Team

Senior Academic Staff
Dr. Yannick Hoga
- Room:
- R12 R06 A32
- Telephone:
- +49 201 18-34365
- Fax:
- +49 201 18-33995
- Email:
- yannick.hoga (at) vwl.uni-due.de
- Consultation Hour:
- by agreement
- Address:
- University of Duisburg-Essen, Campus Essen
Department of Economics
Chair for Econometrics
D-45117 Essen
Honours and Awards:
- 2019: Placed in the Top 10% of the current Handelsblatt Economics-Ranking
- 2018: Wolfgang Wetzel Award of the German Statistical Society (DStatG) (1.000 €)
- 2017: Award of Sparkasse Essen for an outstanding Dissertation in Economics at the Universität Duisburg-Essen (5.000 €)
- 2017: Dissertation Prize of the Universität Duisburg-Essen (700 €)
Fields of Research:
- Change Point Analysis
- Extreme Value Theory
- Financial Econometrics
Publications:
- Hoga, Y.: The Uncertainty in Extreme Risk Forecasts from Covariate-Augmented Volatility Models. In: International Journal of Forecasting, Vol 37 (2021) No 2, p. 675-686. doi:10.1016/j.ijforecast.2020.08.009CitationDetails
- Hoga, Y.: Modeling Time-Varying Tail Dependence, With Application to Systemic Risk Forecasting - (in press). In: Journal of Financial Econometrics (2021), p. 1-30. doi:10.1093/jjfinec/nbaa043CitationDetails
- Hoga, Y.: General Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles - (Forthcoming). In: Journal of Financial Econometrics (2021), p. 1-27. doi:10.1093/jjfinec/nbz032CitationDetails
- Hoga, Y.: Where Does the Tail Begin? An Approach Based on Scoring Rules. In: Econometric Reviews, Vol 39 (2020) No 6, p. 579-601. doi:10.1080/07474938.2019.1697087CitationDetails
- Hoga, Y.: Confidence Intervals for Conditional Tail Risk Measures in ARMA-GARCH Models. In: Journal of Business & Economic Statistics, Vol 37 (2019) No 4, p. 613-624. doi:10.1080/07350015.2017.1401543Full textCitationDetails
- Hoga, Y.: Extending the Limits of Backtesting via the ‘Vanishing p’ Approach. In: Journal of Time Series Analysis, Vol 40 (2019), p. 858-866. doi:10.1111/jtsa.12450CitationDetails
- Hoga, Y.: Extreme Conditional Tail Moment Estimation under Serial Dependence. In: Journal of Financial Econometrics, Vol 17 (2019) No 4, p. 587-615. doi:10.1093/jjfinec/nby016CitationAbstractDetails
, forthcoming
- Hoga, Y.: A structural break test for extremal dependence in β-mixing random vectors. In: Biometrika, Vol 105 (2018), p. 627-643. doi:10.1093/biomet/asy030CitationDetails
- Hoga, Y.: Detecting Tail Risk Differences in Multivariate Time Series. In: Journal of Time Series Analysis, Vol 39 (2018), p. 665-689. doi:10.1111/jtsa.12292Full textCitationAbstractDetails
Here is the RCode.
- Hoga, Y.: Change Point Tests for the Tail Index of β-Mixing Random Variables. In: Econometric Theory, Vol 33 (2017) No 4, p. 915-954. doi:10.1017/S0266466616000189CitationDetails
- Hoga, Y.: Monitoring Multivariate Time Series. In: Journal of Multivariate Analysis, Vol 155 (2017), p. 105-121. doi:10.1016/j.jmva.2016.12.003CitationDetails
- Hoga, Y.; Wied, D.: Sequential Monitoring of the Tail Behavior of Dependent Data. In: Journal of Statistical Planning & Inference, Vol 182 (2017), p. 29-49. doi:10.1016/j.jspi.2016.08.010CitationDetails
- Hoga, Y.: Testing for Changes in (Extreme) VaR. In: Econometrics Journal, Vol 20 (2017), p. 23-51. doi:10.1111/ectj.12080CitationDetails
Reviewing and consulting activities:
Reviewer for Journals:
- Bernoulli
- Computational Statistics
- Econometric Theory
- Econometrics
- Econometrics Journal
- Journal of Business & Economic Statistics
- Journal of Econometrics
- Journal of Futures Markets
- Journal of Risk and Financial Management
- Journal of Statistical Planning and Inference
- Journal of the American Statistical Association
- Journal of Time Series Analysis
- Metrika
- Risks
- Statistica Sinica
- Statistics
- The American Statistician
- The Review of Economics and Statistics
Reviewer for Research Grants:
- German Science Foundation (DFG)
Conferences:
- 03/2021: Séminaire Finance-Assurance at CREST in Palaiseau, France
- 01/2021: Statistics Seminar at Universität Bonn
- 02/2020: 13th Ruhr Graduate School Doctoral Conference (session chair)
- 02/2020: Econometrics Colloquium at Universität Konstanz
- 11/2019: Kolloquium über Mathematische Statistik und Stochastische Prozesse at Universität
Hamburg - 06/2019: QFFE in Marseille, France
- 09/2018: Statistische Woche at Johannes Kepler Universität Linz, Austria
- 06/2018: 2nd Conference on New Trends and Developments in Econometrics in Ílhavo, Portugal
- 02/2018: 11th Ruhr Graduate School Doctoral Conference (session chair)
- 09/2017: Statistische Woche at Universität Rostock
- 06/2017: Seminar on Statistics and Econometrics at Christian-Albrechts-Universität zu Kiel
- 03/2017: 10th Ruhr Graduate School Doctoral Conference (session chair)
- 06/2015: EVA Conferenceat University of Michigan, Ann Arbor, USA
- 11/2013: SFB 823 Seminar at TU Dortmund
- 10/2013: 4th Amsterdam-Bonn Workshop in Econometrics, Netherlands
- 09/2013: Junior Workshop of DStatG in Berlin
- 03/2013: DAGStat Freiburg
Courses:
- Introduction to Econometrics
- Econometric Methods
- Time Series Analysis
- Multivariate Time Series Analysis
- Recent Developments in Econometrics
- Advanced Econometrics
- Statistical Learning
Academic Duties:
- 03/2018-03/2019: Member of the hiring committee for an assistant professorship in Labour and Health Economics at Universität Duisburg-Essen
- Since 11/2016: Member of the Young Faculty of the Ruhr Graduate School in Economics
Other Duties:
How you can find us:
UNIVERSITY OF DUISBURG-ESSEN
Faculty of Business Administration and Economics
Chair of Econometrics
Prof. Dr. Christoph Hanck
Universitätsstraße 12
DE - 45117 Essen