Chair of Econometrics and Chair of Financial Econometrics

Welcome to the homepage of the chair of econometrics!

The Chair of Econometrics and Financial Econometrics conduct research and teaching on quantitative methods. Research is focused on the construction of inferential methods, applications of Bayesian statistics and machine learning, time series and panel data methods and applications, as well as learning analytics. The chairs offer several compulsory for different programs (business, economics, business informatics and econometrics, among others) from introductory lectures until Phd-level courses. We also offer courses on current research topics, such as Bayesian econometrics, causal inference, financial econometrics, extreme value theory and statistical learning. also offered.

 

 Mon, 23. Sep. 2019   Rammert, Timo

Paper "Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles"

The paper "Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles" by Dr. Yannick Hoga has been accepted for the Journal of Financial Econometrics. The paper can be viewed here.
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 Mon, 09. Sep. 2019   Rammert, Timo

Paper "What is the best Lévy model for stock indices? A comparative study with a view to time consistency" published.

The paper "What is the best Lévy model for stock indices? A comparative study with a view to time consistency" by Dr. Till Massing has been accepted by the peer reviewed Journal Financial Markets and Portfolio Management. The...
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 Fri, 12. Jul. 2019   Arnold, Martin

Paper "On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions" published.

The Paper "On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions" by Prof. Dr. Christoph Hanck and Martin Arnold has been accepted by the peer reviewed Journal of Risk and Financial...
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 Tue, 21. May. 2019   Rammert, Timo

Paper "Local asymptotic normality for Student-Lévy processes under high-frequency sampling" published.

The paper "Local asymptotic normality for Student-Lévy processes under high-frequency sampling" by Dr. Till Massing has been accepted by the peer reviewed Journal Statistics.
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 Wed, 17. Apr. 2019   Rammert, Timo

PhDs awarded to Till Massing und Jan Prüser

The chair of econometrics congratulates Till Massing and Jan Prüser for successfully completing their doctoral studies. The topic of Till Massing's dissertation is "Stochastic Properties of Student-Lévy Processes with...
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 Tue, 05. Mar. 2019   Rammert, Timo

Preparatory course in R

This term we will offer a preparatory course in R which gives an introduction to the statistical programming language R. All students with no or little knowledge in R who want to take the course time series analysis are strongly...
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 Mon, 11. Feb. 2019   Schmelzer, Martin

Paper "E-Assessment Using Variable-Content Exercises in Mathematical Statistics" published.

The paper "E-Assessment Using Variable-Content Exercises in Mathematical Statistics" by Till Massing et. al. has been accepted by the peer reviewed Journal of Statistics Education.
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 Thu, 10. Jan. 2019   Rammert, Timo

Paper "Extending the Limits of Backtesting via the ‘Vanishing p’ Approach"

The paper "Extending the Limits of Backtesting via the ‘Vanishing p’ Approach" by Dr. Yannick Hoga has been accepted by the peer reviewed Journal of Time Series Analysis. The publication can be viewed here.
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 Fri, 09. Nov. 2018   Rammert, Timo

Award of Sparkasse Essen

On 5th November 2018, Dr. Yannick Hoga received the economics award of Sparkasse Essen. He received the award, which is endowed with 5.000 €, for his dissertation "Detecting changes in the extremal behavior of time series"....
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 Tue, 23. Oct. 2018   Rammert, Timo

Publication of "Introduction to Econometrics with R"

The book Introduction to Econometrics with R by Christoph Hanck, Martin Arnold, Alexander Gerber and Martin Schmelzer has been published in the bookdown archive. The book is part of the project Reproducible Research in der...
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 Fri, 12. Oct. 2018   Rammert, Timo

Master seminar in Econometrics

An initial meeting for the master seminar will be held on 13.11.2018 at 10:00 in R12 R06 A48. Further informations on the seminar can be found here.
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 Thu, 13. Sep. 2018   Rammert, Timo

Wolfgang Wetzel Award for Dr. Yannick Hoga

For his work in change point analysis, extreme value theory and financial econometrics, Dr. Yannick Hoga was awarded the Wolfgang Wetzel Award of the German Statistical Society (DStatG) at this years Statistical Week in Linz. The...
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