My research is in the field of econometrics and statistics and focuses on time series econometrics. A large part of my research deals with the analysis of structural changes and unit roots in time series data. Another part of my research focuses on functional data analysis and the development of methods for time series of functions. In particular, I am interested in factor models for functional time series and their application to applied econometric problems such as modeling of yield curves.
My CV can be found here.
For more information please visit my university webpage.
Current working papers
- Backward CUSUM for Testing and Monitoring Structural Change (with Jörg Breitung). preprint, R-package
- Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction (with Narazii Salish)
- Otto, S. (2021). Unit Root Testing with Slowly Varying Trends. Journal of Time Series Analysis. 42 (1), 85-106. paper, preprint, R-package
- Stark, F. and Otto, S. Testing and Dating Structural Changes in Copula-based Dependence Measures. forthcoming in Journal of Applied Statistics. paper, preprint