Dr. Yannick Hoga

Senior Academic Staff

Dr. Yannick Hoga

University of Duisburg-Essen, Campus Essen
Department of Economics
Chair for Econometrics
D-45117 Essen
R12 R06 A32
+49 201 183-4365
+49 201 183-3995

Fields of Research:

  • Change Point Analysis
  • Extreme Value Theory
  • Financial Econometrics


  • Hoga, Y. (2018+) Extreme Conditional Tail Moment Estimation under Dependence. submitted
    Paper RCode 
  • Hoga, Y. (2018+) A Structural Break Test for Extremal Dependence in β-Mixing Random Vectors. Forthcoming in Biometrika
    Paper Supplementary Material RCode 


Download list of publications

  • Hoga, Y.: Detecting Tail Risk Differences in Multivariate Time Series. In: Journal of Time Series Analysis, forthcoming (2018). doi:10.1111/jtsa.12292 Details
  • Hoga, Y.: Confidence Intervals for Conditional Tail Risk Measures in ARMA-GARCH Models. In: Journal of Business & Economic Statistics, forthcoming (2018). doi:10.1080/07350015.2017.1401543 Details
  • 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/S0266466616000189
  • Hoga, Y.: Testing for Changes in (Extreme) VaR. In: Econometrics Journal, Vol 20 (2017), p. 23-51. doi:10.1111/ectj.12080
  • 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.2016.08.010
  • Hoga, Y.: Monitoring Multivariate Time Series. In: Journal of Multivariate Analysis, Vol 155 (2017), p. 105-121. doi:10.1016/j.jmva.2016.12.003


  • Introduction to Econometrics
  • Econometric Methods
  • Time Series Analysis
  • Advanced Econometrics


  • 03/2013: DAGStat Freiburg
  • 09/2013: Nachwuchsworkshop of DStatG in Berlin
  • 11/2013: SFB 823 Seminar at TU Dortmund
  • 06/2015: EVA Conference at University of Michigan, Ann Arbor
  • 09/2017: Statistical Week at University of Rostock

Other Duties:

Reviewer for:

  • Computational Statistics
  • Econometrics
  • Econometrics Journal
  • Journal of Statistical Planning and Inference
  • Journal of Time Series Analysis
  • Statistics



So finden Sie uns:

Fakultät für Wirtschaftswissenschaften
Lehrstuhl für Ökonometrie
Universitätsstraße 12
45117 Essen