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Humboldt-Universität zu Berlin - Statistik

Lining Yu

Contact

  •   E-mail:             yulining@hu-berlin.de
  •   Phone:             +49 30 2093-5623

  •   Office:             Spandauer Str. 1, room 313

  •   Office hours:     upon agreement

Mail address

Humboldt-Universität zu Berlin
School of Business and Economics
Ladislaus von Bortkiewicz Chair of Statistics
Unter den Linden 6
10099 Berlin
Germany

photo_LY
Abb.: Lining Yu

Education

M.Sc. in Statistics, Humboldt-Universität zu Berlin

Research Interests

VaR and CoVaR Estimation

Dimension Reduction

Variable Selection

Teaching

Statistical Programming Languages (WS 15/16)

Working Papers

Härdle, W. K., Wang, W. and Yu, L. (2016) TENET: Tail-Event driven NETwork risk. Journal of Econometrics, 192(2):499–513. SFB 649 DP 2014-066

Yu, L., Härdle, W. K., Borke, L., Benschop T. (2017) FRM: a Financial Risk Meter based on penalizing tail events occurrence. Submitted to Statistics & Risk Modeling. SFB 649 DP 2017-003

Presentations

TENET: Tail-Event-driven NETwork Risk

CoVaR with very high dimensional risk factors