Rumble in the Jungle 2018
03.10. - 05.10.2018
Buckow, Germany
Organization and Contact Information
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Wolfgang Härdle Humboldt-Universität zu Berlin |
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| Tel.: | +49 - 30 - 2093 99469 | |
| E-Mail: |
irtg1792.wiwi@hu-berlin.de |
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IRTG Short Course
Prof. Natalie Packham: Extreme Value Theory - with applications in stress testing
Venue
15377 Buckow (Märkische Schweiz)
Participants
HUBWolfgang 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
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Day |
Time |
Speaker |
Title |
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Wednesday |
12:30 |
Arrival |
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1st Session, Chair: Raphael Reule |
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| 13:30-14:00 |
Welcome Prof. Wolfgang K. Härdle |
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| 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 |
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15:20-16:40 |
Short course - Natalie Packham Extreme Value Theory - with applications in stress testing |
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16:40-17:00 |
Coffee Break |
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2nd Session, Chair: Lenka Zbonakova |
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17:00-17:30 |
Weining Wang |
Using GEE to estimate nonlinear models with spatial data | |
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Dinner |
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| 18:00-19:15 | Sauna | ||
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19:15-22:00 |
BBQ Terrace Dinner |
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Thursday (04.10.2018) |
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1st Session, Chair: Ioana Ceausu |
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9:30- |
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 | |
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11:00-11:10 |
Coffee Break |
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2nd Session, Chair: Ya Qian |
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11:10-11:30 |
Xinwen Ni |
LDA Applications |
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11:30-11:50 |
Junjie HU |
Realized Volatility Forecasting of Cryptocurrencies |
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Excursion / Lunch |
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12:00-15:00 |
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| 15:00-16:00 |
IRTG PI Meeting at Pritzhagener Mühle (Perspectives, Events, Finances, ...) |
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3rd Session, Chair: Xinwen Ni |
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| 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 | |
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18:30-22:00 |
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Friday |
1st Session, Chair: Georg Keilbar |
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09:30-09:50 |
Michael Althof |
Deriving sentiment from text data |
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09:50-10:10 |
Daniel Jacob |
Causal Inference and Machine Learning |
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10:10-10:30 |
Stefan Lessmann |
Can Deep Learning Predict Risky Retail Investors? |
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10:30-10:50 |
Coffee Break and Checkout |
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2nd Session, Chair: Daniel Jacob |
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10:50-11:10 |
Marius Sterling |
Quantlets and how to input projects |
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11:10-11:30 |
Georg Keilbar |
Neural Network Quantile Regression and CoVaR |
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| 11:30-11:50 | Wendy Wang | Regulation risk for Cryptocurrencies | |
| 11:50-12:00 |
Voting on "Best doctoral researcher RIJ talk" |
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| 12:00 |
Awards ceremony (Special IRTG 1792 related prize!) |
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12:30 |
Departure |
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