Univ.-Prof. Dr. Robinson Kruse-Becher
Short bio
Robinson Kruse-Becher started in March 2020 as Professor for Applied Statistics at the University of Hagen.
He obtained his diploma in economics at the University of Bonn. His career included positions at the universities in Hannover, Aarhus, Groningen, Cologne and Bonn.
His primary research interests are applied time series analysis and financial econometrics mit a focus on forecasting.
Education
April 2006
Diploma, Economics, University of Bonn
November 2008
Doktor rer.pol., University of Hannover
Short CV
April 2006 - July 2008
Research Assistant, Institute for Statistics, University of Hannover
August 2008 - July 2011
Post-Doc at Center for Research in the Econometric Analysis of TimE Series (CREATES), Aarhus University
August 2011 - July 2015
Assistant professor for Financial Statistics, University of Hannover
August 2015 - January 2017
Lecturer, Rijksuniversiteit Groningen
January 2017 - July 2017
Principal Econometrician, Luxembourg
August 2017 - February 2020
Professor for Financial Econometrics, University of Cologne
October 2018 - July 2019
Interim Professor for Econometrics, University of Bonn
Since March 2020
Professor for Applied Statistics, University of Hagen
Research interests
- Time series analysis
- Financial Econometrics
- Forecast evaluation
- Energy and climate econometrics
Selected publications and working papers
- Predictive regressions under heteroskedasticity, joint with Matei Demetrescu, Christoph Hanck and Robert Taylor
- Robust Fixed-b Inference in the Presence of Time-Varying Volatility, joint with Matei Demetrescu and Christoph Hanck, Econometrics and Statistics (2023)
- Improving financial volatility nowcasts, joint with Yuze Liu, The European Journal of Finance (2023)
- Join the club! Dynamics of global ESG indices convergence, joint with Marco Kerkemeier, Finance Research Letters, Volume 49 (2022), Article 103085
- Robust inference under time-varying volatility: A real-time evaluation of professional forecasters, joint with Matei Demetrescu and Christoph Hanck, Journal of Applied Econometrics 37(5), (2022), 1010-1030
- Time-varying persistence in real oil prices and its determinant, joint with Christoph Wegener, Energy Economics 85 (2020), Article 104328
- Comparing predictive accuracy under long memory, with an application to volatility forecasting, joint with Christian Leschinski and Michael Will, Journal of Financial Econometrics, 17 (2019), 180–228
- The walking debt crisis, joint with Tobias Basse and Christoph Wegener, Journal of Economic Behavior & Organization 157 (2019), 382-402
- Bias-corrected estimation for speculative bubbles in stock prices, joint with Hendrik Kaufmann and Christoph Wegener, Economic Modelling 73 (2018), 354-364
- A modified test against spurious long memory, Economics Letters 135 (2015), 34-38
- Linearity testing for trending data with an application of the wild bootstrap, joint with Rickard Sandberg, Essays in Nonlinear Time Series Econometrics: A Festschrift for Timo Teräsvirta, edited by Mika Meitz, Pentti Saikkonen and Niels Haldrup, Oxford University Press (2014), 57-89
- Unit roots, structural breaks, and non-linearities, joint with Niels Haldrup, Timo Teräsvirta and Rasmus Varneskov, in: N. Hashimzade and M. Thornton, Eds., Handbook on Empirical Macroeconomics. Handbook of Research Methods and Applications series, Edward Elgar Publishing Ltd. (2013), 61-94
- The power of unit root tests against nonlinear local alternatives, joint with Matei Demetrescu, Journal of Time Series Analysis 34 (2013), 40-61
- When bubbles burst: Econometric tests based on structural breaks, joint with Jörg Breitung, Statistical Papers 54 (2013), Special Issue on Structural Breaks, 911-930
- Testing for a rational bubble under long memory, joint with Michael Frömmel, Quantitative Finance 12 (2012), 1723-1732
- What do we know about real exchange rate nonlinearity?, joint with Michael Frömmel, Lukas Menkhoff and Philipp Sibbertsen, Empirical Economics 43 (2012), 457-474
- A new unit root test against ESTAR based on a class of modified statistics, Statistical Papers 52 (2011), 71-85
- Testing for a break in persistence under long-range dependencies, joint with Philipp Sibbertsen, Journal of Time Series Analysis 30 (2009), 263-285
