Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

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E-mail:  maria.grith@hu-berlin.de Phone: +49 30 2093-5807 Office: Office hours: SPA1, Room 406 upon agreement Postal address: Ladislaus von Bortkiewicz Chair of Statistics School of Business and Economics Humboldt-Universität zu Berlin Spandauer Str. 1 D-10178 Berlin, Germany

Teaching

• Statistics I (Tutorial SS 08)

• Statistics II (Tutorial WS 08/09)

• Statistics of Financial Markets II (Lecture SS 09)

• Multivariate Statistical Analysis I (Lecture WS 09/10)

• Multivariate Statistical Analysis II (Lecture SS 10)

• Statistics of Financial Markets I (Lecture WS 10/11)

• Statistics I (Tutorial SS 11)

• Multivariate Statistical Analysis I (Lecture WS 11/12)

• Non- and Semiparametric Modelling (Lecture WS 11/12)

• Multivariate Statistical Analysis II (Lecture SS 12)

• Numerical Intruductory Course (Seminar WS 12/13)

• Privatissimum (Seminar SS 13)

• Numerical Intruductory Course (Seminar WS 13/14)

• Statistics of Financial Markets I (Tutorial WS 14/15)

• Statistics of Financial Markets II (Lecture SS 15)

• Advanced Methods in Quantitative Finance (Lecture SS 15)

Publications and Working Papers

• Grith, M., Krätschmer, V. and Härdle, W. K. (2015) Reference Dependent Preferences and the EPK Puzzle, Review of Finance. Forthcoming, SFB 649 DP 2013-023
• Grith, M., Härdle, W. K. and Park, J. (2013) Shape Invariant Modeling of Pricing Kernels and Risk Aversion, Journal of Financial Econometrics 11 (2): 370-399, DOI: 10.1093/jjfinec/nbs019
• Grith, M., Krätschmer, V. (2011) Parametric Modeling and Estimation of Risk-Neutral Densities, in Jin-Chuan Duan, James E. Gentle, and Wolfgang Härdle(eds) Handbook of Computational Finance. Springer Verlag, ISBN 978-3-642-17253-3, SFB 649 DP 2010-045
• Grith, M., Härdle, W. K. and Schienle, M. (2011) Nonparametric Estimation of Risk-Neutral Densities, in Jin-Chuan Duan, James E. Gentle, and Wolfgang Härdle(eds) Handbook of Computational Finance. Springer Verlag, ISBN 978-3-642-17253-3, SFB 649 DP 2010-021

My citations

Research Summary

Research interests

• Microstructure of Financial Market, Empirical Pricing Kernels, Behavioral Economics, Dynamic Stochastic Processes, Functional Data Analysis, Nonparametric Statistics

Presentations

• Shape Invariant Modeling and Risk Patterns

• Nonparametric Estimation of Risk-Neutral Densities

• Reference Dependent Preferences and the EPK Puzzle

• Cross Country Evidence for the EPK Puzzle

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