Dr Peter Exterkate

PhD, Erasmus University Rotterdam
Lecturer

H04 - Merewether Building
The University of Sydney

Telephone +61 2 9351 8532
Fax +61 2 9351 4341

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Curriculum vitae Curriculum vitae

Biographical details

Peter Exterkate received his PhD in Econometrics from Erasmus School of Economics in 2011, before taking up a postdoctoral researcher position at the Center for Research in Econometric Analysis of Time Series (CREATES) at Aarhus University. His research interests are in econometric forecasting techniques, with a focus on nonlinear methods using large data sets. His main applications are in financial econometrics and macroeconomics.

Peter is interested in pursuing nonlinear forecasting techniques using large data sets, both in regards to the interesting theoretical questions and in the many different empirical applications it gives rise to.

Peter has recently started a new research project in energy economics, using very large data sets to understand economic trends, particularly in regards to European electricity markets.

In addition to his postdoctoral work at Aarhus, Peter was a visiting scholar at Katholieke Universiteit Leuven, Belgium. Two chapters from his PhD thesis have been published in peer-reviewed journals (Journal of Forecasting, and Computational Statistics and Data Analysis), and the remaining two chapters are in advanced stages of the review process at the International Journal of Forecasting.

Research interests

  • Financial econometrics
  • Large data sets
  • Nonlinear methods
  • Robust methods

JEL Codes

Major fields: Mathematical and Quantitative Methods, Financial Economics.

Specific fields: Forecasting and Prediction Methods, Model Construction and Estimation, Computational Techniques.

Selected grants

2016

  • Economic Forecasts Methods Based on Big Data; Exterkate P; DVC Research/Bridging Support Grant.

Selected publications

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Journals

  • Exterkate, P., Groenen, P., Heij, C., van Dijk, D. (2016). Nonlinear forecasting with many predictors using kernel ridge regression. International Journal of Forecasting, 32(3), 736-753. [More Information]
  • Petrevski, G., Exterkate, P., Tevdoski, D., Bogoev, J. (2015). The transmission of foreign shocks to South Eastern European economies: A Bayesian VAR approach. Economic Systems, 39(4), 632-643. [More Information]
  • Exterkate, P., van Dijk, D., Heij, C., Groenen, P. (2013). Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson–Siegel Model. Journal of Forecasting, 32, 193-214. [More Information]
  • Exterkate, P. (2013). Model selection in kernel ridge regression. Computational Statistics and Data Analysis, 68, 1-16. [More Information]

2016

  • Exterkate, P., Groenen, P., Heij, C., van Dijk, D. (2016). Nonlinear forecasting with many predictors using kernel ridge regression. International Journal of Forecasting, 32(3), 736-753. [More Information]

2015

  • Petrevski, G., Exterkate, P., Tevdoski, D., Bogoev, J. (2015). The transmission of foreign shocks to South Eastern European economies: A Bayesian VAR approach. Economic Systems, 39(4), 632-643. [More Information]

2013

  • Exterkate, P., van Dijk, D., Heij, C., Groenen, P. (2013). Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson–Siegel Model. Journal of Forecasting, 32, 193-214. [More Information]
  • Exterkate, P. (2013). Model selection in kernel ridge regression. Computational Statistics and Data Analysis, 68, 1-16. [More Information]

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