• Multivariate rechenbetonte Methoden zur Lösung von hochdimensionalen statistischen und finanziellen Bewertungsproblemen
• Financial Econometrics
• Modelle für finanzielle Volatilität
• Regime-switching Modelle

Software für FGD: hier.

Realized volatility forecasts for constituents of the S&P 500 estimated based on the results of the SNSF project "SentiVol: Sentiment Analysis and Bayesian Model Averaging for Volatility Prediction" can be found on this webpage. 

Sprechstunde: By appointment (email).