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.

This work was done in collaboration with and was supervised by Miguel de Carvalho and Anthony Davison.