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Leibniz Universität Hannover/Institut für Statistik
Logo Leibniz Universität Hannover
Leibniz Universität Hannover/Institut für Statistik
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Dr. Christian Leschinski

Lebenslauf

Ausbildung

  • 2016: Dr. rer. pol. in Wirtschaftswissenschaften, Leibniz Universität Hannover
  • 2012: M. Sc. Finance and Econometrics, Queen Mary University of London
  • 2011: B. Sc. Wirtschaftswissenschaften, Leibniz Universität Hannover
  • 2006: Abitur, Gymnasium am Silberkamp, Peine

Wissenschaftliche Tätigkeiten

  • Seit 08/2016: Akademischer Rat an der Wirtschaftswissenschaftlichen Fakultät, Institut für Statistik, Leibniz Universität Hannover
  • 2012-2016: Wissenschaftlicher Mitarbeiter an der Wirtschaftswissenschaftlichen Fakultät, Institut für Statistik, Leibniz Universität Hannover

Forschungsinteressen

  • (Spurious) Long Memory
  • Structural Breaks
  • Fractional Cointegration
  • Forecasting
  • International Finance

Publikationen

Wissenschaftliche Beiträge

2018

  • Kruse, R., Leschinski, C., and Will, M.: Comparing predictive accuracy under long memory - with an application to volatility forecasting, Journal of Financial Econometrics (link)
  • Wenger, K., Leschinski, C. and Sibbertsen, P.: Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments, Advances in Statistical Analysis (link)
  • Voges, M., Leschinski, C. and Sibbertsen, P.: Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks, Advances in Applied Financial Econometrics (forthcoming)
  • Leschinski, C. and Sibbertsen, P.: Model order selection in periodic long memory models, Econometrics and Statistics (link)
  • Wenger, K., Leschinski, C. and Sibbertsen, P.: The Memory of Volatility, Quantitative Finance and Economics, 2(1), 622-644 (link)
  • Sibbertsen, P., Leschinski, C., Busch, M.: A Multivariate Test Against Spurious Long Memory, Journal of Econometrics (link); Supplementary Appendix
  • Wenger, K., Leschinski, C. and Sibbertsen, P.: A Simple Test on Structural Change in Long-Memory Time Series, Economics Letters, 163, 02/2018, 90-94 (link)

2017

  • Leschinski, C.: On the memory of products of long range dependent time series, Economics Letters, 153, 04/2017, 72-76 (link)
  • Leschinski, C. and Bertram, P.: Time varying contagion in EMU government bond spreads, Journal of Financial Stability, 29, 04/2017, 72-91 (link)

 

Software

2017

  • Leschinski. C.: MonteCarlo: Automatic Parallelized Monte Carlo Simulations. R package version 1.0.0. (link), Development Version

Aktuelle Working Paper

  • Becker, J. and Leschinski, C.: The Bias of Realized Volatility, Hannover Economic Papers, Nr. 642 (WP)
  • Leschinski, C. and Sibbertsen, P.: The Periodogram of Spurious Long-Memory Processes, Hannover Economic Papers, Nr. 632 (WP)
  • Becker, J. and Leschinski, C.: Estimating the Volatility of Asset Pricing Factors, Hannover Economic Papers, Nr. 631 (WP)
  • Leschinski, C., Voges, M. and Sibbertsen, P.: Integration and Disintegration of EMU Government Bond Markets, Hannover Economic Papers, Nr. 625 (WP)
  • Becker, J. and Leschinski, C.: Directional Predictability of Daily Stock Returns, Hannover Economic Papers, Nr. 624 (WP)
  • Rinke, S., Busch, M. and Leschinski, C.: Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates (WP)

    Konferenzbeiträge

    2018

    • “The periodogram of spurious long memory processes”, Mini-Workshop, WHU Vallendar

    2017

    •  “Origins of Spurious Long Memory”, Statistische Woche, Rostock
    •  “Spurious Long Memory in Multivariate Time Series”, Forschungsseminar, Uni Kiel

    2016

    • “Multivariate Spurious Long Memory and a Robust Local Whittle Estimator”, CFE-CMStatistics 2016, Sevilla
    • “Multivariate Spurious Long Memory and a Robust Local Whittle Estimator”, 21st Spring Meeting of Young Economists, Lissabon
    • "Multivariate Spurious Long Memory and a Robust Local Whittle Estimation", DAGStat 2016 - "Statistics under one umbrella", Göttingen

    2015

    • “Multivariate spurious long memory and a robust local Whittle estimator“, CFE-CMStatistics 2015, London
    • “A Multivariate Local Whittle Estimator for the Long-Memory Parameter in Presence of Trends and Structural Breaks”, Statistische Woche 2015, Hamburg
    • “Comparing Predictive Accuracy Under Long Memory”, 16th IWH-CIREQ Macroeconometric Workshop, Halle
    • "Comparing Predicitve Accuracy Under Long Memory", 2nd IAAE Applied Econometrics Conference, Thessaloniki

      2014

      • "Model Selection in Seasonal/Cyclical Long Memory Models", Statistische Woche 2014, Hannover
      • "Model Selection in Seasonal/Cyclical Long Memory Models", NSVCM, 2014, Paderborn
      • "Testing for unit roots in random level shift processes", 10th BMRC-DEMS Conferrence on Macro and Financial Economics/Econometrics, 2014, Brunel University, London
      • "Pure Contagion Dynamics in EMU Government Bond Spreads", 3. Niedersächsischer Workshop in Applied Econometrics, 2014, Hannover

      2013

      • “Contagion Dynamics in EMU Government Bond Spreads”, Statistische Woche 2013, Berlin
      • "Modeling Contagion in the EMU Crisis: A Conditional Copula Approach", 21st Symposium of the Society for Nonlinear Dynamics and Econometrics, 2013, Milan
      • "Contagion Dynamics in EMU Govenment Bond Spreads", 4th Amsterdam-Bonn Workshop, 2013, Amsterdam

      Lehre

      • Seminar zu quantitativen Methoden
      • Schließende Statistik
      • Statistische Analyse der Finanzmärkte
      • Zeitreihenanalyse
      • Seminar Statistik
      • Maschinelles Lernen