Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Michael Althof

Contact

E-mail:

althofmi [at] hu-berlin [dot] de

 Michael.Althof
Phone:

+49 30 2093-5630

Office:

Office hours:

Dorotheenstr. 1
Upon agreement
Postal address:

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

Education

2018 - present

PhD student in Statistics, Humboldt-Universität zu Berlin
2012

Certificate in Quantitative Finance, CQF Institute (Fitch Learning)
2000-2004

ESCP Europe, Paris, Master, Focus on Finance
1998-1999

Vordiplom, Universität zu Köln, Business Management 

 

 

Working Papers

Mihoci, A., Althof, M., Chen, C. , and Härdle, W. (2019). FRM Financial Risk Meter, accepted

Ren R, Althof, M, Härdle WK (2021) Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis, Risk Analysis, Wiley Publishers, submitted 20201125

Ben Amor S, Althof M, Härdle WKH (2021) FRM Financial Risk Meter for Emerging Markets, submitted 20210429, accepted 

Wang R, Althof M, Härdle (WKH) 2022 FRM Financial Risk Meter for China, under review

Work in Progress

Neural Network Based Approach to and Asset Allocation, focus on Alternative Investment Funds

Index Construction for Blockchain Protocol Based Offered Rates

Index Construction for Voluntary Carbon Credit Markets

Research Interest

  • Applied Machine Learning (Deep Learning, Unstructured Data Analysis and Modelling)
  • Time Series Forecasting using Machine Learning Tools, Focus on Yield Curves and Crypto Currencies, Portfolio Allocation
  • Amalgamation of Machine Learning Related Analysis to Robust Portfolio Construction, Focus on Crpto Currency Allocation

Teaching 

  • VL Statistical Tools in Finance and Insurance (WS 19/20)
  • VL Statistics of Financial Markets I - Interest Rate Models (WS 21/22)