Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

E-mail:	ristigal@hu-berlin.de
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 Germany

Classes

• Statistical Tools in Finance and Insurance (Lecture SS 15)
• Numerical Introductory Course (Seminar WS 14/15)
• Statistical Programming Languages (Lecture WS 13/14)
• Statistical Programming Languages (Lecture SS 13)
• Statistics II (Tutorial WS 12/13)
• Statistics I (Tutorial SS 12)

Education

• Apr 2012 - Jul 2015 Dr. rer. pol. in Statistics, Humboldt-Universität zu Berlin

• Jan 2014 - Jun 2014 Research fellow, The Centre for Financial Risk, Macquarie University

• Oct 2009 - Feb 2012 M. Sc. in Statistics, Joint Masters Program in Berlin

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

Academic Activities

• Reviewer for AStA Advances in Statistical Analysis and Computational Statistics

• Maintainer of the R-package HAC

Presentations

• Conditional Systemic Risk with Penalized Copula

• Efficient Iterative Maximum Likelihood Estimation

• Hierarchical Archimedean Copulae: The HAC Package

Papers

• 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, http://www.jstatsoft.org/v58/i04/

• 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.