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Welcome
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I am a quantitative analyst working for a private company in Switzerland.
Formerly, I was a visiting researcher at the Center for
Operations Research and Econometrics, University Catholique de Louvain, Belgium and
at the Econometric
Institute, Erasmus University Rotterdam, the Netherlands.
I obtained my PhD in Bayesian econometrics at the Department of
Quantitative Economics, University of Fribourg, Switzerland, under the
supervision of Prof. Dr. Philippe
Deschamps. Here is my vitae.
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Bayesian GARCH
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My book Financial Risk Management with Bayesian Estimation of GARCH Models has
been published in the Springer's series Lecture Notes in Economics
and Mathematical Systems (summary,
link,
toc, errata). A review of the book
by Prof. Dr. Yannick Malevergne has been published in Mathematical Reviews (issue 2010b). Look
inside the book on Amazon.
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SSRN
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R packages AdMit,
bayesGARCH, DEoptim
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