Open PhD project at the Econometric Institute in (Financial) Econometrics

Current facets (Pre-Master)

Abstract

The Econometric Institute is one of the leading research groups in econometrics in Europe. The group has an opening for PhD students with an interest in econometrics or financial econometrics. The exact topic of the PhD project will be decided upon in coordination with the candidate. Promotors are Richard Paap and/or Dick van Dijk depending on the preferred topic.

Keywords

Econometrics, quantitative finance, macro-econometrics, time series analysis, panel data, Bayesian econometrics.

Topic

The structure of the PhD project will be as follows. In the first year the candidate will take specialized high-level courses to further develop his or her skills in econometrics as well as in the application domain of interest. Furthermore, during the first year the candidate will develop a research plan for the entire PhD project. This research plan will further specify the focus of the PhD project. Finally, in the first year the candidate will start to work on a first sub-project. In the remaining three years the entire research plan will be carried out, leading to three or four manuscripts that are potentially publishable in a high-quality academic journal. Throughout the PhD project, the candidate will also assist in teaching in the bachelor and master programmes in Econometrics.

The exact topic of the PhD project will be decided upon in coordination with the candidate. Promotors are Richard Paap and/or Dick van Dijk depending on the preferred topic. Below, we shortly summarize the research interests of these two researchers.

Dick van Dijk’s research interests are in econometric applications in finance and macroeconomics, in particular the interaction between financial markets and the ‘real’ economy. Specific recent research topics include forecasting volatility and correlations of asset returns using macro-economic information, asset return predictability with large data sets, business cycle forecasting, co-movement in commodity futures prices, forecasting electricity prices, and the role of communication in shaping market’s expectations of monetary policy decisions.

The main research interests of Richard Paap are in the field of Applied Econometrics with applications in macro- and micro-economics and marketing. Recent research topics include frequentist and Bayesian analysis of discrete choice models, nonlinear time series models for describing the business cycle, forecasting macro-economic time series and panel data models.

Approach

Depends on the preferred topic of candidate and supervisor.

Literature references

Depends on the preferred topic of candidate and supervisor.

Cooperation

Depends on the preferred topic of candidate and supervisor.

Expected output

4 publications in top journals in (financial) econometrics, economics or statistics.

Scientific relevance

Depends on the preferred topic of candidate and supervisor.

Societal relevance

Depends on the preferred topic of candidate and supervisor.

Phd candidate profile

We are looking for highly motivated students who want to pursue an academic career in econometrics or economics. Potential candidates should have a strong statistical/mathematical skills and sufficient knowledge of (financial) economics.  Having a master degree in Econometrics (or something similar) with excellent grades is preferred.

Supervisor(s)

Prof. Dr. Dick van Dijk
T: : +31 (0)10 4081263
E: djvandijk@ese.eur.nl

Prof. Dr Richard Paap
T: +31 (0)10 4081315
E: paap@ese.eur.nl

Graduate school

Depending on the candidate's interest the project can be affiliated with either ERIM (for a Research in Management approach) or the Tinbergen Institute (for an Economics and Econometrics approach).

Applicants for this project need to pass ERIM's or the Tinbergen Institute's admission requirements (depending on the approach) before they can be considered for a PhD position at Erasmus School of Economics.

If you are unsure of the graduate school with which you want to be affiliated please contact the projects supervisor.

Deadline

Application deadline: 15 January 2018

Interested?

Depending on the candidate's interest the project can be affiliated with either ERIM (for a Research in Management approach) of the Tinbergen Institute (for an Economics and Econometrics approach).

ERIM

ERIM project page

Tinbergen Institute

Apply for this project using the Tinbergen Institute online application form

Tinbergen project code:

TI PhD 2018 DvD RP