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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

Weining Wang (HU Berlin)

  • Financial Econometrics
  • Statistics
  • Macroeconometrics

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

Natalie Packham (Berlin School of Economics and Law)

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

Lars Winkelmann (FU Berlin)

  • Applied Econometrics
  • Time Series Analysis
zero

Markus Reiss (HU Berlin)

  • Mathematical Statistics
 zero

Vladimir Spokoiny (WIAS)

  • Mathematical Statistics
  • Semi-parametric models
  • Signal Processing
       

 

Participating Researchers in Xiamen
zero

 

Linlin Niu (Xiamen University)

  • Macro-finance
  • Applied Econometrics
  • International Economics
 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
  

 
       
       
Mercator Fellow      

Cathy Yi-Hsuan Chen (University of Glasgow)

  • Textual and sentiment analysis
  • Social media
  • Machine learning in finance
  • Cryptocurrencies
    
       
 

 

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 (HU Berlin)

  • 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

Maria Osipenko (HWR Berlin)

  • Risk Management, Insurance
  • Weather Derivatives, Weather Extremes, Electricity
  • Real Estate Prices
  • Multivariate Analysis, Spatial Analysis
  • Dimension Reduction Methods, Quantiles and Expectiles

Nadja Klein (HU Berlin)

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

Marcel Bluhm (Hong Kong Monetary Authority)

  • Monetary Policy
  • Economic Growth
  • Financial Stability

Christoph Breunig (Emory University)

  • Econometrics
  • Theoretical microeconomics
  
     
     
     
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