Research

General research interests:

• • Mathematical statistics

  • Statistical methods for stochastic processes

  • Ambit stochastics: Theory and application of ambit fields and ambit processes

  • Financial econometrics

  • Financial mathematics

  • Extreme value theory

Specific research interests:

• • Continuous time modelling of time series

  • Stochastic volatility: Modelling and estimation

  • Spatio-temporal statistics

  • High-frequency financial data

  • Modelling of energy markets

  • Extreme event prediction and monitoring