Research Funding

Jeroen’s research on financial econometrics requires funding for the following reasons. First, to hire students to help with data retrieval and developing/checking software programs. Second, to access data sources and work with high-end computers.  Third, to  invite or visit co-authors to collaborate on research papers. Finally, to organize workshops and conferences.

Current Funding

  • Institut Francais Singapour

    Institut Francais Singapour

    Merlian Workshop

    The objective of this workshop is to bring the existing expertise on econometrics of systemic risk in the organizing institutions together with some of the world-leading experts in the field. The workshop will enforce a research network among the participating institutions and increase their international visibility on these issues

  • ESSEC Business School

    ESSEC Business School

    ESSEC Research Center

    ESSEC helps their professors by provide funding for startup projects, computer equipment, organization of scientific events.

  • European Commission - Marie Curie Grant

    European Commission - Marie Curie Grant

    BREAKMETRICS project

    The general objective of this proposal is to improve economic forecasts with the help of evolutionary econometric models, i.e. models that adapt to abrupt (or structural) changes in the economic environment, also called structural break or change-point models.

    The need for adaptive modelling is obvious in the light of the current economic conditions. Economic forecasting is essential for decision making with respect to fiscal and monetary policy, public spending, and investment. For example, the monetary transmission mechanism has long and uncertain lags. Therefore, monetary policy should be forward-looking. To effectively ensure price stability, the central bank for example needs to make forecasts about the evolution of prices and output among others. When a structural break happens, conventional forecasting models can produce severe forecast errors since the forecasts do not comply with the new environment as given by the new data.

  • Institut Louis Bachelier

    Institut Louis Bachelier

    Price of volatility risk project

    The variation over time of the magnitude of price movements of financial assets (variance risk) represents a source of uncertainty that agents are subject to. Consistently, risk adverse agents should  require a compensation for bearing the randomness of future variance, i.e., a variance risk premium. Despite the number of empirical studies, there is no clear consensus about sign and magnitude of the premium and its linkages with the economy. We propose a new way of measuring the variance risk premium using a new model which describes clearly the link between physical and risk-neutral variance.

  • Institut Louis Bachelier

    Institut Louis Bachelier

    Semester in Financial Econometrics

    Joint funding has been obtained for a variety of conferences, workshops and courses on financial econometrics. Partners are CREST, Dauphine,  ENSAE, ESSEC, IdR QMI, Université d’Orléans, Université d’Aix-Marseille.

  • Labex MME-DII

    Labex MME-DII

    Support for ESOBE conference

    Labex MME-DII supports the ESOBE conference organized in November 2014

Past Funding

  • CORE

    CORE

  • HEC Montreal

    HEC Montreal

    Professor Rombouts held a professorship in financial econometrics while being at HEC Montreal

  • FQRSC

    FQRSC

  • Institut de Finance Mathématique

    Institut de Finance Mathématique