Markus Fülle, M.Sc.
Research interests
- Copula modeling
- Markov switching time series models
- Risk measurement
- Conditional volatility processes
Teaching
- Großübung Statistik (WS2019/20, SS2020, WS2020/21, SS2021, WS2021/22)
- Mathevorkurs (SS2022, WS2022/23)
- Multivariate Time Series Analysis (WS2022/23)
Working Papers
- Is Gold Always a Safe-Haven? Evidence from a Novel Markov-Switching Multivariate GARCH Model with Copula-Distributed Innovations (with H. Herwartz)
- Predicting Tail Risks by a Markov Switching MGARCH Model with Varying Copula Regimes (with H. Herwartz)
- BEKKs: An R Package for Estimation of Conditional Volatility of Multivariate Time Series (with H. Herwartz, A. Lange and C. M. Hafner)
- Spatial GARCH Models for Unknown Spatial Locations - An Application to Financial Stock Returns (with P. Otto)
Statistical Software