Research Areas at the Chair of Econometrics
Financial Econometrics
- Limit Order Book Modelling (N. Hautsch, R. Huang)
- Estimating Time-Varying Volatility (N. Hautsch)
- Analyzing the Impact of News on Financial Markets (N. Hautsch, A. Groß-Klussmann)
- Term Structure Modelling (N. Hautsch)
- Point Process Models (N. Hautsch)
- Forecasting of Financial Time Series (N. Hautsch, A. Groß-Klussmann)
- Parametric and Nonparametric Estimation of Risk Measures (N. Hautsch, J. Schaumburg)
- Liquidity Risk (G. Haitz)
Time Series Econometrics
- Latent Factor Models (N. Hautsch)
- Cointegration Analysis (D. Örsal, B. Droge)
- Quantile Regression in Time Series (N. Hautsch, J. Schaumburg)
- Nonparametric, Nonstationary Time Series (M. Schienle)
Computational Econometrics
- Simulation-based Methods (N. Hautsch)
Theoretical Econometrics
- Minimax Regret Estimation (B. Droge)
- Model Selection (B. Droge)
- Nonparametric Estimation (M. Schienle)
- Dimension Reduction Techniques (M. Schienle)
Spatial Econometrics
- Spatial Dependencies in Labor Market Research (N. Hautsch, F. Lottmann)
Econometric Software Development
- Development of the software package JMulti
- Development of a C++ based package for the estimation of SV Models
