Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Hien Pham-Thu

E-mail: HienPhamThu
Phone: +49 30 2093-5723
Fax: +49 30 2093-5748
Office hours: upon agreement
SPA1, Room 312
Postal Address: Humboldt-Universität zu Berlin
School of Business and Economics
Ladislaus von Bortkiewicz Chair of Statistics
Unter den Linden 6
10099 Berlin


Research Interests

  • Conditional correlation in credit risk (VaR and CoVaR Estimation)
  • Reciprocation of liquidity risk and credit risk
  • Portfolio diversification factor


  • 2003 - 2010 Diploma in Industrial Engineering, Karlsruhe Institute for Technology


  • Klein, T., Pham-Thu, H., Piontek, K., Walther, T. (2017) True or Spurious Long Memory in European Non-EMU Currencies. Research in International Business and Finance, Vol. 40C, pp. 217-230.

  • Chen, C., Härdle, W. K., Pham-Thu, H. (2016) The integration of credit default swaps markets: An investigation of common stochastic trends. Discussion Paper 2014-39, CRC 649, Humboldt-Universität zu Berlin. Resubmitted.

  • Klein, T., Pham-Thu, H., Walther, T. (2015) Empirical Evidence of Long Memory and Asymmetry in EUR/PLN Exchange Rate Volatility. Research Papers of Wroclaw University of Economics, No. 428, pp. 128-140.

  • Chao, S.-K., Härdle, W. K., Pham-Thu, H. (2014) Credit Risk Calibration based on CDS Spreads. Discussion Paper 2014-26, CRC 649, Humboldt-Universität zu Berlin. Resubmitted.