Matthijs Lof

Matthijs Lof, photo by Aino Huovio

Assistant Professor of Finance

Room: T310 (School of Business building, 3rd floor)
Office hours: By appointment

Tel: +358 50 401 4448
Email: [email protected]
Website: personal webpage

 

Research

Working papers

“Discount rates and Cash Flows: A Local Projection Approach” (with Henri Nyberg)

“Asymmetric information and the Distribution of Trading Volume“ (with Jos van Bommel)

“Slow Trading and Stock Return Predictability” (with Allaudeen Hameed and Matti Suominen) 

“Identifying Accounting Conservatism in the Presence of Skewness“ (with Henry Jarva)

 

Publications

“Expected market returns: SVIX, realized volatility, and the role of dividends”, Journal of Applied Econometrics (forthcoming).

“Noncausality and the Commodity Currency Hypothesis”, 2017, with Henri Nyberg, Energy Economics 65, 424 - 433.

“Rational Speculators, Contrarians and Excess Volatility”, 2015, Management Science 61, 1889 - 1901.

“Aid and Income: Another Time-Series Perspective”, 2015, with T. Mekasha, and F. Tarp, World Development 69, 19-30.

“Rejoinder to Herzer, Nowak-Lehmann, Dreher, Klasen, and Martinez-Zarzoso”, 2015, with T. Mekasha, and F. Tarp, World Development 70, 397-399.

“GMM Estimation with Noncausal Instruments under Rational Expectations”, 2014, Oxford Bulletin of Economics and Statistics 76, 2, p. 279-286.

”Does sovereign debt weaken economic growth? A Panel VAR analysis”, 2014, with T. Malinen Economics Letters 122/3, 403-407. 

“Noncausality and Asset Pricing”, 2013,Studies in Nonlinear Dynamics & Econometrics 17, 211-220.

“Heterogeneity in Stock Prices: A STAR Model with Multivariate Transition Function”, 2012, Journal of Economic Dynamics and Control 36, 1845 – 1854.

 

Teaching

Econometrics for Finance (BSc)

Advanced Econometrics for Finance (MSc)

Master Thesis Seminar

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