Research at the chair mainly deals with problems from theoretical and applied time series analysis. For example, Demetrescu and Hanck (J of Business and Economic Statistics, 2012, Demetrescu and Hanck (Econometric Reviews, 2016) develop a panel unit root test robust to both cross-sectional dependence and nonstationary volatility. Bayer and Hanck (J of Time Series Analysis, 2012) propose meta-cointegration tests combining the advantages of existing popular tests. Beckmann and Czudaj (North American J of Economics and Finance, 2013) show that the ability of gold to be used as a hedge against inflation is characterized by regime-dependence. Hoga (Econometric Theory, 2016+) develops tests for structural breaks for the tail index for a wide class of estimators under dependence and shows their consistency.

For more detail refer to the pages of the members of the chair.