- Statistics for stochastic processes
- Financial econometrics
- Statistics for stochastic (partial) differential equations
- High frequency and high dimensional financial data
- Asymptotic statistics
- Holder of the Chair of Applied Stochastics, University of Würzburg, since October 2020.
- W2-Professor for Stochastics, University of Marburg, February 2016 - September 2020.
- Junior Professor for Theoretical Econometrics and Statistics, Department of Economics, University of Mannheim, April 2015 - January 2016.
- Scientific employee of CRC 649, Economic Risk, Humboldt University of Berlin, 2011 - 2015.
- Guest researcher at University Pierre et Marie Curie (Paris VI), January - April 2014.
- Guest researcher and scholar of the German Academic Exchange Service at the Stevanovich Center for Financial Mathematics and the Department of Statistics at the University of Chicago, January - March 2012.
- Academic employee of the BMBF project FIDEUM (Financial derivatives in incomplete markets), University of Heidelberg and Humboldt University of Berlin, November 2007 - December 2010.
- Dr. rer. nat. at Humboldt University of Berlin in 2011.
- Diploma in Mathematics at University of Heidelberg in 2007.
Scientific profile at
- Prize for outstanding dissertations by the probability & statistics group of the DMV (German Mathematical Society) .
- Scandinavian Journal of Statistics, since 2020
- Annals of the Institute of Statistical Mathematics, since 2020
- Statistical Inference for Stochastic Processes, since 2019
Publications of Markus Bibinger at 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 versions of all papers are on arXiv.
Working papers are listed at publications.
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).