here - Tinbergen

ERKKI SILDE
personal information
Born in Tallinn (Estonia), 4 November 1987
VU Amsterdam (FEWEB/FIN), office 1a-41
Correspondence
De Boelelaan 1105, NL-1081HV Amsterdam
E-Mail
[email protected]
Homepage
sites.google.com/site/erkkisilde
+31 (0) · 626 548 591
Phone
affiliations
Duisenberg School of Finance · Tinbergen Institute · VU Amsterdam
job market paper
“Tractable High-Dimensional Dynamic Correlation Models”
This paper discusses a class of dynamic multivariate scale models while avoiding typical estimation
uncertainty in high-dimensional dynamic dependence modeling by adopting the dynamic
equicorrelation approach of Kelly and Engle (2012). A score based updating rule for the common
dynamic correlation parameter can be formulated in terms of two univariate sufficient statistics,
thus yielding a numerically efficient model in very high dimensions. Parameter estimation is
carried out by quasi maximum likelihood (QML). Simple stability conditions emerge, under which
the QML estimator is consistent. The model performs well on both simulated and empirical data.
Finally, we adopt a mixed measurement framework for the analysis of option-implied correlations
to gauge the impact of time-varying correlation risk premia on stock returns.
working paper
“Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation
Models” (with F. Blasques and A. Lucas)
Resubmitted at Econometric Reviews
thesis chapter under completion
“Attention networks, news arrival and spill-over effects”
presentations
Amsterdam-Cambridge Conference on Score Driven Models (January 2013), Forecasting
Structure and Time Varying Patterns in Economics and Finance Conference in Rotterdam
(May 2013), 8th Meeting of the Netherlands Econometric Study Group (June 2013),
CFE-ERCIM Conference in London (December 2013), 2nd workshop on Score Driven Models
in La Laguna (January 2014), 13th Workshop of Spatial Econometrics and Statistics in Toulon
(April 2014), VU Econometrics brown bag seminar (May 2014)
work experience
September
2012–
VU Amsterdam
The Econometrics of Financial Comovement (Promotor: A. Lucas)
2011
Rabobank
Summer Intern
Modeling real estate risk, market risk and risk aggregation methods
2007
Ministry of
Finance,
Estonia
PhD candidate
Summer Intern
Handling EU subsidy payment claims
2007 – 2010
U Konstanz
Research Assistant
Chairs: International Finance (G. Franke), Political Economy (H. Ursprung)
education
2010-2012
MPhil in Finance
Tinbergen Insitute, The Netherlands
GPA: 8.1/10 · Specialization in Econometrics
“Parameter and Model Uncertainty in Asset Pricing Return Decompositions”
(supervisors: L. Hoogerheide, A. Lucas)
2006-2010
BSc in
Mathematical
Finance
BA in Economics
University of Konstanz, Germany
GPA: 1.5 (top of cohort) · Double degree, thesis titles:
“The Day of the Week Effect on Stock Market Volatility”
¨
(supervisor: R. Bruggemann)
“Can Anticipated Regret and Pride Explain the Disposition Effect? An Experimental Approach”
(supervisor: U. Fischbacher)
lectures attended
TI Econometrics Lecture 2011 on Modeling Heterogeneity in Econometrics (by J. Hausman),
Duisenberg School of Finance Summer School 2012 on Dysfunctional Finance (by H. Hong, D.
Vayanos and W. Xiong), TI Econometrics Lecture 2013 on Low Frequency Econometrics (by M.
Watson), OMI-SoFiE Summer School 2013 in Oxford on Financial Forecasting (by A. Patton and A.
Timmermann), CORE-ILSM Lecture 2013 in Louvain on High-Dimensional Econometrics (by J.
Fan), SoFiE Summer School 2014 in Harvard on Econometrics of Option Pricing (by P. Gagliadini
and E. Renault)
teaching
Graduate: Asset Pricing, Measure Theory; Business: Enterprise Risk Sources, Private Equity;
Undergraduate: Behavioral Corporate Finance, Bachelor theses in Finance
computer skills
Advanced: Matlab · Novice: Python, R, Sql, Stata, Eviews, Mex/C++
awards
Funding by Stiftung Niedersachsen, Heinz Schwarzkopf scholarship, University of Konstanz
scholarship, Tinbergen Institute scholarship, SA Archimedes scholarship (declined); Third-party
nominations for Studienstiftung des Deutschen Volkes, University of Konstanz Foreign Graduate
of the Year, Huygens scholarship programme
foreign languages
English (fluent), German (fluent), Dutch (beginner), Russian (beginner)
other
Captain of VU Amsterdam team in Econometrics Game 2013
October 31, 2014
2

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