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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Current PhD students

 

Most recent Intake

 

 


 

Liu Keyan

 

Research interests:

  • Statistics

  • Financial Econometrics

  • Time Series Analysis

  • Mathematical Finance

 

Email:  keyan.liu [at] hu-berlin.de 

 


 

Elena Ivanova

 

Research interests:

  • Statistics

  • Quantile Regression 

 

Email: ivanovae [at] hu-berlin.de

 


 

 

Daniel Jacob

 

Research interests:

  • Causal inference in observational studies

  • Econometrics and machine learning 

  • Regularization and shrinkage techniques
  • Semi- and nonparametric modelling 

 

Email: daniel.jacob [at] hu-berlin.de

 


 

 

Georg Keilbar

 

Research interests:

  • Machine Learning

  • Neural Network

  • Financial Econometrics

 

Email: georg.keilbar [at] hu-berlin.de

 


 

Ioana Ceausu

 

Research interests:

  • Startups performance

  • Business accelerators

  • SME growth

 

Email: ceausuio@hu-berlin.de

 

 


Michael Althof

 

Research interests:

  • Applied Machine Learning (Deep Learning, Unstructured Data Analysis and Modelling)
  • Time Series Forecasting using Machine Learning Tools, Focus on Inflation
  • Combine Neural Networks with Stochastic Processes
  • Probabilistic Programming
  • Amalgamation of Machine Learning Related Analysis to Robust Portfolio Construction 

 

Email: althofmi [at] hu-berlin [dot] de

 

 


Thomas Bricke

 

Research interests:

  • Risk Models
  • Monetary measures of risk
  • Interest rate models
  • Time series econometrics

 

Email: thomas.bricke [at] hu-berlin [dot] de

 


 

Junjie Jeremy Hu

 

Research interests:

  • Machine Learning
  • Neural networks
  • Text Mining

 

Email:  junjie.hu [at] hu-berlin [dot] de

Intake 2015

 


 

Larisa Adamyan

 

Research interests:

  • Machine Learning
  • Time Series Analysis
  • Neural networks
  • Data Mining

 

Email:  larisa.hax [at] gmail.com


 

Junjie Guo

 

Research interests:

  • Corporate Finance
  • Financial Economics
  • Volatility Estimation

 

Email: jeffreykwok0826 [at] gmail.com


 

Yegor Klochkov

 

Research interests:

  • Statistics
  • Structural Inference
  • Reduction of dimension

 

Email:  eklochov [at] gmail.com


 

Mingyang Li

 

Research interests:

  • Macro-finance
  • Financial Econometrics
  • Monetary economics

 

Email:  limingya [at] cms.hu-berlin.de


 

Meng-Jou Lu

 

Research interests:

  • Risk management
  • Quantitative Finance
  • Derivatives

 

Email:  lumengjo [at] cms.hu-berlin.de


 

Awdesch Melzer

 

Research interests:

  • Energy Finance
  • Weather Derivatives
  • Functional Data Analysis
  • Quantiles and Expectiles

 

Email:  awdesch.melzer [at] hu-berlin.de


 

Xinwen Ni

 

Research interests:

  • Asset allocation
  • Financial Econometrics
  • Risk management

 

Email:  nixinwen [at] hu-berlin.de


 

Ya Qian

 

Research interests:

  • Financial econometrics
  • Financial economics

 

Email:  qianya [at] hu-berlin.de


 

Niels Wesselhöfft

 

Research interests:

  • Portfolio allocation
  • Time series econometrics
  • Algorithmic trading systems
  • Non-parametric and Bayesian methods

 

Email:  wesselhn [at] hu-berlin.de

 

 


 

 

 

Yangwen Sun

 

Research interests:

  •  Statistical change-point detection
  •  Agriculture insurance

 

Email: yangwen.sun [at] hu-berlin.de

 

Intake 2014

 

 


 

Shi Chen

 

Research interests:

  • High Dimensional Non Stationary Time Series
  • Yield Curve Modeling
  • Weather Risk Hedging

Working on "Rare Disaster Forecast of Stock Market in China" with Luhui Lin

 

Email: chenshiq [at] hu-berlin.de

 


 

Kirill Efimov

 

Research interests:

  • Statistics
  • Time Series Analisys
  • Penalized model selection

Working on "A Varying-Coefficient Expectile Model" with Dingshi Tian

 

Email: kirill.efimovs [at] gmail.com

 


 

Chen Huang

 

Research interests:

  • Econometric theory
  • Nonlinear time series analysis
  • Financial econometrics

Working on "Balanced Quantile Regression Predictive" with Xiaosai Liao

 

Email: chen.huang [at] hu-berlin.de

 

 


 

Xinjue Li

 

Research interests:

  • Financial Econometrics
  • Asset Pricing
  • NonlinearTime Series Analysis

Working on "Adaptive Penalized Macro Factors in Bond Risk Excess Premium" with Lenka Zboňáková 

 

Email: cabinofyunnan [at] 163.com

 


 

Xiaosai Liao

 

Research interests:

  • Financial Econometrics
  • Applied Econometrics
  • High-Frequency Econometrics

Working on "Balanced Quantile Regression Predictive" with Chen Huang

 

Email: liaoxiaosai [at] 126.com

 

 


 

Luhui Lin

 

Research interests:

  • Investment risk measure
  • Asset pricing
  • High-Frequency Financial Econometrics

Working on "Rare Disaster Forecast of Stock Market in China" with Shi Chen

 

Email: supmilk [at] hotmail.com


 

Katerina Papagiannouli

 

Research interests:

  • Financial Mathematics
  • Statistics for Stochastic Processes
  • Applied Statistics

 

Email: katerina.papagiannouli [at] gmail.com

 


 

Alla Petukhina

 

Research interests:

  • Statistics of Financial Markets
  • Asset allocation strategies
  • Regression shrinkage techniques
  • Quantiles and expectiles

 

Email:  petukhia [at] hu-berlin.de

 

 

 


 

Dingshi Tian

 

Research interests:

  • High Frequency Methods
  • Nonparametrics
  • Volatility Estimation
  • Asset Pricing

Working on "A Varying-Coefficient Expectile Model" with Kirill Efimov

 

Email: tds18 [at] 163.com


 

Lining Yu

 

Research interests:

  • VaR and CoVaR Estimation
  • dimension Reduction
  • variable Selection

 

Email: yulining [at] hu-berlin.de

Lenka Zboňáková

 

Research interests:

  • Econometrics
  • Time Series
  • Generalized Linear Models

Working on "Adaptive Penalized Macro Factors in Bond Risk Excess Premium" with Xinjue Li

 

Email:  lenka.zbonakova [at] hu-berlin.de

 

Intake 2013

 


 

Thijs Benschop

Research interests:

 

  • Econometrics
  • Energy economics
  • CO2 emission rights

 

Email: thijs.benschop [at] hu-berlin.de

 


 

Sebastian Holtz

Research interests:

 

  • Nonparametrics
  • Le Cam theory
  • Volatility estimation

 

Email: holtz [at] math.hu-berlin.de


 

Zhiwu Hong

Research interests:

 

  • Asset pricing
  • Financial econometrics
  • Applied Econometrics

 

Working on "Implied Volatility of Leveraged ETF option" with Sergey Nasekin

Email: hzw1888 [at] 126.com


 

Sergey Nasekin

Research interests:

 

  • Time series econometrics
  • Statistics of financial markets

 

Email: sergey.nasekin [at] hu-berlin.de

 


 

Franziska Schulz

 

Research interests:

 

  • Energy Finance
  • Functional Data Analysis
  • Quantile Regression and Expectile

 

Email:  sulzfran [at] hu-berlin.de


 

Alexandra Suvorikova

Research interests:

 

  • Statistics
  • information theory
  • Theory of probability
  • Time series analysis

 

Email: a.suvorikova [at] gmail.com


 

Qiuhua Xu

Research interests:

 

  • Nonlinear and nonstationary time series
  • Nonparametric and parametric regression semi

 

Finished "Partially Varying Coefficients Panel Data Models" with Christopher Breunig, now  at Southwestern University of Finance and Economics

Email: qiuhua814 [at] gmail.com

 


 

Xiu Xu

Research interests:

 

  • Asset pricing
  • Financial econometrics
  • Applied econometrics

 

Working on "Autoregressive Conditional Localized Expectile Model" with Andrija Mihoci

Email: spring_xux [at] 163.com


 

Yuanyang

Research interests:

 

  • Statistical computing
  • Bayesian inference for state space models

 

Working on "Network Dynamics" with Lining Yu

Email: yuanyang200 [at] gmail.com

Chuanhai Zhang

Research interests:

 

  • High Frequency Financial Econometrics
  • Functional Data Analysis
  • Empirical Finance
  • Asset Pricing

 

Finished "Testing the driving force of a continuous process" with Sebastian Holtz , now on job market

Email: chuanhaizhang.wise [at] gmail.com

Lei Fang


Research interests:

 

  • Longevity Risk
  • Actuarial Risk
  • Mortality Models
  • Functional Data Analysis

 

Email: lei.fang [at] hu-berlin.de