Haindorf Seminar 2010
February 11 - 14, 2010
Hejnice, Czech Republic
Organization and Contact Information
| Prof. Dr. Wolfgang Härdle Priv.-Doz. Dr. Krätschmer, Volker Axel Groß-Klußmann, M. Sc. Humboldt-Universitat zu Berlin CASE - Center for Applied Statistics and Economics Wirtschaftswissenschaftliche Fakultat Spandauer Str. 1 10178 Berlin |
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| Tel.: |
+49 - 30 - 2093 1469 |
| Fax: | +49 - 30 - 2093 5649 |
| E-Mail: | kraetsch@wias-berlin.de |
| axel.gross-klussmann@wiwi.hu-berlin.de | |
Location and Trip Tips
Klasterni1
63 62 HEJNICE
Czech Republic
More information about the location
More information about the last Haindorf Seminar in February 2009
Participants
StatisticsWolfgang Härdle Barbara Choros E. Akdeniz Duran Lasse Groth Mengmeng Guo Linda Hoffmann Andrija Mihoci Maria Osipenko Elena Silyakova Stephan Stahlschmidt Weining Wang |
WIASDenis Belomestny Volker Krätschmer Vladimir Spokoiny Vladimir Panov |
EconometricsBernd Droge Nikolaus Hautsch Axel Groß-Klussmann Ruihong Huang Lada Kyj Peter Malec Tomas Polak Julia Schaumburg Franziska Schulze Fuyu Yang |
ExternalMarkus Reiß Markus Bibinger Mstislav Elagin Jacob Söhl |
Schedule
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Day |
Time |
Speaker |
Title |
Download |
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Thursday |
14:00-15:30 |
M. Reiss |
Why is Volatility Estimation Under Microstructure Noise So Difficult? |
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15:30-16:00 |
Coffee Break |
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1st Session |
Chair: J. Schaumburg |
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16:00-16:30 |
A. Mihoci |
Locally Adaptive Multiplicative Error Models |
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16:30-17:00 |
M. Elagin |
Market Monitoring Using Structure Adaptive Methods |
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17:00-17:30 |
B. Choros |
Understanding the Risk of CDOs |
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17:30-18:00 |
Coffee Break |
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2nd Session |
Chair: V. Panov |
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18:00-18:30 |
L. Groth & M. Guo |
Adaptive Interest Rate Modeling |
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18:30-19:00 |
W. Wang |
Localizing Temperature Residuals |
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19:00-20:00 |
Dinner |
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Friday |
09:00-15:30 |
Sport Activities |
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1st Session |
Chair: M. Osipenko |
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15:30-16:00 |
A. Groß-Klußmann |
Density Forecasts of The Bid Asks Spreads |
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16:00-16:30 |
F. Yang |
Bayesian Estimation and Forecasting of A Stochastic Volatility Model |
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16:30-17:00 |
Coffee Break |
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2nd Session |
Chair: A. Groß-Klußmann |
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17:00-17:30 |
J. Söhl |
Asymptotic Normality in Exponential Levy Models |
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17:30-18:00 |
M. Osipenko |
Risk Premium on Temperature and Functional PCA for Temperature Variation |
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18:00-18:30 |
M. Bibinger |
Estimating the Quadratic Covariation of Asynchronously Observed Ito Processes Under Microstructure Noise |
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19:00-20:00 |
Dinner |
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Saturday (13.02.2010) |
1st Session |
Chair: M. Guo |
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09:00-09:30 |
F. Schulze |
Spatial Dependencies in German Labor Markets |
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09:30-10:00 |
S. Stahlschmidt |
Graphical Models and Markov Plankets |
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10:00-10:30 |
J. Schaumburg |
Conditional Value at Risk |
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10:30-11:00 |
Coffee Break |
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2nd Session |
Chair: A. Mihoci |
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11:00-11:30 |
E. A. Duran |
Confidence Bands for Partial Linear Expectile Regression |
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11:30-12:00 |
L. Kyj |
Forcasting High Dimensional Covariance Matrices |
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12:00-13:30 |
Lunch |
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3rd Session |
Chair: T. Polak |
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13:30-14:00 |
E. Silyakova |
Genetics and/of Basket Options |
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14:00-14:30 |
R. Huang |
Gaussian Process Modeling with Financial Market Data |
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14:30-15:00 |
V. Panov |
Non-Gaussian Component Classification with Applications to American Option Pricing |
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15:00-15:30 |
Coffee Break |
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4th Session |
Chair: F. Schulze |
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15:30-16:00 |
L. Hoffmann |
Dynamic SVM and Credit Risk |
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16:30:17:00 |
P. Malec |
A Zero-Augmented MEM |
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17:00-17:30 |
T. Polak |
Combination of Forecasts |
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18:00-19:30 |
Dinner |
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19:30-21:00 |
Scheduling of Summer Term 2010 |
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Sunday |
10:00-11:00 |
Departure |
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Download the schedule
