Combining portfolio rules to improve prediction of global minimum variance portfolio weights

(2025) Bayesian (non-)unique sparse factor modelling

Start of the lectures in the winter term

In UncategorizedPosted 4. October 2024

The lectures for all courses of the chair will start in the second week of the semester (week of Oct 14, 2024).

Teaching in the winter term 2025/26

Thomas Krebs

Sven Soukup

Characterization of valid auxiliary functions for representations of extreme value distributions

Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions

To have what they are having

Modeling and forecasting realized portfolio weights

Control charts for measurement error models

Julian Labensberg

Unrestricted Maximum Likelihood Estimation of Multivariate Realized Volatility Models

Likelihood-Based Inference and Prediction in Spatio-Temporal Panel Count Models for Urban Crimes

Composite marginal likelihood estimation of spatial autoregressive probit models

Likelihood evaluation of high-dimensional spatial latent Gaussian models

Dr. Jan Vogler

Narmin Kellermann

Research

Statistik / Ökonometrie

Monitoring mean changes in persistent multivariate time series

Teaching

Team

Bachelor/Master Thesis

Credit transfers

Bias corrections for exponentially transformed forecasts

Modeling and forecasting realized portfolio diversification benefits

Real time monitoring of the US inflation expectation process

Modeling dynamics of metal price series via state space approach with two common factors

Sequential Monitoring of Portfolio Betas

Intra-Daily Volatility Spillovers in International Stock Markets

Using Information Quality for Volatility Model Combinations

Monitoring the Mean of Multivariate Financial Time Series

Dynamic Modeling of High-Dimensional Correlation Matrices in Finance

Dynamic Modeling of High-Dimensional Correlation Matrices in Finance

The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility

CUSUM Control Charts for Monitoring Optimal Portfolio Weights

Nonparametric Monitoring of Equal Predictive Ability

Interval Shrinkage Estimators

No-Transaction Bounds and Estimation Risk

New Characteristics for Portfolio Surveillance

Multivariate CUSUM Chart: Properties and Enhancements

Flexible Shrinkage in Portfolio Selection

General Uncertainty in Portfolio Selection: A Case-Based Decision Approach

General Uncertainty in Portfolio Selection: A Case-Based Decision Approach

Sequential Monitoring of Minimum Variance Portfolio

Multivariate Shrinkage for Optimal Portfolio Weights

EWMA Control Charts for Monitoring Optimal Portfolio Weights

On the Application of SPC in Finance

Statistical Process Control in Asset Management

Sequential Monitoring of Optimal Portfolio Weights

Monitoring Validity of Daily Volatility Model

Modeling and Forecasting Realized Volatility via State-Space Representation

Surveillance of the Minimum Variance Portfolio Composition

Emerging Category Representation in the Visual Forebrain Hierarchy of Pigeons

Model Order Selection for Cascade Autoregressive (CAR) Models

Maximilian Terboven

The Effect of Intraday Periodicity on Realized Volatility Measures

More Than Just One Labor Market Cycle in Germany?

Bayesian Analysis of Static and Dynamic Factor Models

On conditional extreme values of random vectors with polar representation

Limit results for bivariate distributions using polar representations

A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values

Weakening the independence assumption on polar components

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Statistical Surveillance of Volatility Forecasting Models

Signaling NBER Turning Points: A Sequential Approach

The Empirical Similarity Approach for Volatility Prediction

Portfolio Choice for Cooperating Mean-Variance Savers

Correcting Intraday Periodicity Bias in Realized Volatility Measures

Paula Stanka

Lisa Polter

Steffen Köhler

Janosch Kellermann

Sample and realized minimum variance portfolios

Testing for parameter changes in linear state space models

Jamol Bahromov

Dr. Benno Hildebrandt

Dr. Benno Hildebrandt

Exponential smoothing of realized portfolio weights

Explicit results on conditional distributions of generalized exponential mixtures

Statistical inferences for realized portfolio weights

Dr. Markus Pape

Dr. Miriam Isabel Seifert

Prof. Dr. Vasyl Golosnoy