Recently, the availability of high-frequency financial data has opened new research directions for modeling the volatility of asset returns. In particular, building on the theory of quadratic variation, the high-frequency ...

Chapter 1 proposes simple and robust diagnostic tests for spatial dependence, specifically for spatial error autocorrelation and spatial lag dependence. The idea of our tests is to reformulate the testing problem such that ...

The contribution of this dissertation is threefold. First, econometric procedures to test for the occurence of asset price bubbles ex post and in real time are proposed. Real time monitoring procedures represent an additional ...

The standard panel data literature is moving from micro panels, where the cross-section dimension is large and the intertemporal sample size is small, to large panels, where both, the cross-section and the time dimension, ......

Functional Principal Component Analysis (FPCA) approximates a sample curve as a linear combination of orthogonal basis functions. It is often possible to describe the essential parts of the variations of functional data ...

This thesis consists of three self-contained chapters in applied and theoretical econometrics. The first chapter presents a Lagrange Multiplier test for detecting shock triggered asymmetries in time series and investigates ...

This thesis consists of three self-contained essays in econometrics and statistics. It discusses methodological topics in semi- and nonparametric statistics as well as empirical questions in financial econometrics. My ...

The focus of this thesis is on the estimation of an unknown number of unknown specific locations (points of impact) at which a functional predictor has a specific effect on a real valued dependent variable.
Two general ...