Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Dr. Alexander Ristig

E-mail: alex_ristig
Phone: +49 30 2093-5623
Fax: +49 30 2093-5649
Office hours: upon agreement
SPA1, room 313
Postal address: Humboldt-Universität zu Berlin
School of Business and Economics
Ladislaus von Bortkiewicz Chair of Statistics
Unter den Linden 6
10099 Berlin





  • Oct 2006 - Sep 2009 B. Sc. in Economics, Humboldt-Universität zu Berlin


Academic Activities





  • Okhrin, O., Ristig, A., Sheen, J. and S. Trück (2015). Conditional Systemic Risk with Penalized Copula

    Sonderforschungsbereich 649, Humboldt-Universität zu Berlin, Germany, 2015-038

    submitted on August 1st, 2015

  • Hautsch, N., Okhrin, O. and A. Ristig (2015). Efficient Iterative Maximum Likelihood Estimation

    submitted on June 25th, 2015. (Earlier version)

  • Okhrin, O. and A. Ristig (2014). Hierarchical Archimedean Copulae: The HAC Package

    Journal of Statistical Software, 58(4), 1-20,

  • Hautsch, N., Okhrin, O. and A. Ristig (2013). Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series

    in: "Copulae in Mathematical and Quantitative Finance; Lecture Notes in Statistics Vol. 213 - Proceedings", P. Jaworski, F. Durante, W. K. Härdle (eds.), Springer

    The discussion paper version was listed on SSRN's Top Ten download lists for ERN: Model Construction & Estimation (Topic), Capital Markets: Market Microstructure eJournal and Econometrics: Econometric Model Construction, Estimation & Selection eJournal.