Sébastien FRIES

Welcome to my personal website!

About me

Since September 2019, I am an Assistant Professor (tenure-track) of Data Science at the Department of Econometrics of the Vrije Universiteit Amsterdam. I completed a PhD in applied mathematics at the ENSAE-CREST in December 2018 focusing on the forecasting of so-called anticipative, or noncausal, heavy-tailed processes.

Research

Working papers

• Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds.

2018. arXiv:1805.05397. Submitted.

• Path prediction of aggregated alpha-stable moving averages using semi-norm representations.

2019. arXiv:1809.03631.

Publications

• Mixed causal-noncausal AR processes and the modelling of explosive bubbles.

2019. S. Fries, J.-M. Zakoïan. Econometric Theory, 35.

• National natural rates of interest and the single monetary policy in the euro area.

2018. S. Fries, J.-S. Mésonnier, S. Mouabbi, J.-P. Renne. Journal of Applied Econometrics, 33.

Teaching

• 2019 - Machine Learning - BSc, lectures & tutorials
• 2019 - Case Study in Data Science - MSc, lectures & tutorials
• 2019 - High-dimensional statistics - MSc, tutorials