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

Projects:

Third-Party Funding:

• DFG: "Forecasting and Evaluating Measures of Systemic Risk"; 2022­–2027; Heisenberg-Programme.
• DFG: "Extending Backtests of Value-at-Risk and Expected Shortfall Forecasts"; 2019­–2022; Module Temporary Positions for Principal Investigators.

Publications:

• Hoga, Y.: Quantifying the Data-Dredging Bias in Structural Break Tests. In: Statistical Papers (2021), p. 1-13. doi:10.1007/s00362-021-01233-4CitationDetails
• Hoga, Y.: Modeling Time-Varying Tail Dependence, With Application to Systemic Risk Forecasting - (Forthcoming). 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.: 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.: 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:

• 04/2021: Seminar in Econometrics at Erasmus University Rotterdam
• 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: