Anastasija Tetereva

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Assistant Professor

Burg. Oudlaan 50

tetereva@ese.eur.nl

Rotterdam, 9008

Netherlands

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

  • Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

  • Tinbergen Institute

SCHOLARLY PAPERS

4

DOWNLOADS

989

SSRN CITATIONS

6

CROSSREF CITATIONS

2

Scholarly Papers (4)

Actions:
Email selected abstracts
1.

A Forest Full of Risk Forecasts for Managing Volatility

Number of pages: 33 Posted: 01 Mar 2023 Last Revised: 21 Jun 2023
Onno Kleen and Anastasija Tetereva
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 312 (167,445)

Abstract:

Loading...

Risk management, volatility forecasting, local linear forest, firm characteristics, pooled estimation

2.

Sentiment Spillover Effects for US and European Companies

Number of pages: 42 Posted: 24 Apr 2017
Francesco Audrino and Anastasija Tetereva
University of St. Gallen and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 270 (194,369)
Citation 7

Abstract:

Loading...

TRMI, sentiment, news, lasso, Granger causality, news networks

3.

Forecasting Realized Correlations: A MIDAS Approach

Number of pages: 33 Posted: 27 Mar 2019
Alexander Kostrov and Anastasija Tetereva
University of St. Gallen and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 258 (203,404)

Abstract:

Loading...

Mixed-data sampling, Forecasting, Realized covariance

4.

Do Financial Companies Communicate to One Another in the News? (Application of Multivariate Hawkes Graphs to Uncover Granger Causality of Financial News)

Number of pages: 33 Posted: 08 Mar 2018
Anastasija Tetereva
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 149 (334,010)

Abstract:

Loading...

Early Warning Indicator, Financial Contagion, High-Dimensional Hawkes Graphs, Sentiment Analysis