Dr. Markus Fülle

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

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