Chair of Econometrics and Chair of Financial Econometrics

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.

 

 Tue., 25. Jul. 2023   Großer, Jan-Lucas

Paper "Approximation and Error Analysis of Forward–Backward SDEs Driven by General Lévy Processes Using Shot Noise Series Representations"

For the internationally peer-reviewed journal "ESAIM: Probability & Statistics", Dr. Till Massing has been accepted with his paper "Approximation and Error Analysis of Forward–Backward SDEs Driven by General Lévy Processes Using...
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 Thu., 13. Jul. 2023   Großer, Jan-Lucas

Paper "A Data Mining Approach for Detecting Collusion in Unproctored Online Exams"

With the paper "A Data Mining Approach for Detecting Collusion in Unproctored Online Exams", Prof. Dr. Christoph Hanck, Dr. Till Massing, Jens Klenke, Janine Langerbein, Natalie Reckmann, Prof. Dr. Michael Goedicke and Dr. Michael...
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 Wed., 31. May. 2023   Großer, Jan-Lucas

Paper "Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability"

The paper "Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability" by Prof. Dr. Yannick Hoga and Dr. Tobias Fissler was accepted for the internationally peer-reviewed Journal of Business & Economic Statistics. The...
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 Tue., 25. Apr. 2023   Großer, Jan-Lucas

Paper "Effects of Early Warning Emails on Student Performance"

The paper "Effects of Early Warning Emails on Student Performance" by Prof. Dr. Christoph Hanck, Dr. Till Massing, Jens Klenke, Janine Langerbein, Natalie Reckmann, Benjamin Otto and Prof. Dr. Michael Goedicke has been accepted...
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 Fri., 09. Sep. 2022   Schwarzbach, Marco

Paper "Extremal Dependence-Based Specification Testing of Time Series"

The paper "Extremal Dependence-Based Specification Testing of Time Series" by Dr. Yannick Hoga was accepted for the internationally peer-reviewed Journal of Business & Economic Studies. The publication can be viewed here.
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 Fri., 24. Jun. 2022   Schwarzbach, Marco

Paper "Monitoring Value-at-Risk and Expected Shortfall Forecasts"

The paper "Monitoring Value-at-Risk and Expected Shortfall Forecasts" by Dr. Yannick Hoga and Dr. Matei Demetrescu was accepted for the internationally peer-reviewed journal Management Science. The publication can be viewed here. ...
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 Sat., 14. May. 2022   Schwarzbach, Marco

Paper "Robust Inference under Time-Varying Volatility: A Real-Time Evaluation of Professional Forecasters"

The paper "Robust Inference under Time-Varying Volatility: A Real-Time Evaluation of Professional Forecasters" by Prof. Dr. Christoph Hanck, Prof. Dr. Matei Demetrescu and Prof. Dr. Robinson Kruse was accepted for the...
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 Thu., 24. Feb. 2022   Schwarzbach, Marco

Exam Review in Recent Developments in Econometrics

The exam review in Recent Developments in Econometrics will take place on 02.03.2022 from 3pm to 4pm in R11 T04 C06 in compliance with the current concept of measures (esp. UDE-Boarding). For organizational reasons, prior...
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 Tue., 15. Feb. 2022   Schwarzbach, Marco

Dr. Yannick Hoga appointed Associate Editor for "Statistics"

Yannick Hoga was appointed Associate Editor of the journal "Statistics" at the invitation of the editor Matei Demetrescu (Kiel University).
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 Wed., 12. Jan. 2022   Schwarzbach, Marco

Paper "On Testing Equal Conditional Predictive Ability Under Measurement Error"

The paper "On Testing Equal Conditional Predictive Ability Under Measurement Error" by Dr. Yannick Hoga and Dr. Timo Dimitriadis was accepted for the internationally peer-reviewed Journal of Business & Economic Statistics. The...
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 Sat., 16. Oct. 2021   Schwarzbach, Marco

Room change in Recent Developments in Econometrics

Dear Students, we would like to inform you that there has been a room change in the module "Recent Developments in Econometrics". The lectures will take place in S05 T00 B83 from Monday, 18.10.2021, whereas the tutorials...
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 Fri., 08. Oct. 2021   Schwarzbach, Marco

Paper "Hierarchical Bayes modelling of penalty conversion rates of Bundesliga players"

The paper "Hierarchical Bayes modelling of penalty conversion rates of Bundesliga players" by Prof. Dr. Christoph Hanck and Martin Arnold was accepted for the internationally peer-reviewed Journal AStA - Advances in Statistical...
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