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Sprechstunde nach Vereinbarung.

Publikationen

  • "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)

Vorträge

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

Forschungsgebiete

  • Volatility Models
  • Financial Econometrics
  • Simulation Based Inference
  • International Financial Markets

Lehre

Übung "Beschreibende Statistik und Wirtschaftsstatistik" (Bachelor)

Übung "Wahrscheinlichkeitsrechnung und schließende Statistik" (Bachelor)

Übung "Statistical Analysis of Financial Data" (Master)

Übung "Econometrics" (Master)