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Econometrics: Econometrics (track)



Photo Peter Boswijk

Prof.dr. H. Peter Boswijk

As a PhD student, I started my research on econometric techniques for non-stationary time series, inspired by the fact that many macro-economic and financial time series display common trends. After finishing my PhD, I obtained a research grant from the Royal Netherlands Academy of Arts and Sciences, which enabled me to continue this research project. Gradually, my attention shifted to the econometrics of financial markets and mathematical techniques for option pricing, and eventually I became Professor of Financial Econometrics at the UvA.
A central concept in my research is volatility, which is a measure of financial risk. Traditional methods such as the Black-Scholes option pricing model assume that stock return volatility is constant over time, but empirical evidence shows that time series of returns display volatility clustering: highly volatile periods alternate with more tranquil periods. This phenomenon poses a challenge for financial risk management, which should be based on methods that can quickly adapt to changing circumstances; the importance of reliable risk management was demonstrated once more by the recent financial crisis. Therefore, my recent research is concerned with the development of models and methods for time-varying volatilities, using various data sources such as option prices and intra-day (high-frequency) stock prices.
In the Financial Econometrics track within the MSc Econometrics at the UvA, these topics are studied in depth in the courses Financial Econometrics and Stochastic Calculus (which deals with mathematical techniques for option pricing). In their thesis, students apply and extend techniques discussed in these courses to analyse practically relevant problems faced by financial institutions today. That's why this track gives students an ideal preparation for a successful career in the financial industry.”

prof. dr. H.P. (Peter) Boswijk

Faculty of Economics and Business

Section Quantitative Economics

Jan Tuinstra

Dr. Jan Tuinstra

Jan Tuinstra is Professor of Mathematical Economics at the University of Amsterdam. He teaches the MSc Econometrics course General Equilibrium Theory and regularly supervises MSc Econometrics students writing their master’s thesis on a range of topics from microeconomics, varying from industrial organization to behavioral economics.
"The course I teach in the MSc Econometrics programme discusses how the interaction of consumers and firms on different markets in a decentralized market economy, like ours, leads to the allocation of scarce resources. Although the subject matter may seem abstract at first sight, and the theory has its limitations, its societal impact is large: it conveys important lessons about how the organization of our economy may affect our daily life."
Apart from teaching, Jan Tuinstra -- who holds an MSc in Econometrics from the University of Groningen and a PhD in Mathematical Economics (1999) from the University of Amsterdam -- is an active researcher, in particular in the fields of experimental and behavioral economics, economic dynamics and industrial organization.   

“The economic crisis that we have experienced in recent years has raised questions about the general viability of standard economic theories, which  build upon the assumption that economic decision makers are hyper-rational and able to solve highly complex optimization problems. It has become increasingly clear that there are a substantial number of instances where this assumption fails to provide an accurate description of human behavior and economic processes. As economists we face the challenge to, whenever required, adapt our standard models to insights obtained from behavioral and experimental economics. The MSc Econometrics programme at the UvA has a strong tradition in this new approach, which is illustrated by the courses Nonlinear Economic Dynamics and Bounded Rationality that were already taught before the current crisis was even considered to be possible. I believe the present time is an exciting one for mathematical economists and that the MSc Econometrics programme is an excellent place to start."

prof. dr. J. (Jan) Tuinstra

Faculty of Economics and Business

Section Quantitative Economics