408 1762, e-mail: rdegroot@. ese.eur.nl
Publication date: 10 January 2012