Econometric Institute makes a mark at IAAE conference

The main aims of IAAE are to advance the public education in the subject of econometrics and its applications to a variety of fields in economics. Erasmus School of Economics traditionally has a strong showing at the IAAE annual conference, and this year was no exception.

A number of faculty members of the Econometric Institute, including Professor Robin Lumsdaine and Assistant Professor Anastasija Tetereva, presented their research. The presented papers used state-of-the-art econometrics and machine learning tools to investigate a wide variety of topics, including cryptocurrencies (Dr Maria Grith), gender bias (Dr Eyo Herstad), large language modeling of international central bank communication (Prof. Robin Lumsdaine), inflation forecasting (Aishameriane Schmidt), asset allocation (Dr Anastasija Tetereva), and option pricing (Dr Evgenii Vladimirov). Other papers, such as those by PhD candidates Xiaomeng Zhang and Sam van Meer contained results that are useful in conducting policy evaluations. Other present researchers were Assistant Professors Rasmus Lönn and Eoghan O’Neil, and PhD candidates Simon Donker van Heel Jens Klooster.

That so many researchers from the Econometric Institute had papers accepted to this conference highlights the global reputation and scholarly leadership of Erasmus School of Economics within the field of applied econometrics. The inclusion of so many PhD candidates demonstrates the School’s commitment to its emphasis on academic excellence in the training of future generations of scholars.

Papers presented

• Simon Donker van Heel: “Performance Guarantees for Score-Driven Filters” 
• Dr Maria Grith: “Risk Premiums in the Bitcoin Market” and a second paper “Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach” was presented by coauthor Hannah Lan Huong Lai (National University of Singapore)
• Dr Eyo Herstad: “Examining the Fallout:  Who is Hurt by Educational Gender Biases” 
• Jens Klooster: “Outlier Robust Inference in a General Class of Instrumental Variable Models”
• Dr Rasmus Lönn: “Dynamic Parametric Portfolio Policies” 
• Prof. Robin L. Lumsdaine: “Four Facts about International Central Bank Communication”  
• Sam van Meer: “Online Inference for Synthetic Control” 
• Dr Eoghan O’Neil: “Type I Tobit Bayesian Additive Regression Trees for Censored Outcome Regression”
• Aishameriane Schmidt: “Harnessing Machine Learning for Real-Time Inflation Nowcasting” 
• Dr Anastasija Tetereva: “Advancing Markowitz: Asset Allocation Forest” 
• Dr Evgenii Vladimirov: “Autoencoder Option Pricing Models” 
• Xiaomeng Zhang: “Asymptotic Properties of the Distributional Synthetic Controls” 

In addition to the thirteen researchers in attendance, another six researchers from Erasmus School of Economics were represented as a result of being coauthors on presented projects: Professors Dick van Dijk and Herman van Dijk, and Assistant Professors Anna Baiardi, Gustavo Freire, Nick Koning, and Andreas Pick.