zum Inhalt springen

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)

Übung "Bayesian Econometrics" (Master)

Übung "Advanced Econometrics: Microeconometrics" (Master)