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Prof. Dr. Roman Liesenfeld

Prof. Dr. Roman Liesenfeld - Economic and Social Statistics

Curriculum Vitae

  • Since 2013 Professor for Statistics and Econometrics (W3), University of Cologne
  • 2011 - 2014  DFG-Grant, Spatial Effects in Count Data Models, (with Prof. Dr. Robert C. Jung, University of Hohenheim)
  • 2011 - 2012 Dean of the Department of Business, Economic and Social Science, University of Kiel
  • 2007 Visiting Scholar, Department of Economics, University of Pittsburgh
  • 2006 - 2008 DFG-Grant, Lineare und nichtlineare Panelmodelle mit verallgemeinerter Fehlertermstruktur und ihre Anwendung bei der Analyse von Leistungsbilanzsalden, (with Helmut Herwartz, University of Kiel)
  • 2003 - 2013 Professor for Statistics (C4), University of Kiel
  • 2003 Visiting Professor, Department of Economics, University of Pittsburgh
  • 1998 - 2003 Assistant Professor (C1), Department of Economics, University of Tübingen
  • 2002 Habilitation (venia legendi für Statistik und Ökonometrie), University of Tübingen
  • 2000 German Research Association (DFG), visiting research fellow at the University of Pittsburgh, USA
  • 1998 Award of the Chamber of Commerce and Industry, Stuttgart (best Ph.D. dissertation in Economics at the University of Tübingen)
  • 1998 Doctoral degree (Dr. rer. pol.), University of Tübingen
  • 1993 - 1998 Research Assistant (Wissenschaftlicher Mitarbeiter), Department of Economics, University of Tübingen
  • 1993 Diplom (Diplom-Volkswirt), University of Mannheim
  • Memberships: Verein für Socialpolitik, Verein für Socialpolitik - Ausschuss für Ökonometrie, Econometric Society, since 2013 Associate Editor of Empirical Economics

Selected Publications

  • Efficient Likelihood Evaluation of State-Space Representations, The Review of Economic Studies, (2013), 80: 538-567 (mit D.N. DeJong, H. Dharmarajan, G.V. Moura und J.-F. Richard).
  • The Conditional Autoregressive Wishart Model for Multivariate Stock Market Volatility, Journal of Econometrics, (2012), 167: 211-223 (mit V. Golosnoy und B. Gribisch).
  • Dynamic Factor Models for Multivariate Count Data: An Application to Stock Market Trading Activity, Journal of Business & Economic Statistics, (2011), 29: 73-85 (mit R.C. Jung und J.-F. Richard).
  • Efficient Estimation of Probit Models with Correlated Errors, Journal of Econometrics, (2010), 156: 367-376 (mit J.-F. Richard).
  • Dynamic Invariant Multinomial Probit Model: Identification, Pretesting and
  • Estimation, Journal of Econometrics, (2010), 155: 117-127 (mit J.-F. Richard).
  • Time Series of Count Data: Modelling and Estimation, Computational Statistic and Data Analysis, (2006), 51: 2350-2364 (mit R.C. Jung und M. Kukuk).
  • A Nonlinear Forecasting Model of GDP Growth, The Review of Economics and Statistics, (2005), 87: 697-708 (mit D.N. DeJong und J.-F. Richard).
  • A Generalized Bivariate Mixture Model for Stock Price Volatility and Trading Volume, Journal of Econometrics, (2001), 104: 141-178.
  • Stochastic Volatility Models: Conditional Normality versus Heavy-Tailed Distributions, Journal of Applied Econometrics, (2000), 15: 137-160 (mit R.C. Jung).
  • Dynamic Bivariate Mixture Models: Modeling the Behavior of Prices and Trading Volume, Journal of Business & Economic Statistics, (1998), 16: 101-109.