Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Dr. Andrija Mihoci




Phone: +49 30 2093-5728


Office hours:

Spandauer Str. 1, Room 306

upon agreement
Postal address:

Ladislaus von Bortkiewicz Chair of Statistics
C.A.S.E. - Center for Applied Statistics and Economics
School of Business and Economics
Humboldt-Universität zu Berlin
Unter den Linden 6
10099 Berlin, Germany




Research Activities

  • High-Frequency Finance
  • Analysis of Limit Order Book Markets
  • Statistics of Financial Markets
  • Financial Econometrics
  • Empirical Pricing Kernels and Financial Markets



  • Gschöpf, P., Mihoci, A. and Härdle, W.K. (2015). TERES - Tail Event Risk Expectile based Shortfall, submitted to Journal of Financial Econometrics. 11.09.2015, manuscript ID, JFEC-2015-100
  • Härdle, W.K., Hautsch, N. and Mihoci, A. (2015). Local Adaptive Multiplicative Error Models for High-Frequency Forecasts, Journal of Applied Econometrics 30(4): 529–550, doi: 10.1002/jae.2376
  • Härdle, W.K., Mihoci, A. and Ting, C. (2014). Adaptive Order Flow Forecasting with Multiplicative Error Models, submitted to Quantitative Finance. 09.01.2015, manuscript ID, RQUF-2015-0005, SFB 649 DP 2014-35
  • Härdle, W.K., Hautsch, N. and Mihoci, A. (2012). Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics, Journal of Empirical Finance 19(4): 610–625, doi: 10.1016/j.jempfin.2012.04.002
  • Klinke, S., Mihoci, A. and Härdle, W.K. (2010). Exploratory factor analysis in Mplus, R and SPSS, ICOTS-8 Conference Proceedings on CD. Session 4F4: Sensible use of multivariate software, ISBN 978-90-77713-54-9.

My Citations - Google Scholar (here)