My name is Daan Opschoor and I am a PhD Candidate in Econometrics at the Econometric Institute of the Erasmus University Rotterdam and Tinbergen Institute.
Research interests
My research interests are time series econometrics in empirical macroeconomics and finance, with a special focus on dynamic factor models, tail risks, and forecasting and nowcasting.
Tracking Sectoral Economic Conditions
In my job market paper I construct a set of monthly U.S. sector-level economic conditions indices from a small, but diverse, set of sectoral economic indicators using mixed-frequency dynamic factor models. These indices can be used to monitor the current economic state of each sector and to examine their heterogenous dynamics over the business cycle, as well as for other applications like nowcasting sector-level GDP growth.
Read more about my paper on Github (pdf)
CV
Download my CV on Github (pdf)
Contact
References
Prof. Dick van Dijk, Prof. Michel van der Wel, Prof. Laurent Ferrara