Daniel Straumann

Laboratory of Actuarial Mathematics
University of Copenhagen
Universitetsparken 5
DK-2100 Copenhagen
Denmark
phone: +45 3532 0774
fax: +45 3532 0772
e-mail: strauman@math.ku.dk Professional biography

Daniel Straumann is a Ph.D. student of  Prof. Dr. Thomas Mikosch  at the University of Copenhagen,
Denmark. After having obtained a masters degree in  mathematics at ETH Zürich,  he worked
1½ years at  RiskLab  before he started a Ph.D. project at  RUG , Groningen.
 

Publications

• 1999. Embrechts P., McNeil A.J., Straumann D.: Correlation: pitfalls and alternatives. RISK, May 1999: pages 69-71.  postscript (342 K),  pdf (301 K).
• 2000. Embrechts P., McNeil A.J. and Straumann D.: Correlation and dependence in risk management: properties and pitfalls.  In Risk management: value at risk and beyond, edited by Dempster M. and Moffatt H.K., published by Cambridge University Press (yet to  appear). postscript (614 K), pdf  (611 K).
• 2002. Mikosch, T. and Straumann, D.: Whittle estimation in a heavy-tailed GARCH(1,1) model. Stochastic Process. Appl., 100: 187-222.

Preprints

• 2003. Straumann, D. and Mikosch, T.: Quasi-maximum-likelihood estimation in heteroscedastic time series: a stochastic recurrence equations approach.   (ps),   (pdf).

Bachelor project summer 2001

• Problem sheet. Download here .
• Data:   S+ object  | Text file
• Announcement of meetings:  4/4/2001, 14:15-15:00 in A107.

                                                     18/4/2001, 12:15-13:00 in A10.
                                                       9/5/2001, 12:15-13:00 in A10.
                                                     13/6/2001, 12:15-13:00 in A10.
                                                       2/7/2001,   9:15-10:00 in A7.
                                                       6/7/2001, 10:15-11:00 in A7.
                                                       9/7/2001, 10:15-11:00 in A7.