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Dr. Markus Bibinger

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Postadresse:

Büro:

Humboldt-Universität zu Berlin
Institut für Mathematik
Unter den Linden 6
10099 Berlin
Raum 1.210
Johann von Neumann - Haus
Rudower Chaussee 25
12489 Berlin

 

Kontakt:


Telefon: +49 30 2093-5874
Email: bibinger@math.hu-berlin.de



 
Meine Homepage an der Universität Mannheim (ab 01.04.2015) finden Sie hier.

Publikationsliste:


Veröffentlichungen
Volatility estimation under one-sided errors with applications to limit order books (with Moritz Jirak and Markus Reiß)
Annals of Applied Probability, to appear, (2015) 

Functional stable limit theorems for quasi-efficient spectral covolatility estimators (with Randolf Altmeyer)
Stochastic Processes and their Applications, 125(12), pp. 4556-4600 (2015), doi: 10.1016/j.spa.2015.07.009

ECB monetary policy surprises: identification through cojumps in interest rates (with Lars Winkelmann and Tobias Linzert)
Journal of Applied Econometrics, forthcoming (2015), doi: 10.1002/jae.2453 & European Central Bank Working Paper No 1674, May 2014

Econometrics of co-jumps in high-frequency data with noise (with Lars Winkelmann) Cite
Journal of Econometrics, 184(2), pp. 361-378 (2015), doi: 10.1016/j.jeconom.2014.10.004

Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps  (with Mathias Vetter) Cite
Annals of the Institute of Statistical Mathematics, 67(4), pp. 707-743 (2015), doi: 10.1007/s10463-014-0473-x

Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency   Cite
(with N. Hautsch, P. Malec and M. Reiß), Annals of Statistics, Volume 42, Number 4 (2014), 80–114. doi:10.1214/14-AOS1224

Spectral covolatility estimation from noisy observations using local weights   (with Markus Reiß) Cite
Scandinavian Journal of Statistics, 41(1), 23–50 (2014). doi: 10.1111/sjos.12019 

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory  Cite
Stochastic Processes and their Applications, 122(6): 2411–2453 (2012). doi: 10.1016/j.spa.2012.04.002

Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data  Cite
Scandinavian Journal of Statistics, 38: 23–45 (2011). doi: 10.1111/j.1467-9469.2010.00712.x


Preprints
Nonparametric change-point analysis of volatility (2015)  (with Moritz Jirak and Mathias Vetter)
Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing  (2014) (with Per A. Mykland)
Estimating the spot covariation of asset prices - Statistical Theory and Empirical Evidence (2015)  (with N. Hautsch, P. Malec and M. Reiß)
Common price and volatility jumps in noisy high-frequency data  (2014) (with Lars Winkelmann)



technical reports
Applying volatility estimators based on limit order books (2014)  (with Moritz Jirak and Markus Reiß)
Notes on the sum and maximum of independent exponentially distributed random variables with different scale parameters Cite (2013)
Asymptotics of Asynchronicity Cite (2011)

weitere wissenschaftliche Arbeiten
Nichtparametrische Volatilitätsschätzung aus hochfrequenten Daten unter dem Einfluss eines mikroökonomischen Rauschens
Diplomarbeit, Ruprecht-Karls-Universität Heidelberg (2007)

Estimating the Quadratic Covariation from Asynchronous Noisy High-Frequency Observations 
Dissertation, Humboldt-Universität zu Berlin (2011)



Seminar: Ausgewählte Kapitel der Statistik und Stochastik


Lehre:

Mathematische Statistik SoSe 2014

Stochastik-Praktikum 2012/13

Übungen zur Stochastik 1 SoSe 2011  (Prof. Peter Imkeller)

Vorlesung Resamplingverfahren in der Statistik SoSe 2011 (Jun.-Prof. Thorsten Dickhaus)

Stochastik-Praktikum 2009


Slides zu einigen Vorträgen zu aktuellen Arbeiten:

Volatility estimation from high-frequency observations with irregular errors - Concepts and Consequences
Dynstoch meeting 2014, Warwick, 2014

Covariance matrix estimation from noisy high-frequency data: local method of moments and efficiency
Symposium on Financial Engineering and ERM, Hitotsubashi University, Tokyo, 2014

Common price and volatility jumps in noisy high-frequency data
CRC 649 conference, Motzen, 2014

Arbeits-/Interessengebiete:
  • Statistik stochastischer Prozesse
  • Semimartingale, Sprungprozesse
  • Mathematische Methoden des Risikomanagements
  • Computational Statistics
  • Statistische Modellierung und Methoden für hochfrequente Finanzzeitreihen
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