Overview
Peter C. Schotman is an econometrician and financial economist at Maastricht University. His research spans Bayesian unit root testing, stochastic volatility estimation, and term structure modeling. He is known for work on Bayesian approaches to unit roots (Schotman-van Dijk 1991) and SV model estimation.
Key Contributions / Features
- Stochastic Volatility — Mixture of Normals (Mahieu-Schotman 1998) — "An Empirical Application of Stochastic Volatility Models," Journal of Applied Econometrics 13 (1998) 333–359. Co-developed the flexible mixture-of-normals approximation for SV estimation; documented the severe upward bias in measurement noise relative to true log-volatility variation; compared QML, SIEM, and Bayesian estimation on six FX pairs. See Stochastic Volatility.
- Bayesian Unit Root Testing (Schotman-van Dijk 1991a, 1991b) — Prior sensitivity analysis for the AR(1) near-unit-root model; showed results are highly sensitive to the prior on the initial condition.
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