Econometric Methods for Forecasting and Data Science with Applications in Finance, Economics and Business

Econometric Methods for Forecasting and Data Science with Applications in Finance, Economics and Business

Start Date

End Date

Application Deadline

Type

Summer schools

Certifications & Titles

Participants who joined at least 80% of all sessions will receive a certificate of participation stating that the summer school is equivalent to a work load of 3 ECTS.

Study Options

Full Time

Fees

Regular fees: 0 - 1500 EUR

International Fees : 0 - 1000 EUR

Comment:

Tinbergen Institute Summer School

Our courses are aimed for students who are up for a challenging and academically rigorous program.

The small class size makes it easy to interact with the lecturers and to fully explore the specific field.

Complete List of 2019 Summer Courses:

Crash Course in Experimental Economics | August 19-24 in Amsterdam

Introduction in Genome-Wide Data Analysis | July 22-26 in Amsterdam

Research on Productivity, Trade, and Growth: Theory and Practice | July 8-12 in Amsterdam

Econometric Methods for Forecasting and Data Science | August 19-23 in Amsterdam

The importance of developing appropriate quantitative models and methods for risk-assessment, climate-impact scenarios, energy policy, house market prices, and big data analyses generally are well understood in the academic and professional worlds. The developments in new technologies for econometric modelling, analysis and forecasting of (big) data in finance, economics and business are moving forwards rapidly. In this summer school we will treat a number of these developments in much detail. In each case we start with the basics of the methodology and theory, we illustrate their use and their importance, we implement the basic methods in a computer lab, and we review the latest developments in the academic and professional literature. Given the interdisciplinary nature of the summer school, we start with a review of the basic methods and theory in each case. More specifically, we aim to treat the latest developments in univariate time series models, dynamic econometric models, volatility models, dynamic factor models, state space models, time-varying location and scale models, etc. The practical use of econometric methods in the context of specific applications are assessed in individual cases targeted towards the backgrounds of the participants.

Level

The summer school welcomes (research) master students, PhD students, post-docs and professionals from all disciplines and industries (finance, economic policy, business studies) with a quantitative background and who are interested in learning state-of-the art econometrics and data science forecasting methods.

Admission requirements

A formal background in quantitative studies (mathematics, statistics, econometrics, engineering, etc.) is required from students (at the level of a first year course in a Master study), but no formal background in Econometrics or Statistics will be assumed.

Lecturers

Confirmed Lecturers of the 2019 summer course are Professor Siem Jan Koopman (Vrije Universiteit, Tinbergen Institute) and Francisco Blasques (Vrije Universiteit, Tinbergen Institute).

Siem Jan Koopman is Professor of Econometrics at the Department of Econometrics, Vrije Universiteit Amsterdam. He is also a research fellow at Tinbergen Institute and a long-term Visiting Professor at CREATES, University of Aarhus. Furthermore, he is a Journal of Applied Econometrics Distinguished Author, and Fellow of the Society of Financial Econometrics (SoFiE).

Francisco Blasques is an associate professor of econometrics at the VU University, Amsterdam. His research focuses mostly on the theory and practice of dynamic modeling and time-series econometrics. Francisco has been nominated multiple times for Best Lecturer Award at the School of Business and Economics, VU University Amsterdam.

Venue

The course takes place at Tinbergen Institute Amsterdam, Gustav Mahlerplein 117, 1082 MS Amsterdam.

Capacity

30 participants

Apply here

 

More Information

Start Date

End Date

Application Deadline

Type

Summer schools

Certifications & Titles

Participants who joined at least 80% of all sessions will receive a certificate of participation stating that the summer school is equivalent to a work load of 3 ECTS.

Study Options

Full Time

Fees

Regular fees: 0 - 1500 EUR

International Fees : 0 - 1000 EUR

Comment:

Tinbergen Institute Summer School

Our courses are aimed for students who are up for a challenging and academically rigorous program.

The small class size makes it easy to interact with the lecturers and to fully explore the specific field.

Complete List of 2019 Summer Courses:

Crash Course in Experimental Economics | August 19-24 in Amsterdam

Introduction in Genome-Wide Data Analysis | July 22-26 in Amsterdam

Research on Productivity, Trade, and Growth: Theory and Practice | July 8-12 in Amsterdam

Econometric Methods for Forecasting and Data Science | August 19-23 in Amsterdam

Gustav%20Mahlerplein%20117%2C%201082%20MS%2C%20Amsterdam%2C%20Netherlands

Gustav Mahlerplein 117, 1082 MS

Amsterdam , Netherlands