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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Hirschfeld Lecture Series


Hermann Otto Hirschfeld Lecture Series 2017






       Returns and Volatilities in High Dimension: A General Factor Model Approach


Marc Hallin

Professor Emeritus of Statistics

Université libre de Bruxelles Mathematics Department
European Center for Advanced Research in Economics and Statistics

        20 - 21 November 2017


School of Business and Economics,

Humboldt-Universität zu Berlin

Spandauer Str. 1, 10178 Berlin Room 220


In memory of Hermann Otto Hirschfeld

The Lecture Series is named after the remarkable German-American statistician Hermann Otto Hartley (known as HOH). Born H.O. Hirschfeld, he completed his PhD in mathematics at Humboldt-Universität in 1934. Shortly thereafter, HOH, who was of Jewish descent, emigrated to England where he also changed his name a few years later. He worked at Cambridge, Shofield, and University College, London until 1953 when he again emigrated by taking a position in the United States at Iowa State College. In 1963 he founded Texas A&M University's Institute of Statistics and was the driving force behind its expansion during the next two decades. After his retirement from Texas A&M in 1977, he continued to work until his death in 1980, the last two years as a full professor at Duke University. Throughout his career, HOH advocated for and helped establish statistics as an important and autonomous scientific discipline.

His major research was in the area of survey sampling, but he also contributed to mathematical programming and optimization, as well as working on the estimation of variance components and in the field of biometrics. HOH served as the 74th president of the ASA (American Statistical Association).

In this spirit, the Hermann Otto Hirschfeld Lectures at Humboldt-Universität are given since 2003 in memory of an excellent scientist and an advocate of quantitative methods.

More about HOH

About Marc Hallin

Marc Hallin is Professor Emeritus of Statistics at the Mathematics Department of the Université libre de Bruxelles and the European Center for Advanced Research in Economics and Statistics.

Also, Marc Hallin is a co-Editor-in-Chief of Statistical Inference for Stochastic Processes and an Associate Editor of the Journal of the American Statistical Association, the Journal of Econometrics, the Annals of Computational and Financial Econometrics, the Journal of the Japan Statistical Society, and the Annales de l'Institut de Statistique de l'Université de Paris. A Fellow of the Institute of Mathematical Statistics (I.M.S.), of the American Statistical Association (A.S.A.), and of the International Statistical Institute (I.S.I.), he is member of the Classe des Sciences of the Royal Academy of Belgium.

His research interests cover asymptotic statistics, semiparametric and nonparametric inference, and time series.

More about Marc Hallin


20 November, 18:00-20:00 
The general dynamic factor method
Identifying the number of factors

21 November, 18:00-20:00 
Dynamic factors in the presence of blocks
Dynamic factors and volatilities: extracting market volatility shocks


Please register in advance via e-mail to
by November 18th

Participation in the event is free

Organisation and Contact Information

Prof. Dr. Wolfgang Härdle
Prof. Dr. Vladimir Spokoiny

International Research Training Group (IRTG) 1792
Humboldt-Universität zu Berlin
School of Business and Economics
Spandauer Str. 1
D-10178 Berlin

Tel.: +49 (0)30 2093-5623 and +49 (0)30 2093-5630
Fax: +49 (0)30 2093-5649

E-mail: adamyanl@hu-berlin.de and stat@wiwi.hu-berlin.de