Abteilung Volkswirtschaftslehre

Universität Mannheim

L 7, 3-5

68131 Mannheim

**room:** 129

**phone**: +49 621 181 1938

**eMail:** cjentsch@mail.uni-mannheim.de

**office hours:** on appointment

**Academic Positions**

08/2016 - 06/2017 Professor (W3, Stand-In) for Statistics, Econ Department, U Mannheim

02/2015 - 01/2016 Professor (W3, Stand-In) for Statistics, Econ Department, U Mannheim

10/2014 - 01/2015 Professor (W2, Stand-In) for Mathematical Statistics, Math Department, U Bayreuth

since 2015 Member, Eliteprogramm for Postdocs, Baden-Württemberg Stiftung

since 2014 Associate Member, RTG 1953 "Statistical Modeling of Complex Systems and Processes"

since 2011 Member, SFB 884 "The Political Economy of Reforms"

since 02/2011 Postdoc, U Mannheim

03/2007 - 01/2011 PhD student, TU Braunschweig

**Education**

2010 PhD (Dr. rer. nat.), TU Braunschweig

2007 Diploma in Mathematics, TU Braunschweig

**Third-Party Funded Projects**

"Time Series Modeling of Dynamic Networks", Eliteprogramm für Postdoktorandinnen und Postdoktoranden, Baden-Württemberg Stiftung, 2016 - 2017.

**Editorial Work**

Associate Editor for "Statistics & Probability Letters" (since 2016)

Non-stationary and Multivariate Time Series Analysis

Bootstrap Techniques for Dependent Data

Fourier and Wavelet Methods in Statistics

Statistical Analysis of Text Data

High-dimensional Time Series Modeling for Dynamic Networks

Time Series Econometrics

Meyer, M., Jentsch, C. and Kreiss, J.-P. (2017). Baxter's Inequality and Sieve Bootstrap for Random Fields. *Bernoulli* **23**, No. 4B, 2988-3020. (Technical Report)

Bandyopadhyay, S., Jentsch, C. and Subba Rao, S. (2016). A spectral domain test for stationarity of spatio-temporal data. *Journal of Time Series Analysis, ***38***, no. 2, 326-351.*

Jentsch, C. and Kirch, C. (2016). How much information does dependence between wavelet coefficients contain? *Journal of the American Statistical Association, ***111**, *no. 515, 1330–1345. *** ** pdf, R code

Jentsch, C. and Steinmetz, J. (2016). A Connectedness Analysis of German Financial Institutions during the Financial Crisis in 2008. *Banks and Bank Systems, ***11**, No. 4.

Jentsch, C. and Leucht, A. (2016). Bootstrapping sample quantiles of discrete data. *Annals of the Institute of Statistical Mathematics ***68, **No. 3, 491-539.(Technical Report)

Brüggemann, R., Jentsch, C., and Trenkler, C. (2016). Inference in VARs with Conditional Heteroskedasticity of Unknown Form. *Journal of Econometrics* **191**, 69-85. revised pdf.* (Technical Report)*

Jentsch, C. and Politis, D. N. (2015). Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension. *The Annals of Statistics* **43**, No. 3, 1117-1140. pdf, supplement, R code

Jentsch, C., Paparoditis, E., and Politis, D. N. (2015). Block bootstrap theory for multivariate integrated and cointegrated time series. *Journal of Time Series Analysis* **36**, No. 3, 416-441. (revised pdf)

Jentsch, C. and Pauly, M. (2015). Testing equality of spectral densities using randomization techniques. *Bernoulli* **21**, No. 2, 697-739. pdf, supplement

Jentsch, C. and Subba Rao, S. (2015). A test for second order stationarity of a multivariate time series. *Journal of Econometrics* **185**, No. 1, 124-161. (revised pdf) R code

Jentsch, C. and Politis, D. N. (2013) Valid resampling of higher order statistics using linear process bootstrap and autoregressive sieve bootstrap. *Communications in Statistics - Theory and Methods* **42**, No. 7, 1277-1293. pdf

Jentsch, C., Kreiss, J.-P., Mantalos, P. and Paparoditis, E. (2012). Hybrid bootstrap aided unit root testing. *Computational Statistics* **27**, No. 4, 779-797. Link

Jentsch, C. (2012). A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes. *Journal of Time Series Analysis* **33**, No. 2, 177-192. pdf

Jentsch, C. and Mammen, E. (2012). Discussion on the paper ‘‘Bootstrap for dependent data: A review’’ by Jens-Peter Kreiss and Efstathios Paparoditis. *Journal of the Korean Statistical Society* **40**, No. 4, 391-392. Link

Jentsch, C. and Pauly, M. (2012). A note on periodogram-based distances for comparing spectral densities. *Statistics and Probability Letters* **82**, No. 1, 158-164. pdf

Jentsch, C. and Politis, D. N. (2011). The multivariate linear process bootstrap. In: Proceedings of the 17th European Young Statisticians Meeting (EYSM). pdf

Jentsch, C. und Kreiss, J.-P. (2010). The multiple hybrid Bootstrap - Resampling multivariate linear processes. *Journal of Multivariate Analysis* **101**, No. 10, 2320-2345. pdf

Jentsch, C. and C. H. Weiß (2017). Bootstrapping INAR models. Submitted.

Jentsch, C., Leucht, A., Meyer, M., and Beering, C. (2016). Empirical characteristic functions-based estimation and distance correlation for locally stationary processes. Submitted. Working Paper Series

Jentsch, C. and Lunsford, K. (2016). Proxy SVARs: Asymptotic Theory, Bootstrap Inference, and the Effects of Income Tax Changes in the United States. Under Revision. Working Paper Series

Jentsch, C., Lee, E. R. and Mammen, E. (2015). Statistical inference on party positions from texts: statistical modeling, bootstrap and adjusting for time effects. Under Revision.

Jentsch, C. (2010). The Multiple Hybrid Bootstrap and Frequency Domain Testing for Periodic Stationarity, Dissertation, TU Braunschweig. pdf

Jentsch, C. (2006). Asymptotik eines nicht-parametrischen Kernschätzers für zeitvariable autoregressive Prozesse (in German), Diploma Thesis, TU Braunschweig. pdf

4th Conference of the International Society for NonParametric Statistics (ISNPS), Salerno, Italy, June 2018

tba (invited)

CMStatistics 2017, London, UK, December 2017

"Modeling and Prediction of Dynamic Networks using binary autoregressive time series processes"

Bielefeld-Dortmund Summer School 2017, Modern Topics in Time Series Analysis, TU Dortmund, September 2017

"Bootstrapping for Time Series" (invited)

Statistische Woche 2017, Rostock, Germany, September 2017

"Statistical Inference on party positions from texts: statistical modeling, bootstrap and adjusting for time effects" (Gumbel Lecture)

31th European Meeting of Statisticians, Helsinki. Finland, July 2017

"Modeling dynamic networks using high-dimensional binary autoregressive time series processes"

CMStatistics 2016, Seville, Spain, December 2016

"Modeling dynamic networks using high-dimensional binary autoregressive time series processes"

IMS World Congress on Porbability and Statistics, Toronto, Canada, July 2016

"Empirical characteristic functions-based estimation and distance correlation for locally stationary processes"

3nd Conference of the International Society for NonParametric Statistics (ISNPS), Avignon, France, June 2016

"Bootstrapping INAR models"

Analysis of Nonstationary Multivariate Time Series Workshop 2016, Lancaster, UK, April 2016

"Empirical characteristic functions-based estimation and distance correlation for locally stationary processes"

12th German Probability and Stochastic Days, Bochum, Germany, March 2016

"Empirical characteristic functions-based estimation and distance correlation for locally stationary processes"

9th International Conference on Computational and Financial Econometrics, London, UK, December 2015

"Empirical characteristic functions-based estimation and distance correlation for locally stationary processes"

NBER - NSF Time Series Conference 2015, Vienna, Austria, September 2015

"Inference in VARs with Conditional Heteroskedasticity of Unknown Form" (poster)

Statistische Woche 2015, Hamburg, Germany, September 2015

"Empirical characteristic function-based estimation for locally stationary processes" and "Parteien im politischen Spektrum: Statistische Modellierung und Schätzung der Positionen aus Textdaten - Deutsche Bundestagswahlen 1990 – 2013"

Workshop: Recent developments in statistics for complex dependent data, Loccum, Germany, August 2015

"Bootstrapping INAR models" and "Inference in VARs with Conditional Heteroskedasticity of Unknown Form" (poster)

30th European Meeting of Statisticians, Amsterdam, Netherlands, July 2015

"Bootstrapping INAR models"

Workshop on New Developments in Econometrics and Time Series, Bochum, Germany, June 2015

"Covariance matrix estimation and linear process for multivariate time series of possibly increasing dimension"

Statistische Woche 2014, Hanover, Germany, September 2014

"Bootstrapping Sample Quantiles of Discrete Data"

11th International Vilnius Conference on Probability Theory and Mathematical Statistics, Vilnius, Lithuania, July 2014

"Bootstrapping Sample Quantiles of Discrete Data"

2nd Conference of the International Society for NonParametric Statistics (ISNPS), Cadiz, Spain, June 2014

"Bootstrapping Sample Quantiles of Discrete Data"

11th German Probability and Stochastic Days, Ulm Germany, March 2014

"Bootstrapping Sample Quantiles of Discrete Data"

Conference on Recent Developments in Bootstrap Methods for Time Series Data, Copenhagen, Denmark, September 2013

"Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension"

29th European Meeting of Statisticians, Budapest, Hungary, July 2013

"Local polynomial fits for locally stationary processes"

1st German-Polish Joint Conference on Probability Theory and Mathematical Statistics, Torun, Poland, June 2013

"Penalized Approach for Estimating Party Positions with Time-Varying Word Weights from Texts"

3rd joint Statistical Meeting DAGStat 2013, Freiburg, March 2013

"Penalized Approach for Estimating Party Positions with Time-Varying Word Weights from Texts"

SFB Conference on the Evaluation of Political Reforms, Mannheim, December 2012

"Penalized Approach for Estimating Party Positions with Time-Varying Word Weights from Texts" (Poster)

SFB Text Analysis Workshop, Mannheim, October 2012

"Penalized Approach for Estimating Party Positions with Time-Varying Word Weights from Texts"

1st Conference of the International Society for NonParametric Statistics (ISNPS), Chalkidiki, Greece, June 2012

"The multivariate linear process bootstrap for stationary time series of possibly increasing dimension"

10th German Probability and Stochastic Days, Mainz, March 2012

"Testing equality of spectral densities using randomization techniques"

17th European Young Statisticians Meeting, Lisbon, Portugal, September 2011

"The multivariate linear process bootstrap"

Statistics, Mathematics and Applications in Fréjus, France, September 2011

"The multivariate linear process bootstrap"

2nd NTH Workshop on Finance and Insurance Mathematics, Braunschweig, June 2011

"The multivariate linear process bootstrap"

Interdisciplinary workshop on Econometric and Statistical Modelling of Multivariate Time Series, Louvain-la-Neuve, Belgium, May 2011

"Testing equality of spectral densities using randomization techniques" (Poster)

Workshop zur Theorie und Anwendung lernender Algorithmen fur Ingenieure und Naturwissenschaftler, Braunschweig, June 2010

"(Hybride) Bootstrapverfahren fur Zeitreihendaten - Wie konstruiert man gute Konfidenzintervalle?"

Conference on Resampling and High Dimensional Data, College Station, USA, March 2010

"The multiple Hybrid Bootstrap - Resampling multivariate linear processes"

NTH Workshop on Finance and Insurance Mathematics, Braunschweig, March 2010

"The multiple Hybrid Bootstrap - Resampling multivariate linear processes"

9th German Open Conference on Probability and Statistics 2010, Leipzig, March 2010

"The multiple Hybrid Bootstrap - Resampling multivariate linear processes"

NBER - NSF Time Series Conference 2009, Davis, USA, September 2009

"The multiple Hybrid Bootstrap - Resampling multivariate linear processes" (Poster)

Pfingsttagung 2009 der Deutschen Statistischen Gesellschaft, Merseburg, June 2009

"The multiple Hybrid Bootstrap - Resampling multivariate linear processes"

International Workshop on Recent Advances in Time Series Analysis, Protaras, Cyprus, June 2008

"A modfied autoregressive aided periodogram bootstrap method"

Workshop on Bootstrap and Time Series, Kaiserslautern, June 2008

"A modified autoregressive aided periodogram bootstrap method"

London School of Economics, January 2018

tba

Rhein-Main-Kolloquium Stochastik, June 2017

"Statistical inference on party positions from texts: statistical modeling, bootstrap and adjusting for time effects"

University of Marburg, January 2017

"Empirical characteristic functions-based estimation and distance correlation for locally stationary processes"

University of Bonn, June 2016

"Empirical characteristic functions-based estimation and distance correlation for locally stationary processes"

University of Magdeburg, May 2016

"Empirical characteristic functions-based estimation and distance correlation for locally stationary processes"

University of Vienna, Vienna, Austria, April 2016

"Asymptotic Theory and Bootstrap Inference for weak VARs and weak Proxy SVARs"

Lund University, Lund, Sweden, April 2016

"Asymptotic Theory and Bootstrap Inference for weak VARs and weak Proxy SVARs"

Texas A&M University, College Station, USA, November 2015

"Empirical characteristic functions-based estimation and distance correlation for locally stationary processes"

Helmut-Schmidt University of Hamburg, Mai 2015

"Parteien im politischen Spektrum: Statistische Modellierung und Schätzung der Positionen aus Textdaten - Deutsche Bundestagswahlen 1990 – 2013"

University of Bayreuth, January 2015

"Bootstrapping INAR models"

Technical University of Munich, May 2013

"Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension"

University of Hamburg, February 2012

"Testing equality of spectral densities using randomization techniques"

Technical University of Dortmund, November 2011

"Testing equality of spectral densities using randomization techniques"

University of Düsseldorf, June 2011

"Stationär oder nicht stationär? Testen auf Stationaritat in periodisch staionaren Modellen"

Karlsruhe Institute of Technology, May 2011

"Testing equality of spectral densities using randomization techniques"

Universit of Heidelberg, January 2011

"Frequency domain testing for stationarity and for periodic stationarity in multivariate linear processes"

University of Cyprus, Nicosia, Cyprus, October 2009

"The multiple Hybrid Bootstrap - Resampling multivariate linear processes"