On Friday 22 February 2019 Bart Keijsers will defend his PhD thesis entitled ‘In and Outside the Tails: Making and Evaluating Forecasts’
Supervisors are Professor D.J.C. van Dijk (ESE) and Dr. H.J.W.G. Kole (ES). Other members of the Doctoral Committee are Professor F.R. Kleibergen (UvA), Professor M.J.C.M. Verbeek (RSM) and Dr. C. Zhou (ESE).
Abstract:
This dissertation contains three essays in time series econometrics. Special attention is paid to risk measures such as Value-at-Risk and Expected Shortfall, and tail events in general. A new estimator for Expected Shortfall is proposed, as well as out-of-sample tests of correct specification and comparative predictive ability. Applications in the book cover the impact of tail events on abnormal returns, the ranking of Value-at-Risk forecasts for stock portfolios, the ranking of portfolio strategies in terms of expected utility, and the effect of estimation error on Expected Shortfall tests.
Time and Location
The PhD defence will take place in the Senate Hall of Erasmus University Rotterdam (Campus Woudestein) and will start at 11.30 hrs.
PS Feel free to send this email to other persons who might be interested in Sanders 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)