Marcel Scharth
Lecturer
Business Analytics
University of Sydney
Australia
Biography
Marcel Scharth specialises in simulation based methodology for the estimation of high dimensional time series and panel data models. Key techniques in his research are importance sampling, sequential Monte Carlo, Markov Chain Monte Carlo, and variance reduction methods. He holds a PhD in Econometrics from the VU University Amsterdam. Current applied interests include discrete choice modelling, univariate and multivariate stochastic volatility models, modelling cognitive development, and structural macroeconometrics. Marcel's research is published or forthcoming in the Journal of Econometrics, The Review of Economics and Statistics, The Journal of Business and Economics Statistics, among others
Research Interest
Monte Carlo methods High-dimensional estimation Bayesian statistics State Space models Sequential Monte Carlo Financial econometrics
