Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Chen Huang






chen huang



+49 30 2093-1470

+49 30 2093-5649


Office hours:

Spandauer Str. 1, Room 311

On agreement

Postal address:

Ladislaus von Bortkiewicz Chair of Statistics
School of Business and Economics
Humboldt-University of Berlin
Unter den Linden 6
10099 Berlin, Germany





Research Interests

  • High Dimensional Statistical Inference
  • Quantile Regression
  • Non-stationary Time Series
  • Functional Data Analysis



  • Härdle, WK and Huang, C. (2016) Discussion of "Choquet representations and forecast rankings" by Werner Ehm, Tilmann Gneiting, Alexander Jordan and Fabian Krüger. Journal of the Royal Statistical Society: Series B Statistical Methodology 78 (3): 545, DOI : 10.1111/rssb.12154
  • Härdle, WK, Huang, C. and Chao, SK (2016) Factorisable Sparse Tail Event Curves with Expectiles. Oberwolfach Report No.12 / 2016: New Developments in Functional and Highly Multivariate Statistical Methodology : 26-29, DOI : 10.4171/OWR/2016/12 (See also SFB 649 Discussion Paper 2016-018)


Working Papers

  • Audrino, F., Huang, C. and Okhrin, O. (2016) Flexible HAR Model for Realized Volatility. Submitted .
  • Chao, S.-K., Härdle, WK and Huang, C.  (2016) Multivariate Factorisable Sparse Asymmetric Least Squares Regression. [codes] [SFB 649 Discussion Paper 2016-058]
  • Chen, H., Huang, C. and Liao, X. (2017) Robust Inference for Quantile Predictive Regression with Persistent Predictors. [codes] [slides]