Alumni

High Dimensional Nonstationary Time Series | Alumni

Alumni

Former professors:

Thorsten Dickhaus

Institute for Statistics

(University of Bremen)

Ostap Okhrin

Institute for Transport and Economics

(TU Dresden)

Nikolaus Hautsch

Department of Statistics and Operations Research

(University of Vienna)

Former postdocs:

Alexander Ristig

(University of Vienna)

PhD thesis:

Iterative Estimation of Parametric Models - Theory and Practice

Andrija Mihoci

(BTU Cottbus)

PhD thesis:

Structural adaptive models in financial econometrics

Shih-Kang Chao

(Purdue University)

PhD thesis:

Quantile regression in risk calibration

Dedy Dwi Prastyo

(Sepuluh Nopember Institute of Technology)

PhD thesis:

On Single- and Multi-Period Corporate Default Prediction

Piotr Majer

PhD thesis:

Dynamic Semiparametric Factor Model in Applications to fMRI and Interest Rates

Melanie Schienle

(Karlsruher Institut für Technologie)

PhD thesis:

Nonparametric Nonstationary Regression

Former doctoral students:

Dissertations	2021
	Georg Keilbar 20.08.2021 Research interests: Nonparametric statistics Machine learning Quantile regression Financial Econometrics	Raphael Reule 03.09.2021 Research interests: Blockchain Applications Smart Contracts Ricardian Contracts
	Katerina Papanagliou 2021 Covariation estimation for multi-dimensional Léw processes based on high-frequency data.

Dissertations	2020
	Niels Wesselhöfft 14.02.2020 Research interests: Portfolio allocation Time series econometrics Algorithmic trading systems Non-parametric and Bayesian methods

Dissertations	2019
	Larisa Adamyan 18.02.2019 Research interests: Machine Learning Time Series Analysis Neural networks Data Mining	Awdesch Melzer 18.04.2019 Research interests: Energy Finance Weather Derivatives Functional Data Analysis Quantiles and Expectiles
	Egor Klochkov 01.08.2019 Research interests: Statistics Structural Inference Reduction of dimension	Ya Qian 06.05.2019 Research interests: Financial Econometrics Network Analysis Portfolio Management Behavioral Finance Economic Theory


Dissertations	2018
	Alla Petukhina 29.06.2018 Research interests: Asset allocation strategies Regression shrinkage techniques Quantiles and expectiles History of statistics Investment strategies with crypto-currencies	Simon Trimborn 16.05.2018 Research interests: Cryptocurrencies Risk management Time Series Analysis Behavioral Finance
	Hien Pham-Thu 31.01.2018 Research interests: Conditional correlation in credit risk (VaR and CoVaR Estimation) Reciprocation of liquidity risk and credit risk Portfolio diversification factor	Petra Burdejova 28.03.2018 Research interests: Reduction of dimensionality Quantiles and Expectiles Regression shrinkage methods
	Lenka Zbonakova 14.11.2018 Research interests: Econometric methods Financial time series Penalized regression models

Dissertations	2017
	Thijs Benschop 24.11.2017 "Modeling the CO2 Markets" New Position: Bureau for Economic Policy Analysis (CPB), The Hague, Netherlands	Shi Chen 17.11.2017 "Risk management"

	Xu Xiu 13.11.2017 "Probabilisitc Models in Financial Risk Management" New Position: Suzhou University of Science and Technology	Chen Huang 21.08.2017 "Balanced Quantile Regression Predictive" New Position: St Gallen University

	Yuanyang 20.08.2017 "Network Dynamics" New Position: Financial Analyst	Lu Mengjou 16.06.2017 "Hedging with Spectral Risk Measure" New Position: National Chiao Tung University

	Alexandra Suvorikova 15.06.2017 "Detection of structural breaks in complex data" New Position: Weierstrass Institute for Applied Analysis and Stochastics	Zhiwu Hong 14.06.2017 "Implied Volatility of Leveraged ETF option" New Position: Hong Kong University of Science and Technology

	Lining Yu 27.03.2017 "Tail Event Driven Financial Risk Modelling" New Position: DFG Project in Economics	Lei Fang 07.02.2017 "Mortality Models and Longevity Risk" New position: Wayfair

	Franziska Schulz 06.02.2017 "Probabilistic Models in Energy Finance" New Position: Energy Brainpool	Sergey Nasekin 20.01.2017 "Dynamic Dimension Reduction for Financial Applications" New Position: Lecturer of Financial Econometrics at Department of Finance and Economics, Lancaster University, UK