Ökonometrie und Wirtschaftsstatistik

Prof. Dr. Robert Jung

Robert Jung joined the University of Hohenheim in 2012. Prior to that he held a professorship at the University of Erfurt, Germany. He received his postdoctoral degree ("Habilitation") from the University of Tuebingen, Germany. His research interests focus in the area of financial econometrics, discrete-valued time series, computational statistics, health econometrics and spatial econometrics. Since 2014 Robert Jung is serving as Vice-Dean for Research at the Faculty of Business, Economics and Social Sciences.

Sekretariat

Kerstin Bubeck


Kontakt

  • Fg. Ökonometrie und Wirtschaftsstatistik (520K) [Leitung]
  • Institut für Volkswirtschaftslehre (520) [Fachgebietsleiter]
  • Computational Science Lab (CSL) (764) [Sprecher]
  • Fakultätsvorstand Wirtschafts- und Sozialwissenschaften [1. Prodekan]


Tel: 0711 459-24710
econometrics@uni-hohenheim.de
Schloss Hohenheim 1 C (Museumsflügel), 128

Sprechzeiten:
nach Vereinbarung


Publikationen

Journal Articles

Dimpfl, T.; Flad, M.; Jung, R.C., 2017. Price discovery in agricultural commodity markets in the presence of futures speculation. Journal of Commodity Markets, 5, 50-62.

Martin, V.; Tremayne, A.R.; Jung, R.C., 2014. Efficient Method of Moments Estimators for Integer Time Series Models. Journal of Time Series Analysis , 35, 491-516 .

Jung, R. C., Maderitsch, R., 2014. Structural Breaks in Volatility Spillovers between International Financial Farkets: Contagion or mere Interdependence? Journal of Banking and Finance, 47, 331-342.

Baur, D. G., Dimpfl, T., Jung, R. C., 2012. Stock Return Autocorrelations Revisited: A Quantile Regression Approach. Journal of Empirical Finance 19, 254-265.

Dimpfl, T., Jung, R. C., 2012. Financial Market Spillovers around the Globe. Applied Financial Economics 22, 45-57.

Jung, R. C., Tremayne, A. R., 2011. Convolution-closed Models for Count Time Series. Journal of Time Series Analysis 32, 268-280.

Jung, R. C., Tremayne, A. R., 2011. Useful Models for Time Series of Counts or Simply Wrong Ones. Advances in Statistical Analysis 95, 59-91.

Jung, R. C., Liesenfeld, R., Richard, J.-F., 2011. Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity. Journal of Business and Economics Statistics 29, 73-85.

Flad, M., Jung, R. C., 2008. A Common Factor Analysis for the US and the German Stock Market During Overlapping Trading Hours. Journal of International Financial Markets, Institutions and Money 18, 498-512.

Jung, R. C., Liesenfeld, R., Kukuk, M., 2006. Time Series Models for Counts: Modelling, Estimation and Diagnostics. Computational Statistics and Data Analysis 51, 2350-2364.

Jung, R. C., Tremayne, A. R., 2006. Binomial Thinning Models for Integer Time Series. Statistical Modelling 6, 81-96.

Baur, D., Jung, R. C., 2006. Return and Volatility Linkages between the US and the German Stock Market. Journal of International Money & Finance 25, 598-613.

Jung, R. C., Tremayne, A. R., 2006. Coherent Forecasting in Integer Time Series Models. International Journal of Forecasting 22, 223-238.

Jung, R. C., Ronning, G., Tremayne, A. R., 2005. Estimation in Conditional First Order Autoregression with Discrete Support. Statistical Papers 46, 195-224.

Jung, R. C., Tremayne, A. R., 2003. Testing for Serial Dependence in Time Series Models of Counts. Journal of Time Series Analysis 24, 65-84.

Jung, R. C., Liesenfeld, R., 2001. Estimating Time Series Models for Count Data Using Efficient Importance Sampling. Allgemeines Statistisches Archiv 85, 387-407.

Liesenfeld, R., Jung, R. C., 2000. Stochastic Volatility Models: Conditional Normality Versus Heavy-Tailed Distributions. Journal of Applied Econometrics 15, 137-160.

Jung, R. C., Liesenfeld, R., 1996. Testing the Bivariate Mixture Hypothesis Using German Stock Market Data. European Financial Management 2, 273-297.

Jung, R. C., Winkelmann, R., 1993. Two Aspects of Labor Mobility: A Bivariate Poisson Regression Model. Empirical Economics 18, 543-556.


Proceedings and Book Contributions

Jung, R.C., McCabe, B.P.M., Tremayne, A.R., 2015. Model Validation and Diagnostics. In: Davis, R.; Holan, S.H.; Lund, R.; Ravishanker, N. (Eds.): Handbook of Discrete-Valued Time Series. Chapman and Hall, Boca Raton.

Jung, R.C., Tremayne, A.R., 2007. Estimation and Testing in Time Series Models with Integer Support. In: Gregori, D. et al. (Eds.): Correlated Data Modelling. Proceedings, Turin 2004. Franco Angeli, Milano.

Ronning, G., Jung, R.C., 1992. Estimation of a First Order Autoregressive Process With Poisson Marginals for Count Data. In: Fahrmeir, L. et al. (Eds.): Advances in GLIM and Statistical Modelling. Proceedings of the GLIM92 Conference and the 7th International Workshop on Statistical Modelling, Munich, 13-17 July 1992. Springer Verlag, New York.


Miscellaneous

Freytag, A., Bayer, W., Dietrich, D., Jung, R.C., Klein, M., Lehmann, M., Ohler, C., Ruffert, M., Schnabl,

G., Tietje, C., 2010. Konstitutionelle Grundlagen globalisierter Finanzm¨ arkte-Stabilit ¨ at und Wandel. Stand und Perspektiven der Forschung. Working Papers on Global Financial Markets 1. Book (Dissertation)

Jung, R. C.: Zeitreihenanalyse f ¨ur Z¨ ahldaten. Eine Untersuchung ganzzahliger Autoregressiver-Moving- Average-Prozesse. Josef Eul Verlag, Lohmar, 1999.