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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Our Researchers

The International Research Training Group 1792 is supported by the major academic institutions of statistics and economics in Berlin and Xiamen, Humboldt-Universität zu Berlin, Xiamen University and Free University of Berlin, and by the four research organizations Weierstrass Institute for Applied Analysis and Stochastics (WIAS), and Wang Yanan Institute for Studies in Economics (WISE).

 

Principal Investigators (Participating Researchers) in Berlin

Christoph Breunig (HU Berlin)

  • Econometrics
  • Theoretical microeconomics

Michael Burda (HU Berlin)

  • Labor Economics
  • Macroeconomics
  • European Integration

Bernd Fitzenberger (HU Berlin, Chair of Econometrics)

  • Quantile Regression
  • Decomposition Methods

 

zero

Wolfgang Härdle (HU Berlin)

  • Applied Statistics
  • Econometrics
  • Quantitative finance

Stefan Lessmann (HU Berlin, Chair of Information Systems)

  • Information system
  • Applications in Economics and Business
zero

Brenda Lopez Cabrera (HU Berlin)

  • Weather Derivatives
  • Energy Demand
  • CO2 Emission Rights
zero

Markus Reiss (HU Berlin)

  • Mathematical Statistics
zero

Vladimir Spokoiny (WIAS)

  • Mathematical Statistics
  • Semi-parametric models
  • Signal Processing

Weining Wang (HU Berlin)

  • Financial Econometrics
  • Statistics
  • Macroeconometrics

Lars Winkelmann (FU Berlin)

  • Applied Econometrics
  • Time Series Analysis

 

Participating Researchers in Xiamen

zero

Marcel Bluhm (Xiamen University)

  • Monetary Policy
  • Economic Growth
  • Financial Stability
zero

Zongwu Cai (University of Kansas)

  • Econometrics
  • Quantitative finance
  • Nonlinear Time Series
zero

Haiqiang Chen (Xiamen University)

  • Financial Econometrics
  • Time Series
  • financial economics
zero

Yongmiao Hong (Cornell University)

  • Econometrics
  • Time Series Analysis
  • Financial Econometrics
  • Chinese Economics

Qingliang Fan (Xiamen University)

  • Econometric Theory
  • Shrinkage Estimation
  • Model Selection
zero

Yu Ren (Xiamen University)

  • Financial Econometrics
  • Applied Econometrics
  • Econometric Theory
zero

Ming Lin (Xiamen University)

  • Monte Carlo Methods
  • Self-Selection
zero

Muyi Li (Xiamen University)

  • Time Series
  • High Dimensional Financial Econometrics
zero

Yingxing Li (Xiamen University)

  • Nonparametric and Semiparametric Regression
  • Dimension Reduction and Functional Data Analysis
zero

Linlin Niu (Xiamen University)

  • Macro-finance
  • Applied Econometrics
  • International Economics
       
Mercator Fellow      

Cathy Yi-Hsuan Chen (HU Berlin)

  • The integration of credit default swaps markets

   
 

 

Associated Researchers

zero

Dieter Nautz (FU Berlin, Faculty of Economics, Department of Statistics and Economics)

  • Financial Econometrics
  • Monetary Economics
zero

Rong Chen (Rutgers University, USA)

  • Mathematical Statistics
  • Time Series
  • MCMC

Zhenghui Feng (Xiamen University)

  • Statistical Theory
  • Dimension Reduction
  • Model Estimation

Xuexin Wang (Xiamen University)

  • Econometric Theory
  • Financial Econometrics
  • Applied Econometrics

Wei Zhong (Xiamen University)

  • Ultrahigh / High Dimensional Data Analysis
  • Large Covariance Matrix Estimation
  • Portfolio Theory

Bernd Droge (Humboldt University)

  • Econometrics
zero

Ying Fang (Xiamen University)

  • Econometrics
  • Applied Econometrics
  • Economy of China

Ying Chen (National University of Singapore, Department of Statistics)

  • Financial statistics and risk management
  • Non-stationary time series analysis

Lutz Hildebrandt (HU Berlin)

  • Quantitative analysis of key success factors
  • Marketing mix management
  • Panel data analysis in international marketing

Florentine Schwark (HU Berlin)

  • Economic growth
  • Business cycles
  • Financial markets

Hermann Elendner (HU Berlin)

  • Blockchains and Crypto-Currencies
  • Private Equity
  • Sovereign Debt Issuance
  • Credit Ratings and Rating Agencies

Max Klimm (HU Berlin)

  • Optimization under Uncertainty
  • Algorithmic Game Theory
  • Traffic and Logistics Networks
  • Industrial Organization

Yinggang Zhou (Xiamen University)

  • International Finance
  • Real Estate Markets
  • Financial Innovation

Natalie Packham (Berlin School of Economics and Law)

  • Mathematical Finance
  • Quantitative Risk Management
  • Computational Finance
  • Contract Theory

Nadja Klein (Universität zu Köln)

  • Bayesian Statistics
  • Computational Methods
  • Machine Learning
  •  Distributional Regression
  • Smoothing Methods
  • Copula Modelling
  • Shrinkage Priors & Variable Selection
 
     
     
Advisory Board    

 

Qiwei Yao (London School of Economics)

  • Time series analysis
  • Nonparametric regression
  • Dimension reduction and factor modeling
  • Spatio-temporal modeling
  • Financial econometrics

Oliver Linton (University of Cambridge)

  • Nonparametric and Semiparametric methods
  • Financial Econometrics

Per Mykland (University of Chicago)

  • High-Frequency Financial Econometrics
  • Data Analysis and Pattern Recognition