Lars Winkelmann
School of Business and Economics
Boltzmannstraße 20
Raum 301
14195 Berlin
Tel:+49 30 838 52295
lars.winkelmann (at) fu-berlin.de
Office hours:
by appointment
Teaching 25
- Financial Econometrics (MA: Economics, Statistics; PhD)
- Topics in Time Series Econometrics (PhD: BDPEMS/DRS/DIW)
Recent research papers
Tests for jumps in yield spreads, with Yao, W., Journal of Business and Economic Statistics, 42, 946-957, 2024.
Inference on the maximal rank of time-varying covariance matrices using high-frequency data, with Reiß, M., Annals of Statistics, 51, 791-815, 2023.
Cojump anchoring, with Yao, W., FU Discussion Paper, 2020/17, 2020.
Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book, with Bibinger, M. and Neely, C., Journal of Econometrics, 209, 158-184, 2019.
Lars is an econometrician specializing in statistics for high-frequency data. He lectures on time series analysis and financial econometrics and serves as the principal investigator for international research projects. Lars is the author of several research papers and R-code. His empirical, policy-oriented work focuses on central bank communication, risk management, and price control in high-frequency financial markets.
