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

7

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1,652

TOTAL CITATIONS

7

Scholarly Papers (7)

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1.

A Forest Full of Risk Forecasts for Managing Volatility

Number of pages: 62 Posted: 01 Mar 2023 Last Revised: 14 May 2025
Onno Kleen, Andre A. P. Santos and Anastasija Tetereva
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), CUNEF Universidad and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 478 (130,104)

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Interpretable machine learning, volatility forecasting, panel data, local linear forest, firm characteristics

2.

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 323 (202,834)

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Mixed-data sampling, Forecasting, Realized covariance

3.

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 307 (214,324)
Citation 7

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

4.

Advancing Markowitz: Asset Allocation Forest

Number of pages: 52 Posted: 15 Apr 2024
Luis Ormonde Bettencourt, Anastasija Tetereva and Alla Petukhina
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business
Downloads 276 (239,693)

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interpretable machine learning, portfolio allocation, random forests

5.

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 180 (361,770)

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

6.

Read (between) the lines

Number of pages: 36 Posted: 19 Feb 2025
Christiaan van den Berg, Maarten Jansen, Fabian Neefjes, Anastasija Tetereva and Stefan Voigt
Erasmus University Rotterdam, Robeco Quantitative Investments, Erasmus University Rotterdam, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Copenhagen
Downloads 45 (892,768)

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7.

Spanning the Achievable Stochastic Discount Factor with Asset Pricing Trees

Number of pages: 46 Posted: 19 Feb 2025
Cil Bemelmans, Rasmus Lönn and Anastasija Tetereva
Erasmus University Rotterdam, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 43 (910,580)

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