Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Danial Saef



danial.saef [at]

foto danial saef

+49 30 2093-99599


Office hours:

Dorotheenstr. 1, room 004
Upon agreement

Postal address:

IRTG 1792
School of Business and Economics
Humboldt-Universität zu Berlin
Unter den Linden 6
10099 Berlin, Germany



2019 - 2023

PhD student in Statistics, Humboldt-Universität zu Berlin

2021 Visiting Researcher in Financial Computing & Analytics, University College London
2016 – 2017

M. Sc. in Economics, Maastricht University

2013 – 2016

B. Sc. in Economics, University of Cologne


Peer-reviewed publications



Working Papers



Scientific Talks



  • ACM Web Conference 2023, University of Texas at Austin, TX, US.



  • 14th Annual SoFiE Conference, University of Cambridge, Cambridge, UK



  • COST FinAI Annual Meeting, Bucharest University of Economic Studies, Bucharest, Romania
  • “Crypto-Currencies in a Digital economy” (CCC3), Blockchain Research Center of Humboldt University of Berlin, Berlin, Germany



  • Second Yushan Conference, NCTU, Hsinchu, Taiwan (postponed until 2021)
  • 14th International Conference on Business Excellence, Bucharest University of Economic Studies, Bucharest, Romania
  • Stat of ML Conference, Charles University, Prague, Czech Republic


Research Interests

  • New methods for nonstationary processes

  • Forecasting high dimensional time series

  • Econometric models for jumps in asset prices and volatility

  • Cryptocurrencies



Download the codes and view live talks: