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Sprechstunde nach Vereinbarung.

Publikationen

  • The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility,
    Journal of Econometrics, (2012), 167, 211-223 (with V. Golosnoy, R. Liesenfeld). (link, SSRN).
  • Intra-daily volatility spillovers in international stock markets, Journal of International Money and Finance, (2015), 53, 9-114 (with V. Golosnoy, R. Liesenfeld). (link)
  • Estimating Stochastic Volatility Models Using Realized Measures, Studies in Nonlinear Dynamics & Econometrics, (2016), 20, 3, 279-300, (with J. Bekierman) (link)
  • Multivariate Wishart Stochastic Volatility and Changes in Regime, Advances in Statistical Analysis, (2016), 100, 4, 443–473 (link)
  • A Latent Dynamic Factor Approach to Forecasting Multivariate Stock Market Volatility, Empirical Economics, (2017), 1-31 (link)

Working Paper

  • A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns (2016, with J. Bekierman), (SSRN)
  • Dynamic Principal Component CAW Models for High-Dimensional Realized Covariance Matrices (2016, with M. Stollenwerk), (SSRN)
  • Exponential Smoothing of Realized Portfolio Weights (2017, with V. Golosnoy, M.I. Seifert), (SSRN)

Vorträge

  • "Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns", Statistische Woche, Rostock, 19.-22. September 2017.
  • "A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns", 9th International Conference of the ERCIM WG on Computational and Methodological Statistics (ERCIM'16), Sevilla, 09.-11. Dezember 2016.
  • "A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns", Statistische Woche, Augsburg, 13.-16. September 2016.
  • "A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns", Ökonomisches Forschungsseminar der Westfälischen Wilhelms-Universität Münster, 13. Juli 2016.
  • "A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns", VWL-Kolloquium der Ruhr-Universität Bochum, 20. Januar 2016.
  • "A Latent Dynamic Factor Approach to Forecasting Multivariate Stock Market Volatility", Jahrestagung des Vereins für Socialpolitik 2013, Düsseldorf, 04.-07. September 2013.
  • "A Latent Dynamic Factor Approach to Forecasting Multivariate Stock Market Volatility", Statistische Woche, Berlin, 17.-20. September 2013.
  • "A Latent Dynamic Factor Approach to Forecasting Multivariate Stock Market Volatility", 6th International Conference of the ERCIM Working Group on Computing & Statistics (ERCIM'13), London, 14.-16. Dezember 2013. 
  • "A Latent Dynamic Factor Approach to Forecasting Multivariate Stock Market Volatility", Forschungsseminar des Lehrstuhls für Statistik, Wirtschaftswissenschaftliche Fakultät der Universität Augsburg, 15. Juni 2012. 
  • "Intra-Daily Volatility Spillovers between the U.S. and German Stock Markets", 5th CSDA International Conference on Computational and Financial Econometrics (CFE'11), University of London, UK, 17. - 19. Dezember 2011.
  • "Intra-Daily Volatility Spillovers between the U.S. and German Stock Markets", Jahrestagung des Vereins für Socialpolitik 2011, Frankfurt am Main, 04. - 07. September 2011.
  • "Intra-Daily Volatility Spillovers between the U.S. and German Stock Markets", EEA-ESEM 2011, Oslo, 25-29 August 2011. Vortrags-Stipendium der Schweizerischen Nationalbank.
  • "The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility", 2nd Humboldt - Copenhagen Conference on Financial Econometrics, Copenhagen, 13-14 May 2011.
  • "The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility", 3rd International Conference of the ERCIM Working Group on Computing & Statistics (ERCIM'10), University of London, UK, 10-12 December 2010.
  • "Multivariate Wishart Stochastic Volatility Models", Statistische Woche, Nürnberg, 14. - 17. September 2010.
  • "The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility", Jahrestagung des Vereins für Socialpolitik 2010, Kiel, 07. - 10. September 2010.
  • "Multivariate Wishart Stochastic Volatility Models", DAGStat 2010, Dortmund, 23. - 26. März 2010.

Lehre

Bachelorstudium

  • Beschreibende Statistik und Wirtschaftsstatistik (Statistik A), 4SWS
  • Wahrscheinlichkeitsrechnung und schließende Statistik (Statistik B), 4SWS
  • Analyse multivariater Daten, 2SWS

Forschungsgebiete

  • Multivariate stochastic volatility models
  • Realized covariance
  • State space models
  • Simulation based inference
  • Financial econometrics

Mitgliedschaften

  • Econometric Society
  • Deutsche Statistische Gesellschaft (DStatG)
  • Verein für Socialpolitik