Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Danial Saef

Contact

E-mail:

danial.saef [at] hu-berlin.de

foto danial saef
Phone:

+49 30 2093-99599

Office:

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

Education

 

2019 - present

PhD student in Statistics, Humboldt-Universität zu Berlin

2021 - present 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

 

Working Papers

 

 

Work in progress

    • Forecasting high frequency volatility regimes (with Tomaso Aste, Yuanrong Wang)
    • Variational heteroskedastic volatility modeling (with Zexuan Yin, Paolo Barucca) 

 

Scientific Talks

 

2021

  • 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

 

2020

  • 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: