Sébastien FRIES

Assistant Professor of Econometrics and Data Science

Vrije Universiteit Amsterdam - Department of Econometrics and Data Science



Office A6-75, De Boelelaan 1105, Amsterdam 1081 HV, The Netherlands

Welcome to my personal website!

About me

I am a tenure-track Assistant Professor at the Department of Econometrics and Data Science of the Vrije Universiteit Amsterdam, School of Business and Economics, and a Marie Skłodowska-Curie Fellow. I hold a M.Sc.Eng. from ENSAE Paris (2015), a M.Sc. Analysis and Policy in Economics from Paris School of Economics (2015) and I completed a PhD in Mathematics at Paris-Saclay University in December 2018 focusing on the forecasting of so-called anticipative, or noncausal, heavy-tailed processes.


Working papers

2019. arXiv:1809.03631.

2020, with Friedrich, M., Pahle, M. & O. Edenhofer. arXiv preprint arXiv:1906.10572.


2021. Journal of Business & Economic Statistics, Forthcoming.

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

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


2020. S. Fries, Hou, T., Ennaifer, A., Jiang, L., Kherroubi, J. and Dumont H. US Patent Application No. 16/879,947.




European Commission. Marie-Curie Individual Fellowship

Principal Investigator: Sébastien Fries, Co-Investigators: Siem Jan Koopman and Francisco Blasques


2019 - Machine Learning - BSc, full coordinator

2019 - Case Study in Data Science : A data-centered competition on the theme of The Election Game - MSc, full coordinator

2019 - 2020 Data Science Project : Introduction to text mining and classification - BSc, designer and teacher of the course

2019 - 2020 High-dimensional statistics - MSc, tutorials