Ruven Zapf
Research
My research focuses on financial econometrics and dynamic risk modeling. I work on models that capture time-varying volatility, dependence structures, and higher-order moments. In particular, my PhD research investigates the safe-haven properties, with applications to tail-risk measures and portfolio optimization.
Current Work:
- Safe haven properties of gold - An application of a dynamic score-driven rotation model
- Simulation based Impulse Response Functions for asymmetric volatility, skewness and kurtosis
Teaching
B.WIWI-VWL.0007: Introduction to Econometrics (Exercise class) | Winter Term 2025/26
B.WIWI-VWL.0007: Introduction to Econometrics (Exercise class) | Summer Term 2025
M.WIWI-QMW.0040: Introduction to Statistical Methods in Economic Sciences (Exercise class) | Summer Term 2025
M.WIWI-QMW.0040: Introduction to Statistical Methods in Economic Sciences (Exercise class) | Winter Term 2024/25
M.WIWI-QMW.0040: Introduction to Statistical Methods in Economic Sciences (Exercise class) | Summer Term 2024
Supervision
- Trade and Financial Openness and Macroeconomic Volatility: Evidence from 69 Countries, 1980 - 2019
- Return and Volatility Dynamics Around FOMC Meetings: Evidence from Sorted Stock Portfolios
- Comparing Different GARCH Models with Respect to Financial Risk Forecasting
- Leveraging Mouse Dynamics for Threat Detection
Students interested in related topics are very welcome to contact me with their own project or thesis proposals