Forschungsinteressen:

• Multivariate Statistik
• Random Matrix Theory
• Kovarianzmatrix-Tests
• Portfolio Optimierung

Publikationen:

• Frahm, G., Glombek, K. (2012): Semicircle law of Tyler's M-estimator for scatter, Statistics & Probability Letters 82(5), S.959-964.
• Glombek, K. (2012): High-Dimensionality in Statistics and Portfolio Optimization, Eul Verlag, Lohmar (zugleich Dissertation, Universität zu Köln, 2012).

Arbeitspapiere:

• Glombek, K. (2013): A Jarque-Bera test for sphericity of a large-dimensional covariance matrix

Konferenzbeiträge:

• 8th World Congress in Probability and Statistics, Istanbul (07/2012)
• 4th International Conference of the ERCIM Working Group on Computing & Statistics, London (12/2011)
• 3rd International Conference of the ERCIM Working Group on Computing & Statistics, London (12/2010)

Lehre:

• Erstellung Vorlesungsskript und Übung zu Quantitative Methods in Riskmanagement (WS 2010/11, WS 2011/12, WS 2012/13)
• Hauptseminar Statistik (SS 2012)
• Übung zu Statistik B (SS 2012, WS 2012/13)
• Computerübung zu Finanzmarktstatistik (SS 2012)