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Research Interests 

  • Non- and Semiparametric Statistics and Econometrics
  • Financial Econometrics
  • Time Series
  • Highdimensional Statistics


Working papers

  • Estimating Nonlinear Additive Models with Nonstationarities and Correlated Errors (joint with Michael Vogt) submitted.
  • Locally Stationary Volatility Modelling (joint with Michael Vogt) submitted.
  • Revisiting the Stealth Trading Hypothesis - Does Time-Varying Liquidity Explain The Size Effect? (joint with Gökhan Cebiroglu and Nikolaus Hautsch)

Work in progress

  • Time Series Properties of Liquidity Elasticity in Limit Order Book Markets. (joint with Nikolaus Hautsch)
  • Nonparametric Panel Regression with Fixed Effects Covariates. joint with Michael Vogt)
  • LASSO Model Selection to alleviate Multiple Testing in Microeconometrics. (joint with Lena Janys)
  • Comparing Bandwidth Selection Procedures for Regression Models with Correlated Errors.
  • Bandwidth Selection for Nonparametric Regression in Large Data Sets.
  • Detecting Bellshaped Species Distributions. (joint with Johannes Wessely)
  • Time Series Decomposition with a Nonlinear Component capturing Trend and Seasonality.
  • R package for Smooth Backfitting Algorithm.

 

 

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