Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Research projects


The International Research Training Group is organized in eight vertebra like projects, together they constitute the backbone of this IRTG. Three projects are of methodological character, two are focussing on dimension reduction and the other one focuses on applications in finance. All vertebra projects are joint with XMU and HUB:
  • A1 - Structuring high-dimensional time series
  • A2 - Nonstationarity
  • A3 - Bootstrapping methods for time series
  • B1 - Dynamic factor models
  • B2 - Forecasting high-dimensional time series
  • B3 - Copulae
  • C1 - Volatility
  • C2 - Non-synchronicity