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Welcome to the homepage of the chair of econometrics!

The Chair of Econometrics and Financial Econometrics conduct research and teaching on quantitative methods. Research is focused on the construction of inferential methods, applications of Bayesian statistics and machine learning, time series and panel data methods and applications, as well as learning analytics. The chairs offer several compulsory for different programs (business, economics, business informatics and econometrics, among others) from introductory lectures until Phd-level courses. We also offer courses on current research topics, such as Bayesian econometrics, causal inference, financial econometrics, extreme value theory and statistical learning. also offered.

 

 Thu, 25. Feb 2021   Schwarzbach, Marco

Paper "Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting"

Dr. Yannick Hoga's authored paper, "Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting", was accepted for the internationally peer-reviewed Journal of Financial Econometrics. The publication can...
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 Thu, 18. Feb 2021   Schwarzbach, Marco

Paper "Clustering Using Student t Mixture Copulas"

Dr. Till Massing's authored paper, "Clustering Using Student t Mixture Copulas", was accepted for the internationally peer-reviewed Journal SN Computer Science. The publication can be viewed here.
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 Fri, 13. Nov 2020   Rammert, Timo

German Science Foundation (DFG) funds project "Simulations- und Schätzverfahren allgemeiner temperierter Lévy Verteilungen”

The German Science Foundation (DFG) funds the project "Simulations- und Schätzverfahren allgemeiner temperierter Lévy Verteilungen” for three years. Dr. Till Massing will work on various projects regarding the simulation and...
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 Thu, 29. Oct 2020   Rammert, Timo

Paper "The Uncertainty in Extreme Risk Forecasts from Covariate-Augmented Volatility Models"

The paper "The Uncertainty in Extreme Risk Forecasts from Covariate-Augmented Volatility Models" by Dr. Yannick Hoga has been accepted by the peer reviewed International Journal of Forecasting. The publication can be found here....
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 Sat, 18. Apr 2020   Rammert, Timo

Paper "On the parametric description of log-growth rates of cities’ sizes of four European countries and the USA"

The Paper "On the parametric description of log-growth rates of cities’ sizes of four European countries and the USA" by Dr. Till Massing,  Dr. Miguel Puente-Ajovín und Dr. Arturo Ramos  has been accepted by the peer reviewed...
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 Mon, 06. Jan 2020   Rammert, Timo

Paper "Where does the tail begin? An approach based on scoring rules"

The paper "Where does the tail begin? An approach based on scoring rules" by Dr. Yannick Hoga has been accepted by the peer reviewed Journal Econometric Reviews. The publication can be found here.
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 Mon, 23. Sept 2019   Rammert, Timo

Paper "Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles"

The paper "Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles" by Dr. Yannick Hoga has been accepted for the Journal of Financial Econometrics. The paper can be viewed here.
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 Mon, 09. Sept 2019   Rammert, Timo

Paper "What is the best Lévy model for stock indices? A comparative study with a view to time consistency" published.

The paper "What is the best Lévy model for stock indices? A comparative study with a view to time consistency" by Dr. Till Massing has been accepted by the peer reviewed Journal Financial Markets and Portfolio Management. The...
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 Fri, 12. Jul 2019   Arnold, Martin

Paper "On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions" published.

The Paper "On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions" by Prof. Dr. Christoph Hanck and Martin Arnold has been accepted by the peer reviewed Journal of Risk and Financial...
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 Tue, 21. May 2019   Rammert, Timo

Paper "Local asymptotic normality for Student-Lévy processes under high-frequency sampling" published.

The paper "Local asymptotic normality for Student-Lévy processes under high-frequency sampling" by Dr. Till Massing has been accepted by the peer reviewed Journal Statistics.
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 Mon, 11. Feb 2019   Schmelzer, Martin

Paper "E-Assessment Using Variable-Content Exercises in Mathematical Statistics" published.

The paper "E-Assessment Using Variable-Content Exercises in Mathematical Statistics" by Till Massing et. al. has been accepted by the peer reviewed Journal of Statistics Education.
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 Thu, 10. Jan 2019   Rammert, Timo

Paper "Extending the Limits of Backtesting via the ‘Vanishing p’ Approach"

The paper "Extending the Limits of Backtesting via the ‘Vanishing p’ Approach" by Dr. Yannick Hoga has been accepted by the peer reviewed Journal of Time Series Analysis. The publication can be viewed here.
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