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My research interests are in financial econometrics and statistics, copula and quantile-based dependence concepts, iterative estimation techniques as well as applications in finance, risk management and economics.

 

Preprints/Publications

with O. Okhrin, J. Sheen and S. Trück: Quantifying effects of extreme events with applications to financial crises, submitted on 09/15/2017

with O. Okhrin and Y.-F. Xu: Copulae in High-Dimensions: An Introduction
in: "Applied Quantitative Finance", W. K. Härdle, C. Y.-H. Chen, L. Overbeck (eds.), edition 3, Springer, 2017

with M. Pohl, W. Schachermayer and L. Tangpi: The amazing power of dimensional analysis: Quantifying market impact, arXiv:1702.05434

with N. Hautsch and O. Okhrin: Efficient Iterative Maximum Likelihood Estimation, submitted on 06/26/2015

with N. Hautsch and O. Okhrin: Efficient Iterative Maximum Likelihood Estimation, Oberwolfach Report (OBW) No. 20/2015 DOI: 10.4171/OWR/2015/20

with O. Okhrin: Hierarchical Archimedean Copulae: The HAC Package
Journal of Statistical Software, 58(4), 1-20, 2014

with N. Hautsch and O. Okhrin: Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series
in: "Copulae in Mathematical and Quantitative Finance; Lecture Notes in Statistics Vol. 213 - Proceedings", P. Jaworski, F. Durante, W. K. Härdle (eds.), Springer, 2013

 

Presentations

12.2017 11th International Conference on Computational and Financial Econometrics (London)

09.2016 Workshop on Dependence Models & Copulas (Salzburg)

06.2016 9th Annual SoFiE Conference (Hongkong)

05.2015 Workshop on Tail Event Driven Risk Modelling (Cambridge)

04.2015 Copulae: On the Crossroads of Mathematics and Economics (Oberwolfach)

03.2015 Research seminar, Chair of Econometrics and Statistics esp. Transportation, Faculty of Transportation, Dresden University of Technology (Dresden)

01.2015 Research seminar, Chair of Statistics, Faculty of Business Administration and Economics, Augsburg University (Augsburg)

12.2014 8th International Conference on Computational and Financial Econometrics (Pisa)

11.2014 Conference on Systemic Risk and Contagion (Bologna)

09.2014 Statistische Woche (Hannover)

06.2014 7th Annual SoFiE Conference (Toronto)

05.2014 Research seminar, The Centre for Financial Risk, Macquarie University (Sydney)

03.2014 Research seminar, School of Mathematical Sciences, University of Technology, Sydney (Sydney)

01.2014 Research seminar, RIEM-Research Institute for Economics and Management, Southwestern University of Finance and Economics (Chengdu)

01.2014 International Workshop on High-Dimensional Dependence and Copulas: Theory, Modeling and Applications (Beijing)

10.2013 Applicable Semiparametrics (Berlin)

09.2013 19. DStatG Nachwuchsworkshop (Berlin)

03.2013 DAGStat 2013 (Freiburg im Breisgau)

07.2012 Copulae in Mathematical and Quantitative Finance (Cracow)

Institut für Statistik und Operations Research
University of Vienna

Oskar-Morgenstern-Platz 1
1090 Vienna, Austria
Universität Wien | Universitätsring 1 | 1010 Wien | T +43-1-4277-0