Collaboration
Overview of various collaboration in our area of research. Please click on the respective link to get more information.
The interdisciplinary cooperation with Nikolaus Hautsch started in the CRC 649 in Berlin. We currently work on optimal test and estimation methods for price jumps based on high-frequency limit order book data from LOBSTER.
We develop a statistical analysis of path properties of latent volatility processes in models for high-frequency data with microstructure noise. In particular, we consider the regularity of the volatility which allows to decide about suitable volatility models. The cooperation includes DFG project 403176476.
This interdisciplinary collaboration introduces a multivariate rough fractional stochastic volatility model. We develop statistical inference for this model and demonstrate its superior forecasting capability compared to univariate models. The joint work profits from research stays of Markus Bibinger at Singapore Management University in 2023 and at the University of Macau in 2025.
Research Areas
- Extreme value theory
- Spatial data analyses
- Estimation methods for complex models based on Bayesian and likelihood approaches
Cooperation with Prof. Dr. Michael Falk
Mathias Trabs and Markus Bibinger work on statistics for stochastic partial differential equations (SPDEs) based on discrete observations of a solution.
Lars Winkelmann and Markus Bibinger cooperate since 2012 in interdisciplinary projects. The first joint project on an evaluation of ECB-communication based on high-frequency EUREX-prices of government bonds was supported within the CRC 649 "Economic risk". We focus on econometric methods to determine price and volatility jumps and on analyzing their economic implications. Currently we work on approaches to analyze high-dimensional high-frequency financial data.
Guest visits
Research visits of guests at our chair since 2021:
- Prof. Dr. Olga Aryasova (Institute of Geophysics, National Academy of Sciences of Ukraine and Igor Sikorsky Kyiv Polytechnic Institute) was in WS 2023/24 and SoSe 2024 a visiting professor in our group.
- Prof. Dr. Moritz Jirak (Uni Wien) was visiting our group from June 4-6, 2025, for a research visit.
- Prof. Dr. Lars Winkelmann (FU Berlin) was visiting our group from Novemver 23-26, 2021, for a research visit.
