Rector Herman Van Goethem and Professor Koen Vandenbempt, dean of the Faculty of Business and Economics of the University of Antwerp, are pleased to invite you to the inaugural lecture and the lecture series by Professor Siem Jan Koopman, laureate of the Belgian Francqui Chair 2019-2020. The inaugural lecture 'The Econometrics of Time-Varying Parameters' will take place on Monday 30 November 2020.
About Prof. dr. Siem Jan Koopman
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).
Prof. dr Siem Jan Koopman's lecture series is embedded in the Faculty of Business and Economics. Read more about Prof. dr. Siem Jan Koopman.
Inaugural lecture: The Econometrics of Time-Varying Parameters
- Monday November 30, 16.00h-18h.00h
Lecture 1: Macroeconomic forecasting
Lecture 1 will illustrate the methods such as the Kalman filter, score-driven filters etc.
- Tuesday, December 1, 13.00h - 16.00h
Lecture 2: Stochastic Volatility Modelling
Lecture 2 will focus on the estimation issues, also for the non-Gaussian models.
- Tuesday, December 8, 13.00h -16.00h
Lecture 3: Dynamic Factor Models
Lecture 3 will focus on the high-dimensional extensions of the time-varying parameter models.
- Tuesday, December 15, 13.00h -16.00h
About the Belgian Francqui Chair
Every year, the Francqui Foundation invites Belgian or European scientists to stay with Belgian universities, giving the opportunity to eminent researchers and scholars to teach a series of guest lectures at the host university and to participate in the scientific life of the institution.