Visiting student and research assistant
During the fall semester I was an exchange student taking classes in quantitative risk management and time series analysis at the Department of Statistics. Besides having courses, I was working on a project focused on the development of Markov regime-switching models.
Regime-switching models play an important role in diverse econometric applications as they allow for detecting structural changes in time series behavior. I was continuing my research on this topic during the summer months as a research assistant.
In the spring semester I was working on my master thesis. The aim of this research project was to improve one of the existing techniques for modeling extremal dependence between variables. Modeling extremal dependence is a key issue in estimating the risk of rare events which can, for example, cause significant damage.