University of Duisburg-Essen
Marcel Wollschläger graduated in theoretical physics at the University of Duisburg-Essen (Duisburg, Germany). He received his Bachelor's and Master's degree (the latter with distinction) in 2013 and 2015, respectively. In his Bachelor and Master thesis, he carried out research in the field of Econophysics. During his Master project, he was a visiting researcher at Boston University (Boston, Massachusetts, USA). In addition to his studies, he gained practical experience in the field of big data analysis and in the financial sector. Marcel Wollschläger is currently holding a PhD student position at the Chair for Energy Trading and Finance, University of Duisburg-Essen (Essen, Germany). His research focuses on algorithmic and high-frequency trading on energy markets.
This paper investigates the extent to which the nonstationarity of financial time series affects both the estimation and the modeling of empirical copulas.