VU University Amsterdam, Department of Finance and Department of Econometrics and Operations Research
Postdoc Positions in Financial Time Series Econometrics

The Department of Finance together and the department of Econometrics and Operations Research, VU University Amsterdam, jointly invite applications for Postdoc Positions in Financial Time Series Econometrics f/m For 1,0 fte (Vacancy number: 1.2013.00028).

ABOUT THE FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION (FEWEB): The Faculty of Economics and Business Administration ( http://www.feweb.vu.nl) seeks to combine high quality education with excellent research. The Faculty offers three Dutch taught Bachelor's programmes (Economics and Business Economics, Econometrics and Operations Research and Business Administration), one English taught Bachelor's programme (International Business Administration), and eight English taught Master's programmes and thirteen professional degree programmes. The faculty has several research groups with an outstanding international reputation. FEWEB accommodates approximately 5000 students and 1500 postgraduate students. Over 500 staff members are employed at the Faculty.

ABOUT THE DEPARTMENT OF FINANCE AND THE DEPARTMENT OF ECONOMETRICS AND OPERATIONS RESEARCH: Both departments form ambitious, internationally oriented research groups dedicated to high-quality research and teaching. The Finance group specializes in themes such as asset pricing, risk management, and market microstructure. The Econometrics group is directed towards time series econometrics, mathematical economics and operations research. The research focus is on both theoretical and applied problems, and there is much cooperation between the two departments. Furthermore, both departments are actively engaged with the PhD and graduate programs of the Tinbergen Institute ( http://www.tinbergen.nl) and the Duisenberg school of finance ( http://www.duisenbergschooloffinance.com). For more information about the two departments, you can visit the webpages http://www.feweb.vu.nl/finance and http://www.personal.vu.nl/s.j.koopman.html

ABOUT THE FINANCIAL TIME SERIES ECONOMETRICS AT VU UNIVERSITY AMSTERDAM: The quality of the research in financial time series econometrics is reflected by our publication record, our active and relevant research agenda, our collaborations with international researchers and the invitations to participate at conferences and seminars. We are highly motivated to continue the development of new theoretical and applied research in econometric time series analysis with a focus on practical relevance.

TOPICS: The current positions relate to two different topics for which the group received prestigious research grants.
(i) The investigation of a new class of time series models called generalized autoregressive score models. We are interested in applicants that can contribute to either the theoretical or empirical development of these models. A group of senior faculty and a number of postdocs and PhD students is currently working on this topic.
(ii) The measurement of systemic risk. This line of research is carried out jointly with a number of other European research institutions in an EU oriented research network. The network will consist of both senior faculty and postdocs.

JOB QUALIFICATIONS AND DESCRIPTIONS: Candidates hold a PhD in (financial) time series econometrics, quantitative empirical finance, or quantitative economics or statistics and must show a strong research potential. They have a major interest in time series econometrics: theory and/or methodology with applications in finance. Candidates are expected to contribute to the research agenda of our group. Part of the position may consist of developing computer code for the analysis of generalized autoregressive score models and thesis supervision.

FURTHER INFORMATION: The postdoc positions are for a fixed-term period of two years. You can find information about all our fringe benefits of employment at http://www.workingatvu.nl

SALARY: The salary will be in accordance with university regulations for academic personnel, and depending on experience, in the range of Euro 2.977,- gross per month up to Euro 4.374,- gross per month (salary scales 10 and 11) based on full-time employment.

APPLICATION PROCEDURE: For more information on the position, please contact the coordinators of the research programs, Prof. Dr. A. Lucas (a.lucas@vu.nl) or Prof. Dr. S.J. Koopman (s.j.koopman@vu.nl). Applicants should send a letter with their motivation, CV and list of publications to VU University Amsterdam, Faculty of Economics and Business Administration, Mrs. D.S. Tielman via email: (d.s.tielman@vu.nl).