PhD Defence of Bart Keijsers on 22 February 2019

On Friday, 22 February 2019 Bart Keijsers will defend his PhD thesis entitled ‘Essays in Applied Time Series Analysis’. Supervisors are Professor D.J.C. van Dijk (ESE) and Dr. H.J.W.G. Kole. Other members of the Doctoral Committee are Dr. L.C.G. Pozzi (ESE) and Dr. B.F. Diris (DNB).

Abstract

Many economic and financial issues cannot be answered without analyzing time series. For example, it can be used to find factors that are useful in predicting stock returns, or to estimate the sensitivity of losses on bank loans to business cycle fluctuations. This thesis presents three essays in applied time series analysis, using a variety of methods to answer address several important issues in economics and finance. The first essay is on the cyclicality in losses on bank loans. A unique data set allows the joint modeling of losses and macroeconomic variables, while taking into account key characteristics of the distribution of losses. The second essay is on the impact of parameter instability on the allocation of the long-term investor. The instability is estimated, and the misspecification costs are assessed. The third essay is a forecasting exercise to see whether the relationship between economic uncertainty and macroeconomic output can be exploited in real-time such that it can be used as input for policy makers.

Time and Location

The PhD defence will take place in the Senate Hall of Erasmus University Rotterdam (Campus Woudestein) and will start at 13:30. 

https://tinbergen.nl/event/2019/02/22/2997/essays-in-applied-time-series-analysis

Feel free to send this email to other persons who might be interested in Barts defence. 

Please note: other festivities before or after the defence is only for invited guests.

More information

For more information about this ceremony, please contact Ronald de Groot, Communication Officer of Erasmus School of Economics (+31 10 408 17 62 or email: rdegroot@ese.eur.nl)

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