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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
 

 
Phone: +49 - 30 - 2093 5708
E-mail:

irtg1792.wiwi@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-Universität 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

 

Phone: -
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

Excursion in church and tomb
Pilgrimage place in Haindorf
 

 

 

Participants

HUB

 

Wolfgang Härdle

Cathy Chen

Weining Wang

Vladimir Spokoiny

Bernd Fitzenberger

Stefan Lessmann

Alla Petukhina

 

Michael Althof

Ioana Ceausu

Marvin Gauer

Junjie Hu

Elena Ivanova

Daniel Jacob

Georg Keilbar

Keyan LIU

Awdesch Melzer

Xinwen NI

Elizaveta Zinovyeva

Marvin Gauer

Raphael Reule

Bruno Spilak

Marius Sterling

Bingling WANG

Ren RUI

Chen ZHANG

Xinjue LI

Niels Wesselhöfft

Charles University Prague

 

Zdenek Hlávka

Jozef Baruník

František Čech

Luboš Hanus

Martin Hronec

Lucie Kraicova

Josef Kurka

Marek Lipan

Matěj Nevrla

Lukáš Vácha

 

Université catholique de Louvain

 

Christian Hafner

 

Aarhus University

 

Timo Terasvirta

 

Cyprus University of Technology

 

Yannis Yatracos

 

University of Rijeka

 

Sasa Zikovic

 

Ruhr-Universität Bochum

 

Holger Dette

 

 

Schedule

(PDF)

 

 

 

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

9: 00-10: 30

Short course - Christian Hafner (Pt.3)

10: 30-11: 00

Coffee break

2nd  Session, Chair: TBA

11: 00-11: 30

Prof. Zikovic

Successfulness of Support Vector Machines in Gas Markets

11: 30-12: 00

Prof. Baruník

Tales of sentiment driven tails

12: 00-12: 30

Prof. Vácha

Time-frequency response analysis of monetary policy transmission

12: 30-14: 30

Discussion / Lunch Break

3rd   session

14: 30-16: 00

Excursion in church and tomb

16: 00-16: 30

Coffee break

4th   session

16: 30-17: 15

Prof. Dette

Short Course - Testing relevant hypothesis for functional data (Pt. 1)

17: 15-18: 00

Prof. Dette

Short Course - Testing relevant hypothesis for functional data (pt. 2)

18: 30-20: 00

dinner

 

Thursday
(24.01.2019)

8: 00-14: 30

Optional activities

1st   Session, Chair: TBA

14: 30-15: 00

Georg Keilbar

Quantile Neural Network Test

15: 00-15: 30

R.Reule, E.Zinovyeva

Classifying Smart Contracts

15: 30-16: 00

František Čech

Dynamic quantile model for bond pricing

16: 00-16: 30

Coffee break

2nd   Session, Chair:  TBA

16: 30-17: 00

Luboš Hanus

Dynamic density forecasting using machine learning

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: TBA

09: 00-09: 30

Matěj Nevrla

Tail risks, asset prices, and investment horizons

09: 30-10: 00

Daniel Jacob

Heterogeneous Treatment Effect Estimation using Machine Learning

10: 00-10: 30

Weining Wang

TBA

10: 30-11: 00

Ioana Ceausu

TBA

11: 00-11: 30

Coffee break

2nd   Session, Chair: TBA

11: 30-12: 00

Prof. Yatracos

Distributional Divergence, Statistical Experiments and Consequences in Option Pricing

12: 00-12: 30

Niels Wesselhöfft

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

12: 30-13: 00

Awdesch Melzer

Dynamics of electricity day-ahead prices

13: 00-15: 00

Discussion / Lunch Break

3rd   Session, Chair: TBA

15: 00-15: 30

TBA

TBA

15: 30-16: 00

TBA

TBA

16: 00-16: 30

TBA

TBA

16: 30-17: 00

Coffee break

Short Talks Session, Chair: TBA

17: 00-17: 15

Marvin Gauer

Estimation of Email Processing Time in the Financial Services Industry

17: 15-17: 30

Michael Althof, Xinjue Li

The term structure of the VIX futures

17: 30-17: 45

TBA

TBA

17: 45-18: 00

TBA

TBA                                                                                                     

18: 30-20: 00

dinner

 

Saturday
(26.01.2019)

09:00

departure