skip to content

Office hours by appointment

Publications

  • "Estimating Stochastic Volatility Models Using Realized Measures", Studies in Nonlinear Dynamics & Econometrics, (2016), 20, 3, 279-300, (with B. Gribisch). (link)

Working Papers

  • "A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns" (2016, with B. Gribisch), (SSRN)
  • "Improved Forecasting of Realized Variance Measures" (2016, with H. Manner), (SSRN)

Presentations

  • "A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns", ESEM, Geneva,  August 22-26, 2016
  • "A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns", DAGStat, Göttingen,  March 14-18, 2016
  • "Estimating Stochastic Volatility Models using Realized Measures", 11th World Congress of the Econometric Society, Montreal, Canada, August 17-21, 2015.
  • "Estimating Stochastic Volatility Models using Realized Measures", 7th International Conference on Computational and Financial Econometrics (CFE'13), University of London, UK, December 14-16, 2013.
  • "Estimating Stochastic Volatility Models using Realized Measures", Statistische Woche, Berlin,  September 17-20, 2013.

Field of research

  • Volatility Models
  • Financial Econometrics
  • Simulation based inference
  • International financial markets

Teaching

Exercise in "Descriptive and Economic Statistics" (Bachelor)

Exercise in "Theory of Probability and Inferential Statistics" (Bachelor)

Exercise in "Statistical Analysis of Financial Data" (Master)

Exercise in "Econometrics" (Master)