Prof. Dr. Theo Berger

Publikationen

2022

• Wittfoth, Sven, Berger, Theo und Moehrle, Martin G. (2022): Revisiting the innovation dynamics theory: How effectiveness- and efficiency-oriented process innovations accompany product innovations, Technovation, 112 (102410).

2021

• Berger, Theo und Moys, Gunnar (2021): Value-at-Risk backtesting: Beyond the empirical failure rate, Expert Systems with Applications, 117 (114893).
• Berger, Theo und Uffmann, Christina  (2021): Assessing liquidity-adjusted risk forecasts, Journal of Forecasting, 40 (7).
   

2020

• T. Berger und R. Gencay (2020): Volatility Spillover along the Supply Chains: A Network Analysis on Economic Links, Journal of Risk, 22(5), 83-113. 
• T. Berger und R. Gencay (2020): Short-run wavelet-based covariance regimes for applied portfolio management, Journal of Forecasting, 39(4), 642-660. 
• T. Berger und R. Czudaj (2020): Commodity futures and a wavelet-based risk assessment, Physica A: Statistical Mechanics and its Applications, 554, 124339.

2019

• J. Beckmann, T. Berger und R. Czudaj (2019): Gold Price Dynamics and the Role of Uncertainty, Quantitative Finance, 19 (4), 663-681.

2018

• T. Berger und R. Gencay (2018): Improving daily Value-at-Risk forecasts: The Relevance of Short-run Volatility for Regulatory Quality Assessment, Journal of Economic Dynamics and Control, 92. 30-46.

2017

• M. Al Janabi, J. Arreola Hernandez, T. Berger und D. Nguyen (2017): Multivariate Dependence and Portfolio algorithms under Illiquid Market Scenarios, European Journal of Operational Research, 259, 1121-1131.
• J. Beckmann, T. Berger, R. Czudaj und T. Hoang (2017): Tail Dependence between Gold and Sectorial Stocks in China: Perspectives for Portfolio Diversification, Empirical Economics, 1, 1-28.
• J. Beckmann, T. Berger und R. Czudaj (2017): The Macroeconomic Role of Currency Reserve Accumulation in Emerging Markets - The Asian Experience, The World Economy, 41, 77-99.

2016

• T. Berger (2016): Wavelet Decomposition and Applied Portfolio Management, Journal of Risk, 18, 53-77.
• T. Berger und G. Salah Uddin (2016): On the Dynamic Dependence between Equity Markets, Commodity Futures and Economic Uncertainty Indexes, Energy Economics, 56,374-383.
• T. Berger und C. Fieberg (2016): On Portfolio Optimization: Forecasting Covariances based on Multiscale Risk Models, Journal of Risk Finance,17, 295-309.
• T. Berger (2016): On the Isolated Impact of Copulas on Risk Measurement: A Simulation Study, Economic Modelling, 58, 475-481.
• T. Berger (2016): Conditional Volatility Forecasts based on Wavelet Decomposition, Operations Research Proceedings 2015, forthcoming

2015

• T. Berger (2015): Forecasting based on Decomposed Financial Return Series: A Wavelet Analysis, Journal of Forecasting, 35 (5), 419-433.
• J. Beckmann, T. Berger und R. Czudaj (2015): Oil Price and FX-rates Dependency, Quantitative Finance, 16(3), 477-488.
• T. Berger (2015): A Wavelet based Approach to Measure and Manage Contagion at Different Time Scales, Physica A, 436, 338-350.
• J. Beckmann, T. Berger und R. Czudaj (2015): Does Gold act as a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach, Economic Modelling, 48, 16-24.

2014

• T. Berger und M. Missong (2014): Copulas and Portfolio Strategies: An applied Risk Management Perspective, Journal of Risk, 17(2), 51-92.
• T. Berger (2014): Misspecified Dependency Modelling: What does it mean for Risk Measurement, Operations Research Proceedings 2013, 15-22.
• T. Berger und M. Missong (2014): Financial Crisis, Value-at-Risk Forecasts and the Puzzle of Dependency Modeling, International Review of Financial Analysis, 33, 33-38.

2013

• T. Berger (2013): Forecasting Value-at-Risk Using Time Varying Copulas and EVT Return Distributions, International Economics, 133, 93-106.
• T. Berger (2013): Financial crisis, VaR forecasts and the performance of time varying EVT-Copulas, Operations Research Proceedings 2012, 35-40.

Vorträge

2020

• IRMC 2020, International Risk Management Conference, Global Virtual Conference, Turin

2019

• OR 2019 Conference, International Conference on Operations Research, Dresden
• Statistische Woche 2019, Jahrestagung der Deutschen Statistischen Gesellschaft, Trier
• Invited Speaker, Diginomics Graduiertenkolleg, Bremen
• ISEEFI 2019, 7th International Symposium on Environment and Energy Finance Issues, Paris

2018

• Statistische Woche 2018, Jahrestagung der Deutschen Statistischen Gesellschaft, Augsburg

2017

• Invited Speaker, 4th Annual Society of Economic Measurement Conference, Boston
• Invited Speaker, Workshop on Innovative Methods in Finance and Economics, Istanbul
• EEFS, Workshop on Financial Econometrics and Empirical Modeling, Bochum
• ICMAIF 2017, International Conference on Macroeconomic Analysis and International Finance, Crete
• EFMA 2017, European Financial Management Association Conference, Athens
• IFABS 2017, International Finance and Banking Society Conference, Oxford
• OR 2017 Conference, International Conference on Operations Research, Berlin
• Statistische Woche 2017, Jahrestagung der Deutschen Statistischen Gesellschaft, Rostock
• CEQURA Conference 2017, 8th CEQURA Conference on Advances in Financial and Insurance Risk Management, Munich

2016

• IFABS 2016, International Finance and Banking Society Conference, Barcelona
• ECOMFIN 2016, Energy and Commodiy Finance Conference, Paris
• World Finance Conference 2016, New York

2015

• Invited Speaker, Research Seminar, University of Cologne, Cologne
• Invited Speaker, Banking and Finance Seminar, Johannes Gutenberg University, Mainz
• MFA Midwest Finance Association, 64th Annual Meeting, Chicago
• EEFS 2015, European Economics and Finance Society Annual Conference, Brussels
• OR 2015 Conference, International Conference on Operations Research, Vienna
• Statistische Woche 2015, Jahrestagung der Deutschen Statistischen Gesellschaft, Hamburg

2014

• Invited Speaker, Quantitative Finance Laboratory, Humboldt-University, Berlin
• MFA Midwest Finance Association, 63rd Annual Meeting, Orlando, Florida
• IFABS 2014, International Finance and Banking Society Conference, Lisbon
• EFMA 2014, European Financial Management Association Conference, Rome
• OR 2014 Conference, International Conference on Operations Research, Aachen
• Statistische Woche 2014, Jahrestagung der Deutschen Statistischen Gesellschaft, Hanover
• CFE 2014, 1st Conference on Recent Developments in Financial Econometrics and Applications, Melbourne
• PFMC 2014, Financial Management Conference 2014, Paris

2013

• Statistische Woche 2013, Jahrestagung der Deutschen Statistischen Gesellschaft, Berlin
• OR 2013 Conference, International Conference on Operations Research, Rotterdam
• Euro-Informs 2013, 26TH European Conference on Operational Research, Rome
• European Economics and Finance Society, Twelfth Annual Conference, Berlin
• MFA Midwest Finance Association, 62nd Annual Meeting, Chicago

2012

• CEQURA Conference 2012, 3rd CEQURA Conference on Advances in Financial and Insurance Risk Management, Munich
• Statistische Woche 2012, Jahrestagung der Deutschen Statistischen Gesellschaft, Vienna
• OR 2012 Conference, International Annual Conference on Operations Research, Hanover
• EFMA 2012, European Financial Management Association Conference, Barcelona
• FFM 2012, Forecasting Financial Markets 19th International Conference, Marseille
• 15th SGF CONFERENCE 2012, Annual Conference of the Swiss Society for Financial Market Research, Zurich
• 1rst PhD Student Conference in International Macroeconomics and Financial Econometrics, Paris

2011

• CEQURA Conference 2011, Conference on Advances in Financial and Insurance Risk Management, Munich
• Macro and Financial Econometrics Conference, Heidelberg

2010

• Statistische Woche 2010, Jahrestagung der Deutschen Statistischen Gesellschaft, Nuremberg

Lehrveranstaltungen

• WiSe 20/21 Vorlesung: Applied Data Science (Master)
• SoSe 20 Vorlesung: Advanced Econometrics: Time series analytics (Master)
• WiSe 19/20 Vorlesung: Applied Data Science (Master)
• SoSe 19 Vorlesung: Advanced Econometrics and Data Science (Master)
• WiSe 18/10 Vorlesung: Applied Data Science (Master)
• Juni 18 - Juli 18 Forschungsaufenthalt: SHU-UTS SILC Business School (Shanghai University)
• SoSe 18 Vorlesung: Ökonometrie für Fortgeschrittene (Master)
• WiSe 17/18 Vorlesung: Analyse von Wirtschaftsdaten (Bachelor)
• SoSe 17 Vorlesung: Statistik (Bachelor), Advanced Econometrics (Master)
• WiSe 16/17 Vorlesung: Analyse von Wirtschaftsdaten (Bachelor)
• SoSe 16 Vorlesung: Statistik (Bachelor), Advanced Econometrics (Master)
• März 16 Seminar: Einführung in Matlab, Matlab für Fortgeschrittene (PhD / Universität Oldenburg)
• WiSe 15/16 Forschungsaufenthalt: Simon Fraser University (Vancouver, British Columbia)
• SoSe 15 Vorlesung: Statistik (Bachelor), Applied Econometrics with Matlab (Master)
• SoSe 14 Vorlesung: Applied Econometrics with Matlab (Master)
• Feb 14-Mai 14 Vorlesung: Risk Management (Master / Macau University of Technology)
• WiSe 13/14 Vorlesung: Advanced Econometrics (Master)
• Okt 13 Vorlesung: Applied Economics (Bachelor / Universitat Politecnica de Valencia)
• SoSe 2013 Übung: Statistik (Bachelor)
• WiSe 12/13 Seminar: Einführung in SPSS (Master), Übung: Intermediate Econometrics (Master)
• SoSe 2012 Übung: Statistik (Bachelor)