Prof. Dr. Wolfgang Schmid

Faculty of Business Administration and Economics

Chair of Quantitative Methods, especially Statistics

Welcome to our chair pages!

By appointment. Registration at zirkelbach@europa-uni.de

Statistics in Finance
Statistical Process Control
Environmental Statistics
Spatial Statistics

A simple powerful test for global minimum variance portfolio weights, Erscheint in Journal of Business & Economic Statistics (with V. Golosnoy, M. Seifert and J. Vogler).
Monitoring time dependent image processes, Erscheint in Econometrics and Statistics (with Y. Okhrin and V. Petruk).
Spatial and spatiotemporal volatility models: a review, Erscheint in Journal of Economic Surveys (with P. Otto, O. Dogan, S. Taspinar and A. Bera).
Control charts for high-dimensional time series with estimated in-control parameter, Sequential Analysis, https://doi.org/10.1080/07474946.2023.2288135, 2023 (with R. Bodnar and T. Bodnar).
Multi-period power utility optimization under stock return predictability, Computational Management Science, 20, 4: 1-27, 2023 (with T. Bodnar, D. Ivasiuk and N. Parolya).
Control charts for measurement error models, AStA - Advances in Statistical Analysis, 107, 693-712, 2023 (with V. Golosnoy, B. Hildebrandt, S. Kohler and M. Seifert).
A general framework for spatial GARCH models, Statistical Papers, 64, 1721-1747, 2023 (with P. Otto).
Sequential monitoring of high-dimensional time series, Scandinavian Journal of Statistics, 50, 962-992, 2023 (with R. Bodnar und T. Bodnar).
Testing for parameter changes in linear state space models, Applied Stochastic Models in Business and Industry, 37, 1060{1079, 2021 (with V. Golosnoy, S. Kohler und I. Seifert).
Statistical inference for the expected utility portfolio in high dimensions, IEEE Transactions on Signal Processing, 69, 1-14, 2021 (with T. Bodnar, S. Dmytriv and N. Parolya).
New approaches for monitoring image data, IEEE Transactions on Image Processing, 30, 921-933, 2020 (with Y. Okhrin and I. Semeniuk).
Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios, Mathematics and Financial Economics, 14, 675-698, 2020 (with T. Bodnar, D. Ivasiuk and N. Parolya).
Bayesian mean variance analysis: optimal portfolio selection under parameter uncertainty, Quantitative Finance,21, 221-242, 2021. (with D. Bauder, T. Bodnar and N. Parolya).
Statistical Inferences for Realized Portfolio Weights, Econometrics and Statistics, 14, 49-62, 2020 (with V. Golosnoy, M. Seifert and T. Lazariv).
Misleading signals in joint schemes for the mean vector and covariance matrix, Quality and Reliability Engineering International, 1-10, 2020 (with M. Morais, P. Ramos, T. Lazariv and A. Pacheco). online first.
Bayesian inference of the multi-period optimal portfolio for an exponential utility, Journal of Multivariate Analysis, 175, 1-22, 2020 (with D. Bauder, T. Bodnar and N. Parolya).
Stochastic properties of spatial and spatiotemporal ARCH models, Statistical Papers 62, 623-638, 2021 (with R. Garthoff and P. Otto).
Bayesian estimation of the efficient frontier, Scandinavian Journal of Statistics, 46, 802-830, 2018 (with D. Bauder, R. Bodnar and T. Bodnar).
Correction to: Comparison of joint control schemes for multivariate normal i.i.d. output, AStA - Advances in Statistical Analysis, 103, 289-303, 2019 (with M. Morais, P. Ramos, A. Pacheco and I. Semeniuk).
Comparison of joint control schemes for multivariate normal i.i.d. output, AStA - Advances in Statistical Analysis, 103, 257-287, 2019 (with M. Morais, P. Ramos and A. Pacheco).
Surveillance of non-stationary processes, AStA - Advances in Statistical Analysis, 103, 305-331, 2019 (with T. Lazariv).
GARCH processes and the phenomenon of misleading and unambiguous signals, Applied Stochastic Models in Business and Industry, 34, 667-681, 2018 (with B. Sousa, M. Morais and Y. Okhrin).
Discussion of "Statistical methods for network surveillance" by Daniel Jeske, Nathaniel Stevens, Alexander Tartakovsky, and James Wilson, Applied Stochastic Models in Business and Industry, 34, 452-456, 2018 (with P. Otto).
Spatial temporal analysis of German real estate prices, Annals of Regional Science, 60, 41-72, 2018 (with P. Otto).
Estimation of the global minimum variance portfolio in high dimensions, European Journal of Operational Research, 266, 371-390, 2018 (with T. Bodnar and N. Parolya).
A new high-dimensional time series approach for wind speed, wind direction and air pressure forecasting, Energy, 135, 833-850, 2017 (with D. Ambach).
Monitoring means and covariance of multivariate nonlinear time series with heavy tails, Comminications in Statistics - Theory and Methods, 45, 3421-3440, 2016 (with R. Garthoff).
CUSUM control schemes for monitoring the covariance matrix of multivariate time series, Statistics, 51, 722-744, 2017 (with O. Bodnar).
Estimation of the global minimum variance portfolio in high dimensions, European Journal of Operational Research, 266, 371-390, 2018 (with T. Bodnar and N. Parolya).
Detection of spatial change points in mean and covariances of multivariate simultaneous autoregressive models, Biometrical Journal, 58, 5, 1113-1137, 2016 (with P. Otto).
Spatiotemporal analysis of German real-estate prices, Annals of Regional Science, 60, 41-72, 2016 (with P. Otto).
Monitoring means and covariances of multivariate nonlinear time series with heavy tails, Communications in Statistics - Theory and Methods, 46, 21, 10394-10415, 2015 ( with R. Garthoff).
Multivariate autoregressive extreme value process and its application for modeling the time series properties of the daily asset prices, Communications in Statistics - Theory and Methods, 45, 3421-3440, 2016 (with R. Bodnar and T. Bodnar).
Spatio-temporal statistical analysis of the carbon budget of the terrestrial ecosystem, Statistical Methods and Applications, 25, 143-161, 2016 (with P. Vetter and R. Schwarze).
EWMA control charts for detecting changes in the mean of a long-memory process, Metrika, 79, 267-301, 2016 (with L. Rabyk).
On the misleading signals in simultaneous schemes for the mean vector and covariance matrix of multivariate i.i.d. output, Statistical Papers , 57, 471-498, 2016 (with P. Ramos, M. Morais and A. Pacheco).
Control charts for multivariate nonlinear time series, REVSTAT, 131-144, 2015 (with R. Garthoff and I. Okhrin).
Quality surveillance with EWMA control charts based on exact control limits, Statistical Papers, 56, 863-885, 2015 (with M. Morais and Y. Okhrin).
Behavior of EWMA type charts for small smoothing parameter, Computational Statistics and Data Analysis, 89, 115-125, 2015 (with T. Lazariv and Y. Okhrin).
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability, European Journal of Operational Research, 246, 528-542, 2015 (with T. Bodnar and N. Parolya).
A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function, Annals of Operations Research, 229, 121-158, 2015 (with T. Bodnar and N. Parolya).
Periodic and Long Range Dependent Models for High Frequency Wind Speed Data, Energy, 82, 277-293, 2015 (with D. Ambach)
Discussion on "Recent advances in process monitoring: semi parametric and variable-selection methods for Phase I and Phase II" by Giovanna Capizzi, Quality Engineering, 27, 68-72, 2015.
On the impact of falsely assuming i.i.d output in the probability of misleading signals, REVSTAT, 12, 221-245, 2014. (with M. Morais, P. Ramos and A. Pacheco).
Effcient approximation of the spatial covariance function for large datasets - analysis of atmospheric CO2 concentrations, Journal of Environmental Statistics, 6, 2014 (with P. Vetter and R. Schwarze).
Statistical surveillance of the mean vector and the covariance matrix of nonlinear time series, ASTA - Advances in Statistical Analysis, 98, 225-255, 2014 (with R. Garthoff and I. Okhrin).
Monitoring the mean of multivariate financial time series, Applied Stochastic Models in Business and Industry, 30, 328-340, 2014 (with R. Garthoff and V. Golosnoy).
Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data, Metrika, 76, 1105-1134, 2013 (with T. Bodnar and T. Zabolotskyy).
On control charts for monitoring the variance of a time series, Journal of Statistical Planning and Inference, 143, 1512-1526, 2013 (with T. Lazariv and S. Zabolotska).
Stochastic ordering in the qualitative assesment of the performance of simultaneous schemes for bivariate processes, Sequential Analysis, 32, 214-229, 2013 (with P. Ramos, M .Morais and A. Pacheco).
On the structure and estimation of hierarchical Archimedian copulas, Journal of Econometrics, 173, 189-204, 2013 (with O. Okhrin and Y. Okhrin).
Properties of hierarchical Archimedian copulas, Statistics & Risk Modeling, 1001-1034, 2013 (with O. Okhrin and Y. Okhrin).
Statistical surveillance of volatility forecasting models, Journal of Financial Econometrics, 10, 513-543, 2012 (with V. Golosnoy and I. Okhrin).
Minimum VaR and minimum CVaR optimal portfolios: estimators, confidence regions, and tests, Statistics & Risk Modeling, 29, 281-313, 2012 (with T. Bodnar and T. Zabolotskyy).
Limit properties of EWMA charts for stationary processes, Frontiers in Statistical Quality Control, H.-J. Lenz, W. Schmid and P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, 10, 69-83, 2012 (with M. Morais and Y. Okhrin).
Assessing the impact of autocorrelation in misleading signals in simultaneous residual schemes for the process mean and variance: a stochastic ordering approach, Frontiers in Statistical Quality Control, H.-J. Lenz, W. Schmid and P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, 10, 35-52, 2012 (with P. Ramos, M. Morais and A. Pacheco).
CUSUM charts for monitoring the mean of a Gaussian process, Journal of Statistical Planning and Inference, 141, 2055-2070, 2011 (with O. Bodnar).
On the exact distribution of the estimated EU portfolio weights: theory and applications, Statistics & Risk Modeling, 28, 319-342, 2011 (with T. Bodnar).
CUSUM charts for monitoring optimal portfolio weights, Computational Statistics and Data Analysis, 55, 2991-3009, 2011 (with V. Golosnoy and S. Ragulin).
Nonlinear locally weighted kriging prediction for spatio-temporal environmental processes, Environmetrics, 21, 365-381, 2010 (with O. Bodnar).
New characteristics for portfolio surveillance, Statistics, 44, 303-321 (with V. Golosnoy and I. Okhrin), 2010.
Multivariate CUSUM chart: properties and enhancements, AStA - Advances in Statistical Analysis, 93, 263-279, 2009 (with V. Golosnoy and S. Ragulin).
Discussion on "Optimal Sequential Surveillance for Finance, Public Health, and Other Areas" by M. Frisen, Sequential Analysis, 28, 375-380, 2009 (with O. Bodnar).
Misleading signals in simultaneous residual schemes for the mean and the variance of a stationary process, Communications in Statistics - Theory and Methods, 38, 2923-2943, 2009 (with S. Knoth, M. C. Morais and A. Pacheco).
Econometrical analysis of the sample efficient frontier, The European Journal of Finance, 15, 317-335, 2009 (with T. Bodnar).
Statistical inference of the efficient frontier for dependent asset returns, Statistical Papers, 50, 593-604, 2009 (with T. Bodnar and T. Zabolotskyy).
Asset allocation with distorted probability and transaction costs, European Journal of Operational Research, 194, 236-249, 2009 (with R. Kozhan).
Estimation of optimal portfolio compositions for Gaussian returns, Statistics & Decisions, 26, 179-201, 2008 (with T. Bodnar).
Comparing air quality among Italy, Germany, and Poland using BC indexes, Atmospheric Environment, 42, 8412-8421, 2008 (with O. Bodnar, M. Cameletti and A. Fasso).
Discussion on "Is Average Run Length to False Alarm always an Informative Criterion?" by Y. Mei, Sequential Analysis, 27, 392-395, 2008 (with S. Knoth).
EWMA charts for multivariate output: some stochastic ordering results, Communications in Statistics - Theory and Methods, 37, 2653-2663, 2008 (with M.C. Morais, Y. Okhrin and A. Pacheco).
Estimation of the optimal portfolio weights, International Journal of Theoretical and Applied Finance, 11, 249-276, 2008 (with Y. Okhrin).
On the existence of unbiasedestimators for the portfolio weights, AStA - Advances in Statistical Analysis, 92, 29-34, 2007 (with T. Zabolotskyy).
A test for the weights of the global minimum variance portfolio in an elliptical model, Metrika, 67, 127-143, 2008 (with T. Bodnar).
Surveillance of the mean behaviour of multivariate time series, Statistica Neerlandica, 61, 383-406, 2007 (with O. Bodnar).
On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in sigma, Statistics & Decisions, 24, 397-413, 2007 (with M.C. Morais, Y. Okhrin and A. Pacheco).
Comparison of different estimation techniques for portfolio selection, Advances in Statistical Analysis (AStA) 91, 109-127, 2007 (with Y. Okhrin).
EWMA control charts for monitoring optimal portfolio weights, Sequential Analysis, 26, p.195-224, 2007 (with V. Golosnoy).
The distribution of the sample variance of the global minimum variance portfolio in elliptical models, Statistics, 41, 65-75, 2007 (with T. Bodnar).
Eighty years of control charts, Sequential Analysis 26, 117-122, 2007.
Discussion on "Sequential Design and Estimation in Heteroscedastic Nonparametric Regression" by S. Efromovich, Sequential Analysis, 26, 53-55, 2007 (with Y. Okhrin).
Distributional properties of portfolio weights, Journal of Econometrics, 134, 235-256, 2006 (with Y. Okhrin).
EWMA charts for monitoring the mean and autocovariances of stationary processes, Statistical Papers, 47, 595-630, 2006 (with M. Rosolowski).
Multivariate control charts based on a projection approach, Journal of the German Statistical Society (ASTA), 89, 75-93, 2005 (with O. Bodnar).
Surveillance of the covariance matrix of multivariate nonlinear time series, Statistics, 39, 221-246, 2005 (with P. Sliwa).
Monitoring the cross-covariances of a multivariate time series, Metrika, 61, 89-115, 2005 (with P. Sliwa).
Control charts for time series: a review, Frontiers in Statistical Quality Control, H.-J. Lenz, P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, p.210-236, 2004 (with S. Knoth).
Statistical surveillance of the parameters of a one-factor Cox-Ingersoll-Ross model, Sequential Analysis, 23, 379-412, 2004 (with D. Tzotchev).
EWMA charts for monitoring the mean and the autocovariances of stationary Gaussian processes, Sequential Analysis, 22, 257-285, 2003 (with M. Rosolowski).
Tail behaviour of a general family of control charts, Statistics & Decisions, 21, 77-90, 2003 (with Y. Okhrin).
Monitoring the mean and the variance of a stationary process, Statistica Neerlandica, 56, 77-100, 2002 (with S. Knoth).
Sequential methods for detecting changes in the variance of economic time series, Sequential Analysis, 20, 235-262, 2001 (with S. Schipper).
Control charts for GARCH processes, Nonlinear Analysis, 47, 2049-2060, 2001 (with S. Schipper).
Simultaneous Shewhart-type charts for the mean and the variance of a time series, Frontiers in Statistical Quality Control, H.-J. Lenz, P.-Th. Wilrich (Eds.), Physica-Verlag, Heidelberg, 61-79, 2001 (with S. Knoth and A. Schöne).
On distributional properties of GARCH processes, Journal of Time Series Analysis, 22, 339-352, 2001 (with M. Pawlak).
Sequential control of non-stationary processes by kernel control charts, Allgemeines Statistisches Archiv, 84, 315-336, 2000 (with A. Steland).
On the joint distribution of a quadratic and a linear form in normal variables, Journal of Multivariate Analysis, 72, 163-182, 2000 (with A. Schöne).
The influence of parameter estimation on the ARL of Shewhart-type charts for time series, Statistical Papers, 41, 173-196, 2000 (with H. Kramer).
On the run length of the EWMA scheme - a monotonicity result for normal variables, Journal of Statistical Planning and Inference, 79, 289-297, 1999 (with A. Schöne and S. Knoth).
Monitoring changes in GARCH models, Allgemeines Statistisches Archiv, 83, 281-307, 1999 (with T. Severin).
On the robustness of Shewhart type charts, Economic Quality Control, 13, 107-115, 1998 (with H. Kramer).
Statistical process control and its application in finance, Contributions to Economics: Risk Measurement, Econometrics and Neural Networks, Physica-Verlag, Hei, 83-104, 1998 (with T. Severin).
On the average delay of control schemes, Advances in Stochastic Models for Reliability, Quality and Safety, E. von Collani, J. Franz, U. Jens, 341-360, 1998 (with H. Kramer).
The effects of autocorrelation on the R-chart and the S²-chart, Sankhyã, Ser. B, 59, p.229-255, 1997 (with R. Amin).
Zur Anwendung der Statistischen Prozesskontrolle in der Wertpapieranalyse, Solutions, 1, 71-81, 1997 (with T. Severin).
EWMA charts for multivariate time series, Sequential Analysis, 16, 131-154, 1997 (with H. Kramer).
Some properties of the EWMA control chart in the presence of data correlation, Annals of Statistics, 25, 1277-1283, 1997 (with A. Schöne).
CUSUM control schemes for Gaussian processes, Statistical Papers, 38, 191-217, 1997.
On EWMA charts for time series, Frontiers in Statistical Quality Control, H.-J. Lenz, P.-T. Wilrich (Eds.), Physica-Verlag, Heidelb, 115-137, 1997.
A comparison of several procedures for identifying outliers in contaminated ARMA processes, Computational Statistics, 11, 175-195, 1996 (with T. Flak and R. Sigmund).
Univariate und bivariate GARCH-Modelle zur Schätzung des Beta-Faktors, Finanzmarkt und Portfolio Management, 10, 45-52, 1996 (with F. Herrmann and R. Zagst).
An outlier test for linear processes - II. Large contamination, Metrika, 43, 31-42, 1996 (with T. Flak).
An outlier test for time series based on a 2-sided predictor, Journal of Time Series Analysis, 17, 497-510, 1996.
Extreme sums of strictly stationary sequences of m-dependent variables, Sankhyã, Ser. A, 57, 186-201, 1995 (with T. Flak).
On the run length of a Shewhart chart for correlated data, Statistical Papers, 36, 111-130, 1995.
Robustness of the standard deviation and other measures of dispersion, Biometrical Journal, 36, 411-427, 1994 (with W. Gaus and J. Högel).
An outlier test for linear processes, Metrika, 40, 299-318, 1993 (with T. Flak).
An optimal decision rule for identifying outliers in time series, Österreichische Zeitschrift für Statistik und Informatik, 22, 119-133, 1992.
How to locate outliers in a time series if a starting-block is present, Sankhyã, Ser. B, 53, 359-383, 1991.
Discussion of a LR test for detecting outliers in time series data, Statistics & Decisions, 8, 271-294, 1990.
Outliers in a multivariate autoregressive-moving average process, Stochastic Processes and their Applications, 117-133, 1990.
Identification of a type I outlier in an autoregressive model, Statistics, 20, 531-545, 1989.
Asymptotical behaviour of a test of discordancy for an increasing number of outliers, Statistics & Decisions, 6, 245-260, 1988.
The multiple outlier problem in time series analysis, Australian Journal of Statistics, 28, 400-413, 1986.

Academic career

Studies:

Mathematics studies at the University of Ulm from 1977-1982

PhD:

PhD (Dr rer. nat.) at the University of Ulm in 1984

Title of the dissertation: "Localisation of outliers in autoregressive processes"

Habilitation:

Habilitation at the University of Ulm in 1991,

Title of the habilitation thesis: "Ausreißertests und Ausreißeridentifikation bei Zeitreihen"

Venia legendi in the field of mathematics

Academic positions

Sept. 2015 - August 2022	Confidential lecturer at the Konrad Adenauer Foundation
2013 - 2023	Guest professor at the University of Bergamo, Italy
1999-2000, 2007-2009	Speaker of the interdisciplinary trifaculty (cultural studies, law, economics) graduate programme "Capital Markets and Finance in an Enlarged Europe" at the European University Viadrina
since 1996	Chairman of the Doctoral Committee of the Faculty of Economics at the European University Viadrina
1995-1999, 2011-2022	Chairman of the Scholarship Committee of the European University Viadrina
since Oct. 1995	Holder of the Professor for Quantitative Methods, esp. Statistics at the European University Viadrina
SoSe 1995	Representation of a Professor for Quantitative Methods, esp. Statistics at the European University Viadrina
winter term 1994/95	Representation of a Professor for Mathematical Stochastics in the Department of Mathematics at the University of Stuttgart
Winter term 1993/94	Lecturer in the Department of Economics at the University of Konstanz
winter term 1991/92	Representation of a Professor for Applied Analysis in the Department of Mathematics at the University of Trier
1984-1995	Scientific assistant in the Faculty of Mathematics and Economics at the University of Ulm

Current research areas

Statistical analysis of financial markets
Statistical process control
Statistical analysis of environmental processes

Proof of qualification

1. publications and invited lectures

Author of more than 170 publications in international journals, including several papers in journals with an A plus or A ranking
16 invited lectures or plenary lectures at various conferences since 2005

2. research stays

Research stays, e.g. in Bergamo (2001, 2007), Göteborg (2003, 2004, 2005) and Lisbon (2002, 2005, 2009, 2014, 2016, 2017), Stockholm (2015)

3. organisation of conferences

Chair of the programme committee of several international conferences (number of participants between 500-700) and workshops since 2010 as well as of several sections at specialist conferences
Applicant of three approved DFG applications for financial support of annual scientific conferences of German scientific societies (2013, 2015, 2017)

4. third-party funded projects

Project leader of nine approved DFG project proposals since 2004 with a total volume of approx. 1.6 million euros

5. promotion of young researchers

First supervisor of 28 dissertations and five habilitations
Newcomer Award of the State of Brandenburg 2008 to two of his doctoral students (endowed with 20,000 euros)
Twenty of his doctoral students and former employees are now professors at universities in Germany, England, the Netherlands, Sweden, Scotland and Ukraine as well as at a German university of applied sciences

6. memberships and editorial boards

Chairman of the German Statistical Society (DStatG) from 2012 - 2020
Deputy Chairman of the DStatG (2020 - 2024)
Deputy Chairman of the German Statistical Working Group (DAGStat) from 2016 - 2022
Member of the Executive Board of the German Statistical Society and DStatG Representative for Young Researchers (2008-2012)
Chairman of the Working Group on Stochastic Models for Reliability, Quality and Safety (2009-2013)
Chairman of the Statistics in Science and Technology Committee of the DStatG (1998-2002)
Deputy Chairman of the Statistics in Science and Technology Committee of the DStatG (1994-1998)