Master projects:
Information about on the SDU Master thesis can be found here.
Where to start? Find a question of interest to you, few relevant articles you can use as guidance and benchmark, and data. Then make an appointment with me so we can discuss further.
Suggested topics:
- VAR models applied to monetary policy. Inpiration might be found at Mark W. Watson page
- FAVAR vs VAR applied to monetary policy. The FAVAR model is not programmed in many languages, you might need to do a bit of a computing work around this. The plus side is that FAVAR is very popular
- Porfolio return estimation . Create a portfolio and estimate the conditional correlation with different approaches, compare performances
Online data sources free of charge:
Bachelor projects:
Information on the SDU Economics bachelor project can be found here and supervision agreement . Suggested topics:
- Nonparametric vs parametric volatility forecast
- Replicate simulation results from Fan and Yao (1998) using R.
- Apply to real financial data of your choice (asset price, interest rates, etc.)
- Write your results.
- Dynamic conditional correlations (DCC)
- Replicate simulation results from Engle (2002) using R commands.
- Apply to real financial data of your choice (exchange rates, market indexes, portfolio).
- Write your results.
Prerequisites: Econometrics, Statistics and knowledge of R
Prerequisites: Econometrics, Statistics and knowledge of R