Professuren für Statistik und Ökonometrie



Julien Hambuckers

  • Postdoctoral researcher at the Chair of Statistics (Prof. Dr. Thomas Kneib), since February 2016
  • Member of RTG 1644 Scaling problems in Statistics
  • Ph.D. Thesis : Nonparametric and bootstrap techniques applied to financial risk modelling (April 20, 2015), University of Liege. Adivsor : Prof. Dr. Cédric Heuchenne (ULg)
    • Publications in refereed journals:

      1. Estimating the out-of-sample predictive ability of trading rules: a robust bootstrap approach (with C. Heuchenne ), Journal of Forecasting, 35(4), 2016
      2. A robust statistical approach to select adequate error distributions for financial returns (with C. Heuchenne ), Journal of Applied Statistics, 44(1), 2017
      3. How to assess, fast and accurately, seed removal rate of zoochoric tree species? (with A. Dauvrin, F. Trolliet, Q. Evrard, P-M. Forget and A. Hambuckers), Forest Ecology and Management, 403 (1), 2017
      4. A Markov-switching Generalized additive model for compound Poisson processes, with applications to operational losses models (with T. Kneib, R. Langrock and A. Silbersdorff), Quantitative Finance, forthcoming

      Work under review

      • Understanding the Economic Determinants of the Severity of Operational Losses: A regularized Generalized Pareto Regression Approach (with A. Groll and T. Kneib), 2017
      • A semiparametric model for Generalized Pareto regression based on a dimension reduction assumption (with C. Heuchenne and O. Lopez), 2016

      Research interests:

      • Semi- and nonparametric regression
      • Bootstrap techniques in time series
      • Distribution regression (Generalized Pareto, GAMLSS)
      • Applications in operational risks (GPD regression), credit risk, financial econometrics, energy economics and ecology

      Teaching:

      • WiSe 2017: Statistical inference (Likelihood & Bayes)
      • SoSe 2017: Generalized Linear Model

      Past:

      • Credit risk analyst at Dexia Bank S. A. (10/2015 to 01/2016)
      • F.N.R.S (Belgian Fund for Scientific Research) research fellow, University of Liège (Belgium), (10/2011 to 09/2015)
      • Ph.D. in Economics and management science, University of Liège (10/2011 - 04/2015)
      • M.Sc. in Business Engineering (financial engineering), University of Liège (09/2009 to 09/2011 - magna cum laude)
      • B.Sc. in Business Engineering (mathematical modelling), University of Liège (09/2006 to 06/2009 - cum laude)