Financial Econometrics DFG PhD Position at TU Dresden

At the "Friedrich List" Faculty of Transport and Traffic Sciences, Institute of Transport and Economics, the Chair of Econometrics and Statistics, esp. in the Transport Sector offers a position as

Research Associate (m/f/x)

(subject to personal qualification employees are remunerated according to salary group E 13 TV-L)starting as soon as possible. The position comprises 75% of the fulltime weekly hours and is limited to 3 years.

The period of employment is governed by the Fixed Term Research Contracts Act (Wissenschaftszeitvertragsgesetz-WissZeitVG). The position offers the chance to obtain further academic qualification (e.g. PhD).Tasks: Research work to fulfill below-listed objectives. Own research activities as well as publications in international journals are explicitly desired and expected.

The following goals are to be advanced within the framework of a DFG project:
• Develop estimators of the higher realized moments of daily returns based on the high-frequency data.
• Estimate the conditional distribution of the daily returns and forecast it. Based on moment estimation, to derive an ex-post approximation of the conditional distribution of returns based on intra-day information.
• Develop a model to predict future ex-post density approximations. Using the modified CAViaR model in which the quantile regression takes realized skewness and kurtosis into account, we aim at a simultaneous estimation of ES and VaR.

Requirements: university degree in statistics, econometrics or mathematics; profound knowledge of modern programming and a suitable language, e.g., Python or R; knowledge of data analysis, ability to work independently in a goal- and project-oriented manner. Knowledge in stochastic processes and financial econometrics is advantageous.

TUD strives to employ more women in academia and research. We therefore expressly encourage women to apply. The University is a certified family-friendly university and offers a Dual Career Service. We welcome applications from candidates with disabilities. If multiple candidates prove to be equally qualified, those with disabilities or with equivalent status pursuant to the German Social Code IX (SGB IX) will receive priority for employment.

If you fit this profile, we look forward to receiving your application by March 20, 2023 (stamped arrival date of the university central mail service applies), preferably via the TU Dresden SecureMail Portal by sending it as a single-pdf document to or to: TU Dresden, Fakultät Verkehrswissenschaften „Friedrich List“, Institut für Wirtschaft und Verkehr, Professur für Ökonometrie und Statistik, insbesondere im Verkehrswesen, Herrn Prof. Dr. Ostap Okhrin, Helmholtzstr. 10, 01069 Dresden, Germany. Please submit copies only, as your application will not be returned. Expenses incurred in attending interviews cannot be reimbursed.


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