Recruitment paused Open PhD project at the Econometric Institute, Erasmus School of Economics

Reference:
ERIM PhD 2017 ESE DF PG RP DvD

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 one of the following four broad application areas:

  1. Macroeconometrics;
  2. Financial econometrics/quantitative finance;
  3. Microeconometrics with applications in economics, marketing or business analytics;
  4. Statistics, data science, multivariate analysis, computational statistics, and visuzalization.

The exact topic of the PhD project will be decided upon in coordination with the candidate. Promotores are either Dennis Fok, Patrick Groenen, Richard Paap and/or Dick van Dijk depending on the preferred topic.

Keywords

Econometrics, quantitative finance, macro-econometrics, marketing, business analytics and computational statistics.

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. Promotores are either Dennis Fok, Patrick Groenen, Richard Paap and/or Dick van Dijk depending on the preferred topic. Below, we shortly summarize the research interests of these researchers.

The main research interests of Dennis Fok are in the fields of Applied Econometrics and Marketing. These interests include modeling choice, at an individual level as well as at an aggregated level, nonlinear panels, and estimation based on simulation methods (classical as well as Bayesian inference). Most of his work directly revolves around a relevant question in marketing or business in general. For example, in recent work he studies predicting online purchases, designing optimal conjoint experiments, and measuring the impact of customer loyalty programmes.

Patrick Groenen’s main interests are in computational statistics, data science, multivariate analysis, classification, statistics in bio-economics, and visualization and their applications in economics and management. Recently, he has worked on conjoint analysis with interactions, response style modelling, multi-class support vector machines, visualization strategies in strategy research, and penalty methods for prediction for big data.

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.

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.

Supervisory Team

Dick van Dijk
Professor of Econometrics (Finance)
  • Promotor
Dennis Fok
Professor of Applied Econometrics
  • Promotor
Patrick Groenen
Professor of Statistics
  • Promotor
Richard Paap
Professor of Econometrics
  • Promotor