Research interests
I am interested in extreme value theory and dependence modelling. My main interest is the analysis of rare events in multivariate observations and time series. In my projects, I explore how model assumptions (like specific models for financial time series, in particular GARCH and SV-models) or general frameworks (like those of regular variation for vectors and time series) shape the structure of extreme events. More recently, I have worked at the interface of probability theory and statistics in the form of finding ways to improve extremal inference by incorporating this structure into estimation techniques.
I am Associate Editor for the journals Extremes and Stochastic Models.