Publications
• „Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall“, Journal of Financial Econometrics, (2018), 16(1): 63-117. (Link)
• „Classical and Bayesian Inference for Income Distributions using Grouped Data", Oxford Bulletin of Economics and Statistics, (2021, with B. Gribisch), 83(1): 32-65. (Link)
• „Intraday Conditional Value at Risk: A Periodic Mixed-Frequency GAS Approach", Journal of Forecasting, (2021, with B. Gribisch), 40(5): 883-910. (Link)
Dissertation
• "Distributional Modeling of Financial Systemic Risk and Income Data" (2019)
Presentations
• Verein für Socialpolitik (VfS) Annual Conference, Vienna, Austria, September 03-06, 2017.
• 70th European Meeting of the Econometric Society (ESEM), Lisbon, Portugal, August 21-25, 2017.
• 9th International Conference on Computational and Financial Econometrics (CFE), London, UK, December 12-14, 2015.
• International Association for Applied Econometrics (IAAE) Annual Conference, Thessaloniki, Greece, June 25-27, 2015.
• Statistische Woche, Hannover, Germany, September 16-19, 2014.
Field of research
• Financial Econometrics
• Systemic Risk
• Credit Risk
• Copulas and Dependence Modeling
• Income Distributions
Teaching
Exercise in "Descriptive and Economic Statistics" (Bachelor)
Exercise in "Theory of Probability and Inferential Statistics" (Bachelor)
Exercise in "Econometrics" (Master)