Lehrstuhlinhaber

• Statistik für stochastische Prozesse
• Finanzmarktökonometrie
• Statistik für stochastische (partielle) Differentialgleichungen
• Hochfrequente und hochdimensionale Finanzdaten
• Asymptotische Statistik

Anstellungen

• Lehrstuhlinhaber der Angewandten Stochastik, Universität Würzburg, seit Oktober 2020.
• W2-Professor für Stochastik, Philipps-Universität Marburg, Februar 2016 - September 2020.
• Juniorprofessor für Theoretische Ökonometrie und Statistik, Abteilung Volkswirtschaftslehre, Universität Mannheim, April 2015 - Januar 2016.
• Wissenschaftlicher Angestellter des Sonderforschungsbereiches 649, Ökonomisches Risiko, Humboldt-Universität zu Berlin, 2011 - 2015.
• Gastwissenschaftler an der Universität Pierre et Marie Curie (Paris VI), Januar - April 2014.
• Gastwissenschaftler und Stipendiat des DAAD am Stevanovich Center for Financial Mathematics und dem Department of Statistics an der University of Chicago, Januar - März 2012.
• Wissenschaftlicher Mitarbeiter des BMBF-Verbundprojektes FIDEUM (Finanzderivative in unvollständigen Märkten), Universität Heidelberg und Humboldt-Universität zu Berlin, November 2007 - Dezember 2010.

Ausbildung

• Dr. rer. nat. an der Humboldt-Universität zu Berlin in 2011.
• Diplom in Mathematik an der Universität Heidelberg in 2007.

Übersicht des wissenschaftlichen Profils auf

• MathScinet
• Scopus und Mendeley

• Scandinavian Journal of Statistics, seit 2020
• Annals of the Institute of Statistical Mathematics, seit 2020
• Statistical Inference for Stochastic Processes, seit 2019

Übersicht aller Publikationen von Prof. Dr. Markus Bibinger auf Google Scholar

• Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion, Statistics & Probability Letters 161, (2020) doi: 10.1016/j.spl.2020.108725
• Volatility estimation for stochastic PDEs using high-frequency observations (with Mathias Trabs), Stochastic processes and their applications 130(5), pp. 3005-3052 (2020).
• On central limit theorems for power variations of the solution to the stochastic heat equation (with Mathias Trabs), in Stochastic Models, Statistics and Their Applications (Springer Proceedings in Mathematics & Statistics, PROMS, volume 294), pp. 69-84, Springer, Cham, (2019).
• Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book (with Christopher Neely and Lars Winkelmann), Journal of Econometrics 209(2), pp. 158-184 (2019).
• Change-point inference on volatility in noisy Itô semimartingales (with Mehmet Madensoy), Stochastic processes and their applications 129(12), pp. 4878-4925 (2019).
• Common price and volatility jumps in noisy high-frequency data (with Lars Winkelmann), Electronic Journal of Statistics 12(1), pp. 2018-2073 (2018).
• Estimating the spot covariation of asset prices - Statistical Theory and Empirical Evidence (with N. Hautsch, P. Malec and M. Reiß), Journal of Business and Economic Statistics 37(3), pp. 419-435 (2019).
• Nonparametric change-point analysis of volatility (with Moritz Jirak and Mathias Vetter), Annals of Statistics 45(4), pp. 1542-1578 (2017).
• Inference for Multi-Dimensional High-Frequency Data with an Application to Conditional Independence Testing (with Per A. Mykland), Scandinavian Journal of Statistics 43(4), pp. 1078-1102 (2016).
• Volatility estimation under one-sided errors with applications to limit order books (with Moritz Jirak and Markus Reiß), Annals of Applied Probability 26(5), pp. 2754-2790 (2016).
• Functional stable limit theorems for quasi-efficient spectral covolatility estimators (with Randolf Altmeyer), Stochastic Processes and their Applications 125(12), pp. 4556-4600 (2015).
• ECB monetary policy surprises: identification through cojumps in interest rates (with Lars Winkelmann and Tobias Linzert), Journal of Applied Econometrics 31(4), pp. 613-629 (2016).
• Econometrics of co-jumps in high-frequency data with noise (with Lars Winkelmann), Journal of Econometrics 184(2), pp. 361-378 (2015).
• Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (with Mathias Vetter), Annals of the Institute of Statistical Mathematics 67(4), pp. 707-743 (2015).
• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (with N. Hautsch, P. Malec and M. Reiß), Annals of Statistics 42 (4), pp. 80–114 (2014).
• Spectral covolatility estimation from noisy observations using local weights (with Markus Reiß), Scandinavian Journal of Statistics 41(1), pp. 23–50 (2014).
• An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory, Stochastic Processes and their Applications 122(6), pp. 2411–2453 (2012).
• Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data, Scandinavian Journal of Statistics 38(1), pp. 23–45 (2011).

Preprint-Versionen aller Papiere finden sich auch im arXiv.

Book review on Measuring statistical evidence using relative belief  by Michael J. Evans [Chapman & Hall/CRC Press, Boca Raton, FL, 2015]. Journal of the American Statistical Association 111(514), 916–917, (2016).

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

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