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University of Regensburg
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Dominik Ammon

I have been working at the Chair of Econometrics since October 2021 and supervise the courses Programming with R, Methods of Econometrics, Advanced Econometrics and Quantitative Economic Research II.

Research overview

My research focuses on factor models, long memory processes, fractional cointegration and efficient model selection methods.

 

In my first paper, together with Tobias Hartl and Rolf Tschernig, I analyse the effects of unnecessary differencing of time series in approximate dynamic factor models. Since the underlying latent factors are not observable, the differentiation of non-stationary processes can lead to a loss of information that makes their identification and estimation more difficult.

In my second paper, I work together with Julian Heinz on various portfolio optimisation strategies to minimise investment risk. We combine factor models for volatility estimation with dynamic conditional correlation (DCC) models and thus achieve a significant risk reduction compared to classical approaches.

Conferences and summer schools

Some of the conferences and summer schools I attended are listed below:

   
08/2026EEA-ESEMDublin, Ireland
05/20267th Vienna Workshop on High Dimensional Time Series in Macroeconomics and FinanceVienna, Austria
08/2025 World Congress, Econometric SocietySeoul, Korea
12/2024CFE 2024London, England
12/202435th EC squaredAmsterdam, The Netherlands
09/2024Statistische WocheRegensburg, Germany
05/20246th Vienna Workshop on High Dimensional Time Series in Macroeconomics and FinanceVienna, Austria
01/202436th BGPE Research WorkshopMunich, Germany
09/2023Verein für SocialpolitikRegensburg, Germany
12/2022CFE 2022London, England
09/2022Klagenfurt-Bielefeld Summer School on Modern Topics in Time Series AnalysisKlagenfurt, Austria
06/20225th Vienna Workshop on High Dimensional Time Series in Macroeconomics and FinanceVienna, Austria
07/2021Hausdorff School for Advanced Studies in MathematicsBonn, Germany (virtual)

Ammon, Dominik

Research Assistant

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