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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Haindorf Seminar 2019

 

22.01 - 26.01.2019 

Hejnice, Czech Republic

 

Organization and Contact Information

Wolfgang Härdle

Junjie HU
Michael Althof

Humboldt University of Berlin
Faculty of Economics
Ladislaus von Bortkiewicz Chair of Statistics
Spandauer Str. 1
10178 Berlin, Germany
 

doc. PhDr. Jozef Baruník, Ph.D.
Associate Professor
Department of Macroeconomics and Econometrics
Institute of Economic Studies, Faculty of Social Sciences
Charles University
Opletalova 26
110 00 Prague, Czech Republic

 
Phone: +49 - 30 - 2093 5708
E-mail:

irtg1792.wiwi@hu-berlin.de

barunik@fsv.cuni.cz

junjie.hu@hu-berlin.de

althofmi@hu-berlin.de

 

 

IRTG Short Course

Christian Hafner

Université catholique de Louvain

website

 

Phone: +32 10 47 43 06
E-mail: christian.hafner@uclouvain.be
 

 

title: Alternative assets and cryptocurrencies
  poster

Holger Dette

Ruhr University Bochum, Germany

website

 
Phone: +49 (0) 234/32 28284
E-mail:  holger.dette@ruhr-uni-bochum.de
 

 

title: Testing relevant hypothesis for functional data
  poster

 

IRTG Guest Talk

Yannis  Yatracos

Cyprus University of Technology

website

 

E-mail:

yannis.yatracos@cut.ac.cy

 

 

title: Distributional Divergence, Statistical Experiments and Consequences in Option Pricing
   

Sasa Zikovic

University of Rijeka

website

 

Phone: +385 51 355 125
E-mail:

sasa.zikovic@efri.hr

 

 

title: Successfulness of Support Vector Machines in Gas Markets
   

 

Location and Trip Tips

 

Venue: International Center for Spiritual Rehabilitation
Address: Klasterni 1, 463 62 HEJNICE, Czech Republic
More information about the location

Skiing
Ski Center Bedřichov

Excursion in a nearby factory
CiS electronic GmbH
 

 

 

Participants

HUB

 

Wolfgang Härdle

Cathy Chen

 

 

Alla Petukhina

Michael Althof

Ioana Ceausu

Marvin Gauer

Junjie Hu

Raphael Reule

Elena Ivanova

Daniel Jacob

Georg Keilbar

Keyan Liu

Bruno Spilak

Bingling Wang

Niels Wesselhöfft

Elizaveta Zinovyeva

Charles University Prague

 

Jozef Baruník

Lukáš Vácha

Zdenek Hlávka

Miloš Kopa

František Čech

Luboš Hanus

Martin Hronec

Lucie Kraicova

Josef Kurka

Matěj Nevrla

 

 

Université catholique de Louvain

 

Christian Hafner

 

 

Cyprus University of Technology

 

Yannis Yatracos

 

University of Rijeka

 

Sasa Zikovic

 

Ruhr-University Bochum

 

Holger Dette

 

Friedrich-Alexander University Erlangen-Nuremberg

 

Matthias Schnaubelt

 

ZHAW Zurich University of Applied Sciences

 

Jörg Osterrieder

 

Xiamen University

 

Chen Zhang

Xinjue Li

 

 

Schedule

 

 

Note for Time Slot Arrangement:

 

The time slot for every regular-talk is 30-minute = a 25-minute presentation + a 5-minute discussion.

 

The time slot for every short-talk is 15-minute = a 10-minute presentation + a 5-minute discussion.

 

Each discussion will be led by an audience chosen randomly. (Everyone has a chance to give his/her opinion)

 

 

 

Day

Time

Speaker

title

Tuesday
(22.01.2019)

12:30

Arrival

1st   session

14: 30-16: 00

Short course - Christian Hafner (Pt.1)

16: 00-16: 30

Coffee break

2nd   session

16: 30-18: 00

Short course - Christian Hafner (Pt. 2)

18: 30-20: 00

dinner

 

Wednesday (23.01.2019)

1st   session: Ioana Ceausu

09: 00-09: 30

Lukáš Vácha

Time-frequency response analysis of monetary policy transmission

09: 30-10: 00

Yannis Yatracos

Distributional Divergence, Statistical Experiments and Consequences in Option Pricing

10: 00-10: 30

Daniel Jacob

Heterogeneous Treatment Effect Estimation using Machine Learning

10: 30-11: 00

Coffee break

2nd   Session, Chair: František Čech

11: 00-11: 30

Sasa Zikovic

Successfulness of Support Vector Machines in Gas Markets

11: 30-12: 00

Jozef Baruník

Tales of Sentiment Driven Tails

12: 00-12: 30

Elena Ivanova

Details of sentiment tails

12: 30-14: 30

Discussion / Lunch Break

3rd   session

14: 30-16: 00

Short course - Prof. Holger Dette (Pt.1)

16: 00-16: 30

Coffee break

4th   session

16: 30-18: 00

Short course - Prof. Holger Dette (Pt.2)

18: 30-20: 00

dinner

 

Thursday
(24.01.2019)

08: 00-14: 30

Optional activities

1st   Session, Chair: Luboš Hanus

14: 30-15: 00

Georg Keilbar

Quantile Neural Network Test

15: 00-15: 30

Chen Zhang

Stock Market Risk and Yield Curve

15: 30-16: 00

František Čech

Dynamic quantile model for bond pricing

16: 00-16: 30

Coffee break

2nd   Session, Chair:  Georg Keilbar

16: 30-17: 00

Matěj Nevrla

Tail risks, asset prices, and investment horizons

17: 00-17: 30

Martin Hronec

Portfolio diversification in the spectral domain

17: 30-18: 00

Josef Kurka

Horizon-specific risks, higher moments, and asset prices

18: 30-20: 00

dinner

 

Friday (25.01.2019) 

 

 

1st   Session, Chair: Martin Hronec

09: 00-09: 30

Alla Petukhina

Portfolio optimization with CoVaR in cryptocurrency market

09: 30-10: 00

Luboš Hanus

Dynamic density forecasting using machine learning

10: 00-10: 30

Bruno Spilak

Deep Reinforcement Learning

10: 30-11: 00

Coffee break

2nd   Session, Chair: Bruno Spilak

11: 00-11: 30

R.Reule, E.Zinovyeva

Classifying & Clustering of Smart Contracts

11: 30-12: 00

Niels Wesselhöfft

Utilizing high-dimensional high-frequency data for lower sampling frequencies

12: 00-14: 30

Discussion / Lunch Break

3rd   Session, Chair: Josef Kurka

15: 00-15: 30

Bingling Wang

An Empirical Application of Interactive Fixed Effect Model on Asset Pricing

15: 30-15: 45

M. Althof, X. Li

Unified Yield Curve Taylor Rule

15: 45-16: 00

Marvin Gauer

Estimation of Email Processing Time in the Financial Services Industry

16: 00-16: 30

Coffee break

4th   session, Chair: Niels Wesselhöfft

16: 30-16: 45

Keyan Liu

ICA

16: 45-17: 00

Ioana Ceausu

Scagnostics

17: 00-17: 15

Matthias Schnaubelt

Separating the signal from the noise – financial machine learning for Twitter

18: 30-20: 00

dinner

 

Saturday
(26.01.2019)

09:00

departure