Dr. Konstantin Glombek
Kontakt: glombekwiso.uni-koeln.de
Forschungsinteressen:
- Multivariate Statistik
- Random Matrix Theory
- Kovarianzmatrix-Tests
- Portfolio Optimierung
Publikationen:
- Frahm, G., Glombek, K. (2012): Semicircle law of Tyler's M-estimator for scatter, Statistics & Probability Letters 82(5), S.959-964.
- Glombek, K. (2012): High-Dimensionality in Statistics and Portfolio Optimization, Eul Verlag, Lohmar (zugleich Dissertation, Universität zu Köln, 2012).
Arbeitspapiere:
- Glombek, K. (2013): A Jarque-Bera test for sphericity of a large-dimensional covariance matrix
Konferenzbeiträge:
- 8th World Congress in Probability and Statistics, Istanbul (07/2012)
- 4th International Conference of the ERCIM Working Group on Computing & Statistics, London (12/2011)
- 3rd International Conference of the ERCIM Working Group on Computing & Statistics, London (12/2010)
Lehre:
- Erstellung Vorlesungsskript und Übung zu Quantitative Methods in Riskmanagement (WS 2010/11, WS 2011/12, WS 2012/13)
- Hauptseminar Statistik (SS 2012)
- Übung zu Statistik B (SS 2012, WS 2012/13)
- Computerübung zu Finanzmarktstatistik (SS 2012)
Link: Graduiertenkolleg Risikomanagement - Konstantin Glombek