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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Danial Saef

Contact

E-mail:

danial.saef [at] hu-berlin.de

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

2016 – 2017 M. Sc. in Economics, Maastricht University
2013 – 2016

B. Sc. in Economics, University of Cologne

 

 

Working Papers

 

Work in Progress

  • Understanding jumps in high frequency digital asset markets (with Odett Nagy, Sergej Sizov, Wolfgang K. Härdle)

 

Scientific Talks

 

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