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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Summer Camp 2018

11.07. - 13.07.2018 Buckow, Germany

 

Organization and Contact Information

Prof. Dr. Wolfgang Härdle

Raphael Reule

Dr. Petra Burdejova

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

 
Tel.: +49 - 30 - 2093 5721
Fax: +49 - 30 - 2093 5649
E-Mail:

irtg1792.wiwi@hu-berlin.de

petra.burdejova@hu-berlin.de

 

 

Venue

Strandhotel Vier Jahreszeiten

Ringstraße 5-6

15377 Buckow (Märkische Schweiz)

 

Participants

Humboldt-Universität zu Berlin

 

Wolfgang Härdle

Cathy Chen

Weining Wang

Vladimir Spokoiny

Bernd Fitzenberger

Lars Winkelmann

Stefan Lessmann

Christoph Breunig

 

Alona Zharova

Alla Petukhina

Egor Klochkov

Niels Wesselhöft

Tobias Kley

Junjie Jeremy Hu

Awdesch Melzer

Michael Althof

Daniel Jacob

Raphael Reule

Jakob de Lazzer

Marius Sterling

Ioana Ceausu

Elena Ivanova

Bruno Spilak

Johannes Haupt

 

 

London School of Economics

 

Filippo Pellegrino

Alice Pignatelli Di Cerchiara

 

 

University of Chicago           

 

Stéphane Bonhomme

 

 

University of Sydney               

 

Minh-Ngoc Tran

 

Warsaw University of Technology

 

Anna Patrycja Zalewska

 

 

 

 

Schedule

 

Day

Time

Speaker

Title

Wednesday (11.07.2018)

11:00-14:00

Arrival, Registration & Lunch

1st  Session, Chair: Raphael Reule

14:00-14:05

Wolfgang Härdle

Opening

14:05-14:20

Newcomer Introduction

Ioana Ceausu, Bruno Spilak

14:20-14:40

Anna Zalewska

CoVaR - do's and dont's of stress-testing

14:40-15:10

Christoph Breunig

Varying Random Coefficient Models

15:10-15:40

Discussion / Coffee Break

2nd  Session: Short-course

15:40-17:10

Stéphane Bonhomme: Short-course Part I

Quantile Methods for Static and Dynamic models

17:10-17:20 Coffee Break
17:20-18:40

Stéphane Bonhomme: Short-course Part II

Quantile Methods for Static and Dynamic models

19:00

Dinner

 

Thursday
(12.07.2018)

1st  Session, Chair: Junjie Hu

09:00-09:15

Newcomer Introduction

Daniel Jacob, Elena Ivanova, Marius Sterling, Junjie Hu

09:20-09:50

Johannes Haupt

Product Embeddings in Product Choice Modeling

09:50-10:10

Awdesch Melzer

Pricing Green Financial Productsmodel

10:10-10.40

Weining Wang

LASSO-Driven Inference in Time and Space

10:40-11:00 Junjie Hu, Marius Sterling Quantlet Clustering

11:10-11:20

Coffee Break

2nd  Session, Chair: Awdesch Melzer

11:20-11:40

Tobias Kley

Sequential detection of structural changes in irregularly observed data

11:40-12:00

Daniel Jacob

Causal Inference and Machine Learning

12:00-12:20

Jakob de Lazzer

Selection Effects in the Analysis of Wage Inequality in Germany

12:30-15:40

Lunch

Pritzhagener Mühle, Lindenstraße 74, 15377 Oberbarnim

3rd  Session: Short-course

16:00-17:30

Minh-Ngoc Tran: Short-course Part I

Bayesian Computation for Big Models Big Data

17:30-17:40 Coffee Break
17:40-18:40

Minh-Ngoc Tran: Short-course Part II

Bayesian Computation for Big Models Big Data

19:30

Dinner

 

Friday
(13.07.2018)

1st  Session, Chair: Alla Petukhina

09:00-09:05

Alla Petukhina,

Raphael Reule

General Information

Clearing of rooms, Taxi Payment

09:05:09:10 Michael Althof  Self Introduction

09:10-09:30

Niels Wesselhöft

Kelly in high dimensions

09:30-09:50

Filippo Pellegrino

A Model of the Fed’s View on Inflation

09:50-10:10

Alona Zharova

Is scientific performance a function of funds?

10:10-10:20 Clearing of rooms

10:20-10:40

Alice Pignatelli

American Multi-Asset Option Pricing under Levy Copulae and Ballotta-Bonfigioli

10:40-11:00

Lars Winkelmann

Testing the rank of cojumps in high-frequency data with market microstructure noise

11:00-11:20 Egor Klochkov LASSO in TENAR

11:20-11:30

Coffee Break

2nd  Session, Chair: Niels Wesselhöft

11:30-11:50

Michael Althof

BEI Rates in practice

11:50-12:10 Elena Ivanova Dynamic Quantile Models of Rational Behavior

12:10-12:30

Ioana Ceausu

Statistics of Startups

13:00-14:00

Departure

Lunch box provided