Gustavo is an Associate Professor in Economics at UEA since Aug/2019. He holds a PhD in Economics from Queen Mary, University of London (2013). Gustavo's research areas are econometrics (econometric theory, financial econometrics, time series analysis, forecasting, Big Data, and high-frequency econometrics) and financial economics (empirical finance and empirical market microstructure). More specifically, Gustavo's research has focused on two different fields: forecasting macroeconomic variables using rich datasets and financial econometrics using both low- and high-frequency data. Gustavo's recent work on financial econometrics relates to the field of high-frequency econometrics (inference on continuous-time models, econometric theory, and empirical market microstructure), where he investigates information processing in fragmented markets, e.g., price and volatility discovery in multiple exchanges in the US. Gustavo has also taught a number of courses in both undergraduate and postgraduate programmes at different institutions. His work has been published in several journals including Journal of Econometrics and Journal of Financial Econometrics. Gustavo is also an International Fellow of CREATES (Center for Research in Econometric Analysis of Time Series).

 

You can find further details about Gustavo's research and teaching on his personal webpage: https://sites.google.com/site/gustavofruetdias/