Honours and Awards:

• 2018: Wolfgang Wetzel Award of the German Statistical Society (DStatG) (1.000 €)
• 2017: Award of Sparkasse Essen for an outstanding Dissertation in Economics at the Universität Duisburg-Essen (5.000 €)
• 2017: Dissertation Prize of the Universität Duisburg-Essen (700 €)

Research Rankings:

• 2023: Placed in the Top 1% of the current WirtschaftsWoche Economics-Ranking
• 2021: Placed in the Top 75 among researchers under 40 in the Handelsblatt Economics-Ranking
• 2019: Placed in the Top 10% of the current Handelsblatt Economics-Ranking

Fields of Research:

• Change Point Analysis
• Extreme Value Theory
• Financial Econometrics

Projects:

Third-Party Funding:

• DFG Research Grant: "Predictive Regressions for Measures of Systemic Risk"; 2024­–2026
• DFG Heisenberg-Programme: "Forecasting and Evaluating Measures of Systemic Risk"; 2023­–2028.
• DFG Module Temporary Positions for Principal Investigators: "Extending Backtests of Value-at-Risk and Expected Shortfall Forecasts"; 2019­–2022.

Publications:

• Fissler, T.; Hoga, Y.: Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. In: Journal of Business & Economic Statistics, Vol 42 (2024) No 2, p. 485-498. doi:10.1080/07350015.2023.2200514CitationDetails
• Hoga, Y.: The Estimation Risk in Extreme Systemic Risk Forecasts. In: Econometric Theory (2024), p. 1-50. doi:10.1017/S0266466623000233CitationDetails
• Hoga, Y.: Extremal Dependence-Based Specification Testing of Time Series. In: Journal of Business & Economic Statistics, Vol 41 (2023) No 4, p. 1274-1287. doi:10.1080/07350015.2022.2120483CitationDetails
• Hoga, Y.; Demetrescu, M.: Monitoring Value-at-Risk and Expected Shortfall Forecasts. In: Management Science, Vol 69 (2023) No 5, p. 2954-2971. doi:10.1287/mnsc.2022.4460CitationDetails
• Hoga, Y.; Dimitriadis, T.: On Testing Equal Conditional Predictive Ability Under Measurement Error. In: Journal of Business & Economic Statistics, Vol 41 (2023) No 2, p. 364-376. doi:10.1080/07350015.2021.2021923CitationDetails
• Hoga, Y.: Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles. In: Journal of Financial Econometrics, Vol 20 (2022) No 1, p. 18-44. doi:10.1093/jjfinec/nbz032CitationDetails
• Hoga, Y.: Modeling Time-Varying Tail Dependence, With Application to Systemic Risk Forecasting. In: Journal of Financial Econometrics, Vol 20 (2022) No 5, p. 1007-1037. doi:10.1093/jjfinec/nbaa043CitationDetails
• Hoga, Y.: Quantifying the Data-Dredging Bias in Structural Break Tests. In: Statistical Papers, Vol 63 (2022), p. 143-155. doi:10.1007/s00362-021-01233-4CitationDetails
• Hoga, Y.: The Uncertainty in Extreme Risk Forecasts from Covariate-Augmented Volatility Models. In: International Journal of Forecasting, Vol 37 (2021) No 2, p. 675-686. doi:10.1016/j.ijforecast.2020.08.009CitationDetails
• Hoga, Y.: Where Does the Tail Begin? An Approach Based on Scoring Rules. In: Econometric Reviews, Vol 39 (2020) No 6, p. 579-601. doi:10.1080/07474938.2019.1697087CitationDetails
• Hoga, Y.: Confidence Intervals for Conditional Tail Risk Measures in ARMA-GARCH Models. In: Journal of Business & Economic Statistics, Vol 37 (2019) No 4, p. 613-624. doi:10.1080/07350015.2017.1401543Full textCitationDetails
• Hoga, Y.: Extending the Limits of Backtesting via the ‘Vanishing p’ Approach. In: Journal of Time Series Analysis, Vol 40 (2019), p. 858-866. doi:10.1111/jtsa.12450CitationDetails
• Hoga, Y.: Extreme Conditional Tail Moment Estimation under Serial Dependence. In: Journal of Financial Econometrics, Vol 17 (2019) No 4, p. 587-615. doi:10.1093/jjfinec/nby016CitationAbstractDetails

  , forthcoming

• Hoga, Y.: A structural break test for extremal dependence in β-mixing random vectors. In: Biometrika, Vol 105 (2018), p. 627-643. doi:10.1093/biomet/asy030CitationDetails
• Hoga, Y.: Detecting Tail Risk Differences in Multivariate Time Series. In: Journal of Time Series Analysis, Vol 39 (2018), p. 665-689. doi:10.1111/jtsa.12292Full textCitationAbstractDetails

  Here is the RCode.

• Hoga, Y.: Change Point Tests for the Tail Index of β-Mixing Random Variables. In: Econometric Theory, Vol 33 (2017) No 4, p. 915-954. doi:10.1017/S0266466616000189CitationDetails
• Hoga, Y.: Monitoring Multivariate Time Series. In: Journal of Multivariate Analysis, Vol 155 (2017), p. 105-121. doi:10.1016/j.jmva.2016.12.003CitationDetails
• Hoga, Y.: Testing for Changes in (Extreme) VaR. In: Econometrics Journal, Vol 20 (2017), p. 23-51. doi:10.1111/ectj.12080CitationDetails
• Hoga, Y.; Wied, D.: Sequential Monitoring of the Tail Behavior of Dependent Data. In: Journal of Statistical Planning & Inference, Vol 182 (2017), p. 29-49. doi:10.1016/j.jspi.2016.08.010CitationDetails

Editorships:

• Associate Editor of "Statistics"

Reviewing and consulting activities:

Reviewer for Journals:

• ASTIN Bulletin
• Bernoulli
• Computational Statistics
• Econometric Theory
• Econometrics
• Econometrics & Statistics
• Econometrics Journal
• Economics Letters
• European Journal of Operational Research
• Extremes
• International Journal of Forecasting
• Journal of Business & Economic Statistics
• Journal of Computational and Graphical Statistics
• Journal of Econometrics
• Journal of Economic Dynamics & Control
• Journal of Futures Markets
• Journal of Machine Learning Research
• Journal of Risk and Financial Management
• Journal of Statistical Planning and Inference
• Journal of the American Statistical Association
• Journal of Time Series Analysis
• Management Science
• Metrika
• Quantitative Finance
• Risks
• Statistica Sinica
• Statistics
• Statistics & Risk Modeling
• The American Statistician
• The Review of Economics and Statistics

Reviewer for Research Grants:

• German Science Foundation (DFG)
• Czech Science Foundation (GACR)

Conferences:

• 06/2024: SoFiE Conference in Rio de Janeiro
• 09/2023: Seminar at the ECB
• 09/2023: Research Seminar at Universiteit van Amsterdam
• 09/2023: Statistische Woche at TU Dortmund
• 01/2023: Research Serminar at the University of Cologne
• 06/2022: QFFE in Marseille, France
• 04/2021: Seminar in Econometrics at Erasmus University Rotterdam
• 03/2021: Séminaire Finance-Assurance at CREST in Palaiseau, France
• 01/2021: Statistics Seminar at Universität Bonn
• 02/2020: 13th Ruhr Graduate School Doctoral Conference (session chair)
• 02/2020: Econometrics Colloquium at Universität Konstanz
• 11/2019: Kolloquium über Mathematische Statistik und Stochastische Prozesse at Universität
  Hamburg
• 06/2019: QFFE in Marseille, France
• 09/2018: Statistische Woche at Johannes Kepler Universität Linz, Austria
• 06/2018: 2nd Conference on New Trends and Developments in Econometrics in Ílhavo, Portugal
• 02/2018: 11th Ruhr Graduate School Doctoral Conference (session chair)
• 09/2017: Statistische Woche at Universität Rostock
• 06/2017: Seminar on Statistics and Econometrics at Christian-Albrechts-Universität zu Kiel
• 03/2017: 10th Ruhr Graduate School Doctoral Conference (session chair)
• 06/2015: EVA Conferenceat University of Michigan, Ann Arbor, USA
• 11/2013: SFB 823 Seminar at TU Dortmund
• 10/2013: 4th Amsterdam-Bonn Workshop in Econometrics, Netherlands
• 09/2013: Junior Workshop of DStatG in Berlin
• 03/2013: DAGStat Freiburg

Courses:

• Introduction to Econometrics
• Econometric Methods
• Time Series Analysis
• Multivariate Time Series Analysis
• Recent Developments in Econometrics
• Advanced Econometrics
• Statistical Learning

Academic Duties:

• 11/2023-7/2024: Member of the hiring committee for an assistant professorship in Didactics of Economic and Business Education at the University of Duisburg-Essen
• 04/2022-06/2022: Member of the evaluation committee for the assistant professorship in Labour and Health Economics at University of Duisburg-Essen
• 03/2018-03/2019: Member of the hiring committee for an assistant professorship in Labour and Health Economics at University of Duisburg-Essen
• 01/2023- : Member of the Senior Faculty of the Ruhr Graduate School in Economics
• 11/2016-01/2023: Member of the Young Faculty of the Ruhr Graduate School in Economics

Other Duties: