This interdisciplinary research project deals with modelling, estimation and prediction of the dynamics and the temporal dependence in the mean and the variance-covariance structure of multivariate time series data arising in economical and financial applications. Particular emphasis is put on questions such as dimension reduction (factor approach, modelling of co-movements), non-stationary behaviour over time, modelling of structural breaks (regime-switching), volatilities with and without jump behaviour, etc.
These questions are addressed by a number of econometricians and statisticians using and comparing a series of modern approaches in parametric, semi-parametric and non-parametric statistics. Applications to real data shall allow to access the quality of the proposed models and estimation procedures.