Prof. Dr. Rolf Tschernig

Prof. Dr. Rolf Tschernig has held the Chair of Econometrics at the University of Regensburg since 2004. His research focuses on time series econometrics, currently in particular on the development of methods for analysing high-dimensional, non-stationary time series (factor models with fractional integration and cointegration).

He has been vice dean of the faculty since 2023 and a member of the library committee of the University of Regensburg since 2018. In addition to his work at the University of Regensburg, he has been a member of the User Advisory Board at the ifo Institute Munich since 2006, its chairman since 2008 and a CESifo Fellow since 2018. From 2017 to 2025, he was also a member of the Scientific Advisory Board of the ifo Institute.

Prof Tschernig received his doctorate from the Ludwig Maximilian University of Munich in 1992, was a postdoc at the University of Maastricht in the Netherlands in 1993 and habilitated at the Humboldt University of Berlin in 1999. From 2001 to 2007 (2004 - 2007 Part-time) he was Associate Professor at Maastricht University.

Publications

Recent Working Papers

Tobias Hartl, Rolf Tschernig, Enzo Weber: (2020) Fractional trends in unobserved components models (external link, opens in a new window), arXiv.org, Working paper

Tobias Hartl, Rolf Tschernig, Enzo Weber: (2020) Fractional trends and cycles in macroeconomic time series (external link, opens in a new window), arXiv.org, Working paper

Papers in Refereed Journals

Rolf Tschernig:
Racial Disparities, Judge Characteristics, and Standards of Review in Sentencing: Comment (external link, opens in a new window)
Journal of Institutional and Theoretical Economics (JITE) 1/171 (2015) 53-57.
[Published Online First February 12]

Rolf Tschernig, Enzo Weber, Roland Weigand:
Long- versus medium-run identification in fractionally integrated VAR models (external link, opens in a new window)
Economics Letters 2/122 (2014) 299-302.

Rolf Tschernig, Enzo Weber, Roland Weigand:
Long-run Identification in a Fractionally Integrated System (external link, opens in a new window)
Journal of Business and Economic Statistics 4/31 (2013) 438-450.

Stefan Listl, Michael Behr, Peter Eichhammer, Rolf Tschernig:
The psychological impact of prosthodontic treatment-a discrete response modelling approach (external link, opens in a new window)
Clinical Oral Investigations (2011).
[Online First?, 21 July 2011]

Harry Haupt, Joachim Schnurbus, Rolf Tschernig:
On Nonparametric Estimation of a Hedonic Price Function (external link, opens in a new window)
Journal of Applied Econometrics 5/25 (2010) 894-901.

Peter Schotman, Rolf Tschernig, Jan Budek:
Long Memory and the Term Structure of Risk (external link, opens in a new window)
Journal of Financial Econometrics 4/6 (2008) 459-495.

Lijian Yang, Rolf Tschernig:
Non- and semiparametric identification of seasonal nonlinear autoregression models (external link, opens in a new window)
Econometric Theory 18 (2002) 1408-1448.

Wolfgang H?rdle, Torsten Kleinow, Rolf Tschernig:
Web quantlets for time series analysis (external link, opens in a new window)
Annals of the Institute of Statistical Mathematics 53 (2001) 179-188.

Gianluigi Rech, Timo Ter?svirta, Rolf Tschernig:
A simple variable selection technique for nonlinear models (external link, opens in a new window)
Communications in Statistics Theory and Methods 30 (2001) 1227-1241.

Dominique Guegan, Rolf Tschernig:
Prediction of chaotic time series in the presence of measurement error: the importance of initial conditions (external link, opens in a new window)
Statistics and Computing 11 (2001) 277-284.

Rolf Tschernig, Lijian Yang:
Nonparametric lag selection for time series (external link, opens in a new window)
Journal Of Time Series Analysis 21 (2000) 457-487.

Rolf Tschernig, Y. Lang:
Multivariate bandwidth selection for local linear regression (external link, opens in a new window)
Journal of the Royal Statistical Society, Series B (Statistical Methodology) 61 (1999) 793-815.

Stefan Profit, Rolf Tschernig:
Germany's Labour Market Problems: What to do and what not to do - A Survey among Experts (external link, opens in a new window)
IFO Studies 44 (1998) 307-325.
[On this survey there was an article in the Süddeutsche Zeitung on December 3, 1998 (only German)]

Gerard A. Pfann, Peter C. Schotman, Rolf Tschernig:
Nonlinear interest rate dynamics and implications for the term structure (external link, opens in a new window)
Journal of Econometrics 74 (1996) 149-176.

Rolf Tschernig:
Long memory in foreign exchange rates revisited (external link, opens in a new window)
Journal of International Financial Markets, Institutions, and Money 5 (1995) 53-78.

Dominique Demougin, Rolf Tschernig:
Costless revelation of private information in the case of a duopoly (external link, opens in a new window)
Journal of Institutional and Theoretical Economics 149 (1993) 443-63.

Rolf Tschernig, Klaus F. Zimmermann:
Illusive persistence in German unemployment (external link, opens in a new window)
Recherches ?conomique de Louvain 58 (1992) 441-453.

Papers in Journals

Rolf Tschernig:
Risk management for pension funds. Time structure of risk and a perfect memory (external link, opens in a new window)
A look at science 20 (2008) 57-63.

Rolf Tschernig, Lijang Yang:
Multiple index identification of nonlinear vector autoregression (external link, opens in a new window)
Bulletin of the international Statistical Institute 54th Session: Proceedings (2003) 326-329.

Books

Rolf Tschernig:
Exchange rates, uncertainty and long memory (external link, opens in a new window)
Physica-Verlag, Heidelberg 1994.

Papers in Books

Harry Haupt, Joachim Schnurbus, Rolf Tschernig:
Statistical validation of functional form in multiple regression using R (external link, opens in a new window)
Advances in Social Science Research Using R, Springer, New York 2009, 157-168.

Rolf Tschernig:
Nonparametric Time Series Modelling (external link, opens in a new window)
Applied Time Series Econometrics, Cambridge University Press, Cambridge 2004.

Wolfgang H?rdle, Rolf Tschernig:
Flexible Time Series Analysis (external link, opens in a new window)
XploRe-Application Guide, Springer-Verlag, Heidelberg 2000, 397-458.

Rolf Tschernig:
Coment on "Cointegration Analysis" by H. Bierens (external link, opens in a new window)
System Dynamics in Economic and Financial Models, Wiley, 1998, 244-245.

Helmut Lütkepohl, Rolf Tschernig:
Nonparametric methods for analysing and forecasting financial market data (external link, opens in a new window)
Financial market analysis and forecasting with innovative quantitative methods, Physica-Verlag, Heidelberg 1996, 145-171.

Heinz-Dieter Wenzel, Kora Kristof, Rolf Tschernig:
A consistent analysis of government financing in a continuous time IS-LM Model (external link, opens in a new window)
Recent Approaches to Economic Dynamics, Peter Lang, Frankfurt am Main 1988.

Older Working Papers

Rolf Tschernig, Enzo Weber, Roland Weigand:
Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation (external link, opens in a new window)
Working Paper, Regensburg, 2013.

Peter Schotman, Rolf Tschernig, Jan Budek:
Long Memory and the Term Structure of Risk (external link, opens in a new window)
Working Paper, 2008