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)

Working Papers

• A Multivariate Markov-Switching 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)

Statistical Software

• BEKKs: Multivariate Conditional Volatility Modelling and Forecasting (with A. Lange, H. Herwartz and C.M. Hafner)