Malte S. Kurz, M. Sc.

Working Papers

• Kurz, M. S., and Mittnik, S. (June 2017, revised April 2018)
  "Risk Assessment and Spurious Seasonality", Center for Quantitative Risk Analysis (CEQURA), Working Paper Number 19.
  A previous version of this paper was circulated on SSRN under the title "Risk Estimation and Spurious Seasonality"
  [Paper available at SSRN, Poster]
• Kurz, M. S., and Spanhel, F. (June 2017, revised April 2018)
  "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

• Kurz, M. S. (2018)
  "A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation", Economics Letters 168, pp. 42-45.
  [Link, Accompanying MATLAB code: SSMwLS]
• 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

• R-package pacotest ("Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas")
  
  [CRAN, Package source, Documentation, Bug reports]
• Matlab toolbox VineCopulaMatlab ("A MATLAB toolbox for vine copulas based on C++")
  [Package source, Documentation, Bug reports]
• C++ library VineCopulaCPP ("A C++ library for vine copulas")
  [Package source, Documentation, Bug reports]

Find me on

Presentations at Conferences and Seminars

• Jan 16, 2018: Research Seminar (Chair of Financial Econometrics; LMU München), Munich
  Presentation: "On low-dimensional Kalman smoother for systems with lagged states in the measurement equation"
• 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)
• Jan 17, 2017: Research Seminar (Chair of Financial Econometrics; LMU München), Munich
  Presentation: "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)
• Jan 19, 2016: Research Seminar (Chair of Financial Econometrics; LMU München), Munich
  Presentation: "Testing the simplifying assumption: Accounting for estimation uncertainty" (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)
• Dec 02, 2014: Research Seminar (Chair of Financial Econometrics; LMU München), Munich
  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: 2^nd CEQURA-Junior Research Workshop 2013, Munich
  Presentation: "Tests on the partial copula"

Refereeing

Computational Statistics & Data Analysis, Journal of Banking & Finance, Journal of Statistical Software

Teaching

• Exercise Sessions

• Seminars

• Thesis Supervisions