Direkt zum InhaltDirekt zur SucheDirekt zur Navigation
▼ Zielgruppen ▼

Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Rumble in the Jungle 2018

 

03.10. - 05.10.2018 

Buckow, Germany

 

Organization and Contact Information

Wolfgang Härdle
Raphael Reule

Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Ladislaus von Bortkiewicz Chair of Statistics
Spandauer Str. 1
10178 Berlin, Germany
 

Tel.: +49 - 30 - 2093 99469
E-Mail:

irtg1792.wiwi@hu-berlin.de

 

 

IRTG Short Course

Prof. Natalie Packham: Extreme Value Theory - with applications in stress testing

 

Venue

Strandhotel Vier Jahreszeiten

Ringstraße 5-6

15377 Buckow (Märkische Schweiz)

 

 

Participants

 

HUB                                                      

Wolfgang Härdle   

Cathy CHEN

Lars Winkelmann

Weining WANG

Stefan Lessmann

Nadja Klein

Markus Reiss

Bernd Fitzenberger

                   

Bruno Spilak

Michael Althof

Ioana Ceasusu

Elena Invanova

Ya QIAN

Xinwen NI

Junjie HU

Keyan LIU

Lenka Zbonakova

Daniel Jacob

Wendy WANG

Georg Keilbar

Egor Klochkov

Elizaveta Zinovyeva

Marvin Gauer

Marius Sterling

Raphael Reule

Berlin School of Economics and Law

 

Natalie Packham

 

 

National Chengchi University

 

Weiyu KUO

 

 

Aarhus University

 

Timo Teräsvirta

 

 

Deutsche Bank

 

Sergey Nasekin

 

 

Bucharest University of Economic Studies (Academia de Studii Economice din Bucuresti, ASE)

 

Daniel Trajan Pele

 

 

Schedule
 

Day

Time

Speaker                

Title                                       

Wednesday
(03.10.2018)

12:30

Arrival

1st  Session, Chair: Raphael Reule

13:30-14:00

Welcome

Prof. Wolfgang K. Härdle

14:00-15:20

Newcomer Introduction Session

Prof. Dr. Natalie Packham, Prof. Dr. Nadja Klein, Prof. Dr. Wolfgang K. Härdle

Xinwen Ni, Ioana Ceausu, Elena Ivanova, Wandy Wang, Elizaveta Zinovyeva, Keyan Liu, Marius Sterling, Georg Keilbar, Daniel Jacob, Marvin Gauer 

15:20-16:40

Short course - Natalie Packham

Extreme Value Theory - with applications in stress testing

Poster

16:40-17:00

Coffee Break

2nd  Session, Chair: Lenka Zbonakova

17:00-17:30

Weining Wang

Using GEE to estimate nonlinear models with spatial data

Dinner

18:00-19:15 Sauna

19:15-22:00

BBQ Terrace Dinner
Terasse, Seezimmer, Herrenzimmer

 

Thursday (04.10.2018)

1st  Session, Chair: Ioana Ceausu

9:30-
9:50

Ya Qian Linear-in-means Social Interactions - Case of an online game
9:50-10:10 Egor Klochkov Localizing multivariate CAViaR
10:10-10:40 Nadja Klein A New Approach to Distributional Regression
10:40-11:00 Lenka Zbonakova Penalized Adaptive Forecasting with Large Information Sets and Structural Changes

11:00-11:10

Coffee Break

2nd  Session, Chair: Ya Qian

11:10-11:30

Xinwen Ni

LDA Applications

11:30-11:50

Junjie HU

Realized Volatility Forecasting of Cryptocurrencies

Excursion / Lunch

12:00-15:00

Pritzhagener Mühle, 
Lindenstraße 74, 15377 Oberbarnim

15:00-16:00

IRTG PI Meeting at Pritzhagener Mühle

(Perspectives, Events, Finances, ...)

3rd  Session, Chair: Xinwen Ni

16:00-16:20 Elena Ivanova Dynamic Quantile Preferences
16:20-16:40 Ioana Ceausu Start-up acceleration program performance
16:40-17:00 Bruno Spilak LSTM Models
17:10-17:30 Keyan Liu Topics in Stochastic Portfolio Theory
17:30-17:50 Sergey Nasekin Cryptocurrency sentiment prediction

18:30-22:00

Ristorante Castello Angelo

 

Friday
(05.10.2018)

1st  Session, Chair: Georg Keilbar

09:30-09:50

Michael Althof

Deriving sentiment from text data

09:50-10:10

Daniel Jacob

Causal Inference and Machine Learning

10:10-10:30

Stefan Lessmann

Can Deep Learning Predict Risky Retail Investors?
A Case Study in Financial Risk Behavior Forecasting

10:30-10:50

Coffee Break and Checkout

2nd  Session, Chair: Daniel Jacob

10:50-11:10

Marius Sterling

Quantlets and how to input projects

11:10-11:30

Georg Keilbar

Neural Network Quantile Regression and CoVaR

11:30-11:50 Wendy Wang Regulation risk for Cryptocurrencies
11:50-12:00

Voting on

"Best doctoral researcher RIJ talk"

12:00

Awards ceremony

(Special IRTG 1792 related prize!)

12:30

Departure
(Lunch Boxes provided)