Theses

Exponential COGARCH and other continuous time models with applications to high frequency data (2007)
Dissertation, Technische Universität München.

 

Untersuchung lokal stationärer Zeitreihen mittels Wavelets (2002)
Diplomarbeit, Technische Universität München.

Preprints and publications

Haug, S., Klüppelberg, C. and Straub, G. (2015)
Fractionally integrated COGARCH processes.
Submitted.

 

Haug, S., Klüppelberg, C. and Kuhn, G. (2015)
Copula structure analysis based on extreme dependence.
Statistics and its Interface 8, 93-107.

 

Haug, S., Klüppelberg, C. and Peng, L. (2011)
Statistical Models and Methods for Dependence in Insurance Data
Journal of the Korean Statistical Society 40, 125-139.


Haug, S. and Stelzer, R. (2011)
Multivariate ECOGARCH processes. (© Cambridge University Press 2010)
Econometric Theory 27, 344-371.


Czado, C. and Haug, S. (2010)
An ACD-ECOGARCH(1,1) model.
Journal of Financial Econometrics 8, 335-344.


Haug, S. and Czado, C. (2007)
An exponential continuous time GARCH process.
Journal of Applied Probability 44 (4), 960-976.


Haug, S., Klüppelberg, C., Lindner, A. and Zapp, M.(2007)
Method of moment estimation in the COGARCH(1,1) model.
The Econometrics Journal 10, 320-341.


Haug, S. and Czado, C. (2006)
A fractionally integrated ECOGARCH process.
Discussion paper 484, SFB386.


Haug, S. and Czado, C. (2006)
Mixed effect models for absolute log returns of ultra high frequency data.
Applied Stochastic Models in Business and Industry 22, 243-267.

Consulting

Vogel, C., Heister, K., Buegger, F., Tanuwidjaja, I., Haug, S., Schloter, M. and Kögel-Knabner, I. (2015)
Clay mineral composition modifies decomposition and sequestration of organic carbon and nitrogen in fine soil fractions.
Biology and Fertility of Soils 51, 427-442.

 

Bimüller, C., Mueller, C.W., von Lützow, M., Kreyling, O., Kölbl, A., Haug, S., Schloter, M. and Kögel-Knabner, I. (2014)
Decoupled carbon and nitrogen mineralization in soil particle size fractions of a forest topsoil.
Soil Biology and Biochemistry 78, 263-273.

 

Bauer, A. and Haug, S. (2014)
Verwendung von Dummy-Variablen bei der statistischen Analyse von Talsperrenmessdaten.
Wasserwirtschaft 4|2014, 28-33.

 

Bimüller, C., Dannenmann, M., Tejedor, J., von Lützow, M., Buegger, F., Meier, R., Haug, S., Schroll, R. and Kögel-Knabner, I. (2014)
Prolonged summer droughts retard soil N processing and stabilization in organo-mineral fractions. Soil Biology and Biochemistry 68, 241-251.

 

Daun, T.J., Braun, D.G., Frank, C., Haug, S. and Lienkamp, M. (2013)
Evaluation of Driving Behavior and the Efficacy of a Predictive Eco-Driving Assistance System for Heavy Commercial Vehicles in a Driving Simulator Experiment.
Proceedings of the 16th International IEEE Conference on Intelligent Transportation Systems, 2379-2386.

 

Gerike, R., Gehlert, T. and Haug, S. (2013)
Time Use of the Mobile and the Immobile in Time-use Surveys and Transport Surveys.
In Mobilitäten und Immobilitäten: Menschen - Ideen - Dinge - Kulturen - Kapital
(Hg. Schreiner, Blotevogel, Frank, Holz-Rau, Schuster), 121-138. Klartext, Essen.

 

Hermann, J.M., Haug, S.,  Westphalen, M., DePatta Pillar, V. and Pfadenhauer, J. (2012)
Shrubs versus 'gullivers': woody species coping with disturbance in grasslands.
Plant Ecology 213, 1757–1768.


Wiesmeier, M., Spörlein, P., Geuß, U., Hangen, E., Haug, S., Reischl, A., Schilling, B., von Lutzow, M., Kögel-Knabner, I. (2012)
Soil organic carbon stocks in southeast Germany as affected by land use, soil type and sampling depth.
Global Change Biology 18, 2233-2245.



Karg, M., Haug, S., Kühnlenz, K. and Buss, M. (2009)
A dynamic model and system-theoretic analysis of affect based on a Piecewise Linear system.
Proceedings of the 18th IEEE International Symposium on Robot and Human Interactive Communication (Ro-Man), doi: 0.1109/ROMAN.2009.5326288.



Miscellanea

Czado, C. und Haug, S. (2010)
Finite sample properties of the QMLE in the ACD-ECOGARCH(1,1) model.
Supplement to "An ACD-ECOGARCH(1,1) model".

Software

R package CopStruc for copula structure analysis of elliptical copulas: package source


Referenzen:

Haug, S., Klüppelberg, C. and Kuhn, G. (2015)
Copula structure analysis based on extreme dependence.
Statistics and its Interface 8, 93-107.

Klüppelberg, C., Kuhn, G. (2009)
Copula Structure Analysis.
Journal of the Royal Statistical Society, Series B, 71 (3), 737 - 753.