I successfully defended my PhD thesis on September 17, 2020, at Swiss Federal Institute of Technology in Lausanne (EPFL). The president of my jury, Sofia Olhede, and the examiners…
Author: Tomas Rubin
A quantitative comparison of yield curve models in the MINT economies.
A semester project I supervised at EPFL comparing various econometric forecasting methods for yield curves in MINT (Mexico, Indonesia, Nigeria, Turkey) economies.
Spectral Simulation of Functional Time Series
A novel simulation method allowing for generating a wide range of simulated data, accompanied by an R package ‘specsimfts’.
Yield curve and macroeconomy interaction: evidence from the non-parametric functional lagged regression approach
In my first single-author publication I applied the tools I developed in my core PhD research to yield curve modelling.
Sparsely Observed Functional Time Series: Estimation and Prediction
The core paper of my PhD research. Published in Electronic Journal of Statistics (2020)
Functional Lagged Regression with Sparse Noisy Observations
The paper extending results from my core paper on sparsely observed functional time series. To appear in Journal of Time Series Analysis
European Meeting of Statisticians (EMS 2019)
In July 2019 I had the opportunity to travel to Palermo, Italy, to give a talk at the European Meeting of Statisticians, the largest statistics conference in Europe. In my talk entitled “Sparsely observed functional time series: estimation and prediction” I spoke about my first paper carrying the same name.
Doctoral day, Fribourg (2019)
The colleagues from Fribourg organised Doctoral day in June 2019 for the PhD students of the universities in western Switzerland (Conférence universitaire de Suisse occidentale, CUSO). I gave a talk on my core research around Sparsely observed functional time series.
Workshop on Multivariate Data Analysis (CRoNoS & MDA 2019)
In April 2019 I travelled to Limassol, the Republic of Cyprus, where I attended a workshop on multivariate data analysis. This workshop was the first conference where I’ve given a talk.
Workshop “New Developments in Econometrics and Time series” (2018)
In September 2018 I had chance to follow my PhD supervisor, Victor Panaretos, to Copenhagen, Denmark, and attend this workshop and listen to the presentations of leading experts on time series analysis and stochastic processes.