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Hanno Reuvers

Data Scientist / Econometrician

(last updated: 19 May 2024)

Interests

  • Climate Econometrics
  • Machine Learning
  • Spatial Modelling
  • Statistics for Big Data
  • Time Series Modelling
  • Volatility Models

Education

  • PhD in Econometrics, 2018

    Maastricht University

  • MSc in Econometrics and Operations Research, 2013

    Maastricht University

Working Papers & Publications

(2024). Cointegrating Polynomial Regressions with Power Law Trends.

(2020). A Statistical Analysis of Time Trends in Atmospheric Ethane. Climatic Change 162(1), 105-125.

PDF Code

(2019). Focused Information Criterion for Locally Misspecified Vector Autoregressive Models. Econometric Reviews 38(7), 763-792.

PDF

Blogs

Low- and high-dimensional logistic regression

Interpretation, implementation and computational comparison

The math of neural networks

Mathematical details on forward and backward propagation and a small illustration

The GARCH(1,1) model and its extensions

Benchmark stochastic volatility models

The Vasiček short-rate model

Zero-coupon bond pricing by risk-neutral valuation, Feynman-Kac, and Monte Carlo simulation

The greenhouse effect

Understanding global warming

Which computational language to choose?

A comparison of C++, Matlab, Python and R for Monte Carlo simulations