Chair of Financial Econometrics
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Malte S. Kurz, M. Sc.

Contact

Chair of Financial Econometrics
Akademiestr. 1/I
80799 Munich

Room: A/159
Phone: +49 (0) 89 21 80 - 33 34
Fax: +49 (0) 89 21 80 - 50 44

Office hours:
by arrangement

Working Papers

  • Kurz, M. S., and Mittnik, S. (June 2017)
    "Risk Estimation and Spurious Seasonality", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 19.
    [Paper available at SSRN, Poster]
  • Kurz, M. S., and Spanhel, F. (June 2017)
    "Testing the simplifying assumption in high-dimensional vine copulas"
    [Paper available at arXiv]
  • Spanhel, F., and Kurz, M. S. (October 2015, revised June 2017)
    "The partial vine copula: A dependence measure and approximation based on the simplifying assumption"
    A previous version of this paper was circulated on arXiv under the title "Simplified vine copula models: Approximations based on the simplifying assumption"
    [Paper available at arXiv]

Publications in Academic Journals

  • Spanhel, F., and Kurz, M. S. (2016)
    "The partial copula: Properties and associated dependence measures", Statistics & Probability Letters 119, pp. 76-83.
    [Link]

Computer Code

Find me on

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Talks

  • Sep 25 - 26, 2017: 8th CEQURA Conference on Advances in Financial and Insurance Risk Management, Munich
    Presentation: "Risk Estimation and Spurious Seasonality" (based on joint work with S. Mittnik)
  • Jun 20 - 23, 2017: 10th Annual Society for Financial Econometrics (SoFiE) Conference, New York, USA
    Poster: "Risk Estimation and Spurious Seasonality" (based on joint work with S. Mittnik)
  • Dec 14, 2016: IFB-KMF Brown Bag Seminar (LMU München), Munich
    Presentation: "Risk Estimation and Spurious Seasonality" (based on joint work with S. Mittnik)
  • Sep 19 - 22, 2016: Salzburg Workshop on Dependence Models & Copulas, Salzburg, Austria
    Presentation: "Testing the simplifying assumption in high-dimensional vine copulas" (based on joint work with F. Spanhel)
  • May 17 - 19, 2016: Dependence Modeling in Finance, Insurance and Environmental Science, Garching (Munich)
    Presentation: "Testing the simplifying assumption in high-dimensional vine copulas" (based on joint work with F. Spanhel)
  • Mar 14 - 18, 2016: DAGStat 2016 (Fourth Joint Statistical Meeting of the Deutsche Arbeitsgemeinschaft Statistik "Statistics under one Umbrella"), Göttingen
    Presentation: "Testing the simplifying assumption in high-dimensional vine copulas" (based on joint work with F. Spanhel)
  • May 22 - 24, 2015: SOFINE-CEQURA Spring Junior Workshop 2015, Nesselwang (Allgäu)
    Presentation: "Testing the simplifying assumption in vine copulas" (based on joint work with F. Spanhel)
  • Dec 06 - 08, 2014: 8th International Conference on Computational and Financial Econometrics (CFE 2014), Pisa, Italy
    Presentation: "Testing the simplifying assumption in vine copulas" (based on joint work with F. Spanhel)
  • Nov 26, 2014: Seminar der AG über Risikomanagement und Statistik (TU München), Garching (Munich)
    Presentation: "Testing the simplifying assumption in vine copulas" (based on joint work with F. Spanhel)
  • Aug 06 - 08, 2014: Doktorandentreffen Stochastik 2014, Halle (Saale)
    Presentation: "Simplified vine copula approximations - Properties and consequences" (based on joint work with F. Spanhel)
  • Jan 03 - 05, 2014: International Workshop on High-Dimensional Dependence and Copulas: Theory, Modeling, and Applications, Beijing, China
    Presentation: "A first step towards testing the simplified assumption in vine copula models: Tests on the partial copula" (based on joint work with F. Spanhel)
  • Sep 25, 2013: 2nd CEQURA-Junior Research Workshop 2013, Munich
    Presentation: "Tests on the partial copula"

Refereeing

Computational Statistics & Data Analysis, Journal of Banking & Finance

Teaching

  • Exercise Sessions
SoSe 2017 (Univariate) Time Series Analysis, Chair of Financial Econometrics, LMU
WiSe 2016/17 Probability Theory and Inference I, Department of Statistics, LMU
SoSe 2016 (Univariate) Time Series Analysis, Chair of Financial Econometrics, LMU
SoSe 2015 (Univariate) Time Series Analysis, Chair of Financial Econometrics, LMU
SoSe 2014 (Univariate) Time Series Analysis, Chair of Financial Econometrics, LMU
SoSe 2014 Econometric Analysis of Tick Data, Chair of Financial Econometrics, LMU
SoSe 2013 Introduction to Financial Databases for Bachelor Theses, Institute for Capital Markets and Corporate Finance, LMU
WiSe 2010/11 Introduction to financial Accounting, Chair of Accounting, Universität Konstanz
WiSe 2009/10 Introduction to financial Accounting, Chair of Accounting, Universität Konstanz
  • Seminars
WiSe 2016/17 MA-Seminar: Financial Econometrics, Chair of Financial Econometrics, LMU
SoSe 2015 BA-Seminar: Quantitative Risk Management, Chair of Financial Econometrics, LMU
WiSe 2014/15 BA-Seminar: Financial Econometrics, Chair of Financial Econometrics, LMU
SoSe 2014 BA/MA-Seminar: Financial Econometrics, Chair of Financial Econometrics, LMU
  • Thesis Supervisions
WiSe 2016/17 Conditional and Partial Copulas: Approximations Based on Mixture Distributions (BA-Thesis), Chair of Financial Econometrics, LMU
SoSe 2015 Asymmetric Correlations in Financial Returns (BA-Thesis), Chair of Financial Econometrics, LMU