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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Former professors:

 


 

Thorsten Dickhaus

Institute for Statistics

(University of Bremen)


 

Ostap Okhrin

Institute for Transport and Economics

(TU Dresden)


 

Nikolaus Hautsch

Department of Statistics and Operations Research

(University of Vienna)

   

Former postdocs:

 


 

Alexander Ristig

(University of Vienna)

 

PhD thesis:

Iterative Estimation of Parametric Models - Theory and Practice


 

Andrija Mihoci

(BTU Cottbus)

 

PhD thesis:

Structural adaptive models in financial econometrics


 

Shih-Kang Chao

(Purdue University)

 

PhD thesis:

Quantile regression in risk calibration

 


 

Dedy Dwi Prastyo

(Sepuluh Nopember Institute of Technology)

 

PhD thesis:

On Single- and Multi-Period Corporate Default Prediction

 


 

Piotr Majer

 

PhD thesis:

Dynamic Semiparametric Factor Model in Applications to fMRI and Interest Rates

   

 

Former doctoral students:

 

Dissertations

2018

   

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Alla Petukhina

 

29.06.2018

Research interests:

  • Asset allocation strategies
  • Regression shrinkage techniques
  • Quantiles and expectiles
  • History of statistics
  • Investment strategies with crypto-currencies

 


Simon Trimborn

 

16.05.2018

Research interests:

  • Cryptocurrencies
  • Risk management
  • Time Series Analysis
  • Behavioral Finance

HienPhamThu


Hien Pham-Thu

 

31.01.2018

Research interests:

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

 

28.03.2018

Research interests:

  • Reduction of dimensionality
  • Quantiles and Expectiles
  • Regression shrinkage methods
       

Dissertations

2017

   

Thijs Benschop

24.11.2017

"Modeling the CO2 Markets"

New Position: Bureau for Economic Policy Analysis (CPB), The Hague, Netherlands


Shi Chen
 

17.11.2017

"Risk management"

       


Xu Xiu
 

13.11.2017

"Probabilisitc Models in Financial Risk Management"

New Position: Suzhou University of Science and Technology


Chen Huang

21.08.2017

 

"Balanced Quantile Regression Predictive"

New Position: St Gallen University

       

Yuanyang

20.08.2017

"Network Dynamics"

New Position: Financial Analyst


Lu Mengjou
 

16.06.2017

"Hedging with Spectral Risk Measure"

New Position: National Chiao Tung University
       

Alexandra Suvorikova
 

15.06.2017

 

"Detection of structural breaks in complex data"

New Position: Weierstrass Institute for Applied Analysis and Stochastics


Zhiwu Hong

14.06.2017

"Implied Volatility of Leveraged ETF option"

New Position: Hong Kong University of Science and Technology
       

Lining Yu

 

27.03.2017

"Tail Event Driven Financial Risk Modelling"

New Position: DFG Project in Economics

 

 


Lei Fang

 

07.02.2017

"Mortality Models and Longevity Risk"

New position: Wayfair

       


Franziska Schulz

 

06.02.2017

"Probabilistic Models in Energy Finance"

New Position: Energy Brainpool


Sergey Nasekin

20.01.2017

"Dynamic Dimension Reduction for Financial Applications"

New Position: Lecturer of Financial Econometrics at Department of Finance and Economics, Lancaster University, UK

 

 

   
       

 

Dissertations

2016

   


Chuanhai Zhang

20.06.2016

"Testing the driving force of a continuous process"

New Position: Zhongnan University of Economics and Law, China


Qiuhua Xu

20.06.2016

"Partially Varying Coefficients Panel Data Models"

New Position: Southwestern University of Finance and Economics, China