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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Alumni Feedback

Learn more about the IRTG 1792.

 

Benschop, Thijs 2013

During my IRTG fellowship, I have attended several courses. Many of these courses (multivariate statistical analysis, statistics of financial markets) have helped me to develop my knowledge of statistics and econometrics. Some courses were interesting, but perhaps not immediately useful for my research (microeconomics, macroeconomics, Chinese language). Besides the regular courses, I appreciated the large range of short courses organized by the IRTG. I was also able to invite an expert in the field of my own research to hold a short course. This course, as well as the exchange, was helpful to improve my own research.

The IRTG program also offered me the possibility to arrange and organize these courses myself. This enabled me to improve my organizational skills and be in direct contact with high-level researchers and peers in domains related to my own research. [...]

The participation in several workshops and conferences in Germany and abroad has offered me the opportunity to present my own results, get feedback from peers and get ideas for new projects. This was very useful [...]

 

Fang, Lei 2013

In our programme, we have been provided with a very friendly and well-organized research and meanwhile, we benefit a lot from the exchange experiences and international short courses.


The courses in the framework of IRTG 1792 help me a lot in understanding and solving my research projects such as the course of semi and non-parametric modeling. We are also involved in short course organization. Every semester we were asked to suggest possible visiting researchers and short courses, which is highly appreciated by the students.


Upon the stays at the foreign partner university, it is useful to set up an academic network and improve your research horizon via exchanging the research ideas with people from different backgrounds. It is also very important to understand a different culture and learn to communicate in a better way. I think it will be very helpful for my future academic work and for a non-academic career.

 

Holtz, Sebastian 2013

In the first semesters of my Ph.D. phase, I attended several courses. Due to my specialization in Statistics during my former Diplom studies, there was only one mathematical course which provided additional benefit for my Ph.D. topics and which I completed successfully. Fortunately, I was allowed to transfer many credits from my former studies. Nevertheless, I was also obliged to attend several courses at the economics department. Some of them gave me insight on 'real world problems' and applicable techniques to solve those problems. [which] was interesting for me [...]


I am under the supervision of Prof. Markus Reiß at the mathematics department. We meet on a regular basis and he always gives me a lot of helpful and insightful input. I think he is a very motivating and demanding supervisor that also cares about his students. In the last years, he introduced me to many great researchers and proposed me to go to several conferences that fitted my interests. But also through IRTG events, such as short courses or conferences, I have many possibilities to connect to researchers. Especially the relations to the members of the partner university in Xiamen played and play a great role. Several internal conferences and meetings helped to connect and to know each-others research fields. Additionally, the German IRTG students had the possibility to attend Chinese language courses which I found – although very challenging – a great preparation for my stay in China.

Apart from the culturally enriching impressions, the stay in China offered I really enjoyed the time I spent at Xiamen University. The Chinese faculty did everything to guarantee a convenient stay and organized an internal seminar on a weekly basis to present research results and to share ideas.

 

Nasekin, Sergey 2013

Participation in this program significantly contributed to my academic potential and helped me become a better researcher. As advantages of the program its international orientation, possibilities to meet some of the renowned scientists in the statistics and econometrics field can be pointed out. Numerous short courses and seminars allowed me to become familiar with state-of-the-art research. [...]

 

Commenting on my experience from the stay at the Partner Xiamen University, I largely consider it a useful international experience. I had an opportunity to participate in research seminars and discuss my research with professors and students. [...]

 

Suvorikova, Alexandra 2013

I strongly believe that IRTG program gives a great opportunity for a person to acquire a deeper knowledge in theoretical and applied statistics.

First of all, a great variety of courses is available for students. All faculty members and invited speakers are highly qualified experts in their fields and are open for scientific communication.

Furthermore, the spectrum of the interests of the research unit is very wide, thus a student has to work hard so as to meet IRTG standards. From my point of view, this is one of the key factors, that helps to build a successful career path in both academia and industry.

It is worth noting, that the international communication not only broadens scientific horizons, but increases our cultural intelligence, that is extremely important for obvious reasons.

The last but not the least thing is that IRTG program stands for equal opportunities for all and as a female student, I would like to say that I’m very happy to be a member of such a great team.

 

Chen,  Shi 2014

The IRTG program provides an international research environment for young researchers to work closely with excellent senior researchers. I am allowed to branch out into different research possibilities and gain experience in a variety of academic approaches. The scientific technical training offered by IRTG program is of high quality, in particular the applied economics and finance involved with high-dimensional data and complex dynamic structures. I believe the IRTG program will provide me with an excellent starting platform for a successful career.

 

Efimov, Kirill 2014

While I am in the doctoral program, my short-term goals are to continue to strengthen my theoretical and technical knowledge in statistics and engage in research to extend my understanding on Information Retrieval. I find the IRTG programme a truly suitable place for my ambition.

 

Firstly, the collaboration with IRTG members who conduct various research projects in the wide range of economics, quantitative methods, machine learning, modern computing technology and beyond gives us a unique opportunity to share knowledge and experience and together develop new techniques.

 

Secondly, seminars are constantly organized and many leading scientists and experts in a wide range of research areas are invited to give talks for us. It gives us an additional motivation to catch up with the latest research trends and establish new connections in the scientific world.

 

Huang, Chen 2014 

During the last two years, I took several specialized courses about econometrics and statistics, such as “Multivariate Analysis”, “Statistics of financial markets and nonparametric modeling” and so on. I learned many useful statistical tools to analyze different interesting topics and also improved my skill to carry out them by statistical software. All these experience helped me to lay a solid foundation for quantitative analysis.


Besides, studying in this program improves my skills in communication and presentation a lot. For example, participating in PRI every week gives me the chance to know what other colleagues are working on and I can also receive useful suggestions from them about my own research. Also, IRTG invites several speakers to give many interesting short courses and talks to us. Attending the seminars and short courses helps me get acquainted with more knowledge in the area Particularly, organizing IRTG short courses is one of my duties in the chair. I could have more opportunities to meet, discuss and even work together with some outstanding scholars as well. Moreover, IRTG funding supported me to attend several workshops or seminars to give talks and discuss my research with more professors. My presentation skills have improved a lot and I obtained many helpful comments from the audiences. In addition, teaching experience is another key part of my study in this program. Such kind of training is also valuable if I would stay in the academic area in my future.


According to the study schedule of our IRTG program, I visited our partner WISE, Xiamen University for two months during my second year. Even though the visit was short, it was a nice experience and it is definitely beneficial for my whole Ph.D. study. I particularly discussed a lot with my IRTG partner and professors in Xiamen. I was invited to give my talk on the BBS - Brown Bag Seminar. The discussion with the professors from WISE such as Prof. Haiqiang Chen and Prof. Yingxing Li was very helpful in revising my paper. They shared many helpful comments with me.


This joint doctoral program on “High Dimensional Non-Stationary Time Series” matches my research interests very well. With the guidance of the outstanding scholars, working in this program is very profitable for my future career in academic research.

 

Papagiannouli, Katerina 2014

I would like to mention that I have profited a lot from the excellent research environment I have found at the Humboldt University of Berlin and especially at the IRTG 1792.

First of all, the excellent mentoring of my supervisor Prof. Markus Reiß enabled me to engage the whole procedure of Ph.D. in a really advanced academic level.

Furthermore, the IRTG short courses are really helpful since we are introduced to the current trends of research in Applied Statistics. However, I would like to have more short courses in Mathematical Statistics since it is beneficial either for an applied aspect of research or for pure research in Mathematical Statistics. [...]

Finally, the instructive and fruitful collaboration within the other Ph.D. students and professors of the programme is highly beneficial for my research. As far as the collaboration with the partner university in Xiamen is concerned, considering my stay in the partner university, we should be more involved in terms of research and eventually gain more feedback for our work during our stays at the partner university.

Taking everything into consideration, the excellence of the members of IRTG enabled me to enrich my academic profile into the highest professional level.

 

Yu, Lining 2014

I have attended several IRTG short courses. The organizer of the short course asks us for our opinion whom we would like to invite and gives us the profiles of these professors, so that we could know in which field these professors are good at and we could also know the background information of them. The students then vote whom they want to held a short course. I think this kind of selection is very important for us because finally the invited Professors are much related to our research. They taught me a lot and I was very interested in their talks. Especially, because there is a discussion section after the talk. I asked them some questions about problems I cannot solve during my research and they answered very patiently. It is very helpful for me.

I have two supervisors, Prof. Wolfgang Härdle and Prof. Weining Wang. We have regular meetings every two to three weeks. In addition, they will discuss my current research with me and give me some useful advice. Normally Prof. Härdle will give some advice about the direction of my research and Prof. Wang advises me regarding helpful details in my research.

Also, I think to attend conferences and to present my work helped me very much. Before the conferences I would like to work hard to prepare my talk, it is stressful but also motivates me to generate more results. After the presentation, some participants gave me many useful suggestions and they helped me to improve my research. So attending conferences is very fruitful for me. So I suggest DFG could provide IRTG students more possibility to attend conferences.

 

Zboňáková, Lenka 2014

I joined the IRTG 1792 programme after studying statistics and econometrics mainly from the theoretical point of view and I was eager to expand my knowledge and combine it with empirical application to the field of economics. The idea behind the IRTG 1792 to join the students from Berlin with a statistical background with the students from Xiamen with the background in economics greatly benefited my academic needs.

 

It is not the only advantage of the IRTG 1792. The idea is to produce high-level researchers and there are many opportunities to gather knowledge from excellent scholars from all around the world. IRTG short courses are held regularly and famous academicians are invited to share their knowledge with the students of the group. As I attended many of them, my experiences broadened and I got to know qualified professors from other universities. Discussing with them I also got valuable comments for my present work. Nice thing about the IRTG short courses is that the students can decide about the invited speaker and/or the topic of the course so it is helpful for their current research work.

 

Of course, we get valuable insights not only from the invited speakers, but also from the professors and other researchers who are part of the IRTG 1792. My supervisor is Prof. Wolfgang K. Härdle, whose ideas are always up to date. He helps me to cope with the research projects I am currently working on and also thanks to his research background and contacts we have many opportunities to attend conferences all around the world. He leads us to work independently so we can develop our own contact network and improve our academic skills, but is still helping us to overcome any challenges during our studies.

 

One way to extend the contact network is also the opportunity to stay at the partner university, Xiamen University. The cooperating Wang Yanan Institute for Studies in Economics is full of supportive professors and skilled researchers. During my stay there I got to know several of them and I always got an impression that they wanted to help me with my research question as much as they could. My research partner Xinjue Li is also very qualified student of the IRTG 1792. My stay in Xiamen was highly beneficial as there was no time zones or distance barrier and it made my collaboration with Xinjue easier.

 

In my opinion, the IRTG 1792 is a well-organised programme with participating students from all around the world. The background of the students and professors varying between economy or mathematics and theory or practice can only be advantageous, as we can share our skills and knowledge with one another.

 

Adamyan, Larisa 2015

First of all IRTG program suits my ambition as my career goal is to make a contribution to theoretical and applied statistics.

Moreover, the IRTG chair constantly organizes seminars, workshops and invites leading scientists to give talks in various novel research topics, which helps me to keep pace with recent developed methods and algorithms in order to be competent in the field. IRTG doctoral program is a unique chance to work in a research team, meet professionals, who share the same research interests as I do. I eagerly use networking opportunities and share my practical experience, specialist skills and resources with my colleagues. This kind of cooperation allows us to acquire also an integrated view of the field linking areas from econometrics, computational statistics, neural networks, machine learning, genetic algorithms, signal processing and beyond. Later on this collaboration can entail creating something new by utilizing the gained knowledge and skills together and by harvesting the outcomes of the applied new techniques.

Accomplishment of the doctorate program will be an additional motivation to carry on widening the aspects of my research in the field of Statistics.

 

Klochkov,  Yegor 2015

The courses held by leading experts thoroughly cover recent advances in related research areas. They match perfectly with IRTG’s topics and I believe listening to them was helpful for me in particular. Meeting other students of the IRTG and discussing our work provides a lot of motivation for research. Apart from that I attended some conferences outside Berlin and regularly attend and sometimes participate in research seminars of Applied Stochastic group in WIAS lead by my advisor Prof. Spokoiny. I meet weekly with my advisor to discuss current state of the working project and possible advances. Under his supervision as well as by collaboration with Prof. Belomestny from Duisburg-Essen University we wrote one paper.

 

Qian, Ya 2015

I have currently been in IRTG program for almost 10 months and I have really learned a lot and benefitted a lot from this cooperative research program.

After finishing my master degree in Fudan University, China, I was looking for some good opportunities to pursue a PhD degree abroad. Considering my educational background and the recommendation from my supervisor back then, I applied for the IRTG program. IRTG focuses on high-dimensional non-stationary time series which is highly related to what I want to do – Quantitative Finance. It is really a promising and advanced research area from which I believe I can learn a lot and it turns out to be true.

Fortunately, the IRTG program admitted me as a new PhD student in 2015 and my journey in this wonderful research group started. During the first two semesters, which basically lasts from the very beginning until today, I have taken several advanced statistic courses, for instance, Multivariate Statistical Analysis, Selected Topics of Mathematical Statistics and Advanced Mathematics and all of them are very helpful to my research. I have learned a lot about economics and finance back to my bachelor and master studies, and now I am learning a lot about statistics. I believe that all the knowledge from these three areas will produce some good interdisciplinary effects and I am kind of counting on that to do more research in the future.

At the same time, the program also invited lots of famous professors from all over the world to give us short courses. We get the chance to talk with these experts and also get valuable comments from them. From my perspective, it is one of the best benefits of this program.

As for the organizational part of this program, I am still learning from the senior students and all of them are kind and ready to help. I also took some minor parts of the organization and it turned out to go really well with the other parts. Therefore, we do have a really good cooperation atmosphere in our program. From now on I will be responsible for the IRTG poster design together with another colleague. We will work hard on it to help attract more international bright students.

For the supervision part, we have regular meetings with our professors to discuss with the progress as well as problems in our research work. Prof. Härdle always has a good sense of the future direction of the research therefore he can offer useful suggestions based on what we have done and what we want to achieve. And the regular meetings do motivate us to make some progress in our research project from time to time or to overcome some difficulties.

Since I am only in my first year in this program, I haven’t been to the foreign partner university yet. However, I am really looking forward to it and believe that I can learn a lot there as well.

Although it is quite a good program, there is still space for improvement. For me, it would be better to expand this cooperation with more institutes or universities so that we have higher chances to find a good position after graduation based on the enlarged network.

Last but not least, I want to mention that the equal opportunity to all could be one of the most remarkable characteristics of our IRTG program, especially for women. We even have more female PhD students than male ones. For all of us, we get similar chances to cooperate with others, from inside the institute or outside. And we share the common resources and contribute to the whole program as well. Everyone is well respected and well encouraged to achieve more in their desired research direction.

 

Trimborn, Simon 2015

The course program of the IRTG1792 is well structured. Courses from statistics, economics, finance and informatics are selectable from a huge variety of top universities. Due to the location advantage, I was able to select courses from Humboldt-Universität zu Berlin, Freie Universität and Technische Universität Berlin. My regular course education was expanded by the IRTG short courses, which took place regularly at the Ladislaus von Bortkiewicz chair of statistics.

Since I started a year ago, my stay at the Xiamen university will be in the next late spring/early summer. From the discussions with my fellow IRTG students, I believe that this visit will highly influence my research.

Furthermore I enjoy the network amongst IRTG students and the exchange on a regular basis about their current research, publications and about upcoming conferences. Students in a later phase of their education, share their experience with job opportunities.

 

Schulz, Franziska 2013

The courses offered by the IRTG covered a broad spectrum of relevant topics that enabled me to get insights into state-of-the-art research. At the same time, there were several short courses that specifically matched my area of research. The intense courses and the opportunity to discuss with the lecturers during and after the courses helped me a lot in understanding recent results and to improve my own research. The courses were high-level courses given by experts in their field. Furthermore, I appreciate the possibility to suggest IRTG guests and to contribute to the organization of the program.

The supportive atmosphere among IRTG students allows discussing results and challenges that one faces during the preparation of the PhD thesis. I found it always inspiring to meet other IRTG students and to talk about their research and ideas.

 

Petukhina, Alla 2014

I highly appreciate the organisation of IRTG events, supervision strategy and course programme. IRTG students have a wide range of opportunities for network building and development of their professional skills and abilities via participation in short courses, research seminars, IRTG conferences and research visits of high-level experts from around the world. Since my research field is about asset allocation strategies, for me personally, courses related to time series modeling, volatility modeling and statistical data visualization were the most useful. IRTG programme also focuses on the development of soft skills, such as presentation skills or academic writing, which are also an integral part of my successful doctoral studies as well as are important for my future personal development and academic career. The supervision is structured quite clear, my supervisor Professor Härdle and co-authors (e.g. Prof. Cathy Chen or Sergey Nasekin) are always available for discussion, research tasks and time schedule are discussed and updated regularly. Important to mention, the IRTG program is based on the principles of gender equality and promotes a family-friendly working atmosphere, so the representation of female and male students is almost equal and all family IRTG participants are properly supported. So far, I have only one proposal for possible improvement. I believe it would be very useful for our work to have some assistance in data management (downloading, configuration etc.).

 

Xu, Xiu 2013

I’ve achieved a lot during the doctoral programme. Many famous experts specializing in various research areas are invited to give lectures for us. Through attending these intense and high-level courses and discussing with these experts, it not only helps me to acquire new knowledge but also favors me to catch the latest research frontiers.

The study in IRTG programme and the encouragement from my classmates within our IRTG group motivate me to become a qualified researcher.

 

Lu, Meng-Jou 2015

Since I became an IRTG student, I have improved the knowledge of statistics and mathematics. Many famous experts are invited to give the short courses of many different research fields so that I have a chance to explore these field and discuss with them. This is also very important for me in order to develop the idea of my research and the methodology of my thesis. The goal of IRTG program is to foster us as an outstanding reseacher. I have been motivated by this program and I am confident to become a qualified scholar based on those developed skills. 

 

Wesselhöfft, Niels 2015

The qualification program elevated me directly to the edge of the current research fields, helping to attend doctoral courses of various universities and locations. Their scope has been extensive, giving a broad view over the field of i.e. statistics. International researchers, for example Prof. Linton from Cambridge, helped to widen the field of statistics to the financial application. The cooperation of universities in Berlin offers various possibilities to strengthen the individual skills of each student. This semester I am participating in a course in the informatics department, improving my C++ skills in the framework of object-oriented programming languages.

The structure of the supervision is rigorous and well organized by a mentoring system. By focusing not only on mathematical preciseness, but also the communication of rather complex ideas, Prof. Härdle does a great job on integrating different fields of study and rhetoric skills. Additionally, seminars like the rhetoric seminar improve personal skills through external knowledge.

The international focus of the research group allows to get to know scientists from different cultures and regions. Students all over the world share scientific and private topics with each other.

 

Melzer, Awdesch 2015

Methodologies studied in several of the courses in the program give broad understanding of how to deal with certain challenges.

As the program is application oriented and data driven, courses in programming languages should be compulsory.

The first few months Prof. Härdle and I had every two weeks meetings where the state of the project was discussed. Furthermore, every couple of weeks a presentation of the ongoing research was presented within a colloquium to discuss the progress and get feedback from other researchers.

With Prof. Lopez Cabrera we [...] discuss the progress of the research. She helps a lot with interesting papers, corrections of the talks and extensions of the projects.

 

Xu, Qiuhua 2013

The IRTG progamme offers many high-level courses that are very helpful for my research. I have chosen two courses during my stay in Berlin, “Selected topics of mathematical statistics” and “Micro-econometrics”, respectively. “Selected topics of mathematical statistics” was based on a very classic textbook written by Robert J. Serfling. This course covered many useful asymptotic theorems of mathematical statistics which are indispensable tools for studying large sample properties of the test statistics proposed in my thesis. For example, in this course, I have learned the asymptotic distribution theory of U-statistics. One of the test statistics proposed in my research can be written in the form of U-statistics. Therefore, the results that I have acquired in this course facilitated the derivation of the asymptotic distribution of my test statistics. “Micro-econometrics” covered both the classic micro-econometric methods, such as Probit and Logit models, Panel data models with fixed effects, and cutting-edge approaches like identification of treatment effects.  Since my research mainly focuses on panel data models, this course enhanced my knowledge about panel data models and also supplied some new views of further research.

Besides, this programme provided a very active academic atmosphere. It held a seminar every week at which students and professors presented their current research topics and exchanged ideas. The institute also invited famous researchers all over the world to give high quality talks at these seminars. The institute organized academic conference and workshop regularly as well. For example, at Haindorf Seminar 2015, I met distinguished statistician Prof. Qiwei Yao and learned a lot from him.

Generally speaking, I learned a lot during my stay in Berlin. Students and professors of this programme are very kind, and also the academic resources are abundant. I expect that we will have further cooperation.

 

Chuanhai,  Zhang 2013

I benefit a lot from the IRTG programme. Firstly, during the exchange in Germany I took some courses closely related to my research as a by stander, which were not provided by my home university, for example professor Markus Reiss‘s lecture on statistics for stochastic process and professor Qiwei Yao’s short course “VARMA, Cointegration and Dimension Reduction”.

Secondly, thanks to IRTG project I could acquire efficient supervision from professors both in [Germany and China]

In our programme, we have been provided with a very friendly and well-organized research and meanwhile, we benefit a lot from the exchange experiences and international short courses.


The courses in the framework of IRTG 1792 help me a lot in understanding and solving my research projects such as the course of semi and non-parametric modeling. We are also involved in short course organization. Every semester we were asked to suggest possible visiting researchers and short courses, which is highly appreciated by the students.


Upon the stays at the foreign partner university, it is useful to set up an academic network and improve your research horizon via exchanging the research ideas with people from different backgrounds. It is also very important to understand a different culture and learn to communicate in a better way. I think it will be very helpful for my future academic work and for a non-academic career.

. For example, professor Härdle’s steep requirements on presentation skills impressed me a lot; professor Bibinger’s deep insights on high frequency econometrics deeply inspired me.

Thirdly, I can fully utilize the academic resources from IRTG programme. I was able to get acquainted with some famous professors and visitors through seminars or workshops held [at the university] and establish some academic relationships with them. Take the workshop on recent advances in high-frequency statistics (20/11/2014-21/11/2014) for example, I obtained a lot of knowledge on high frequency econometrics from experts from around the world. I can also download some high quality limit order book data from LOBSTER.

Finally, we also establish good relationships with foreign partners and people in Berlin and appreciated the German culture. For example, Sebastian Holtz helped me a lot to adapt to the life in Germany during the exchange time. In my spare time I preferred to wander through the museums located around Humboldt-Universität and tasted cream of western culture. In all, it is a nice experience for me to be enrolled by this programme, it is not only beneficial to academic exchange but also to culture exchange.

My the suggestions for improvement are as follows: firstly, maybe it is better if the exchange time can be longer, for example at least one year; secondly the common supervision could be improved for students, for example, the selection of doctoral projects for students should be more concentrated. That would make it more convenient for common supervision.

 

 

Yang, Yuan 2013

The IRTG1792 program provides various courses of high quality. During the study, I participated in the “Large-sampling theory” course and I benefit a lot from it. The lecturer, professor Okhrin, introduced all the materials well so that we can understand all the theorems and proofs. The lecturer interacted actively with students and encouraged us to ask questions. After the course, we have gained much in statistical theory and we can use the knowledge acquired in this course to derive asymptotic properties of estimators. I also participated in “Economic risk seminar”. Participants of this course are required to present their research advancement in the course. Problems in research and presentation skills will be pointed out by the audience. The IRTG1792 programme also provides short coursed lectured by professors from other university, for example the “High-dimensional time series” by Qiwei Yao from LSE, the “Big date based credit risk analysis” by Jin-Chuan Duan from NUS. All these short courses greatly opened our mind and brought us closer to the frontiers of each research filed.

In IRTG1792 programme, a partner will be assigned to each participating student and partners will work on the same project together. This arrangement facilitates the communication among students from different institutes. Professor Härdle is the chief supervisor of all students and junior professors and post-doctoral fellows also served as supervisors. Supervisors gave us a lot of guidance in research works and living in Germany. A seminar organized by professor Härdle took place each week. In the seminar, he will solve our problems in our research project, fix the mistakes we made and will try to improve our presentation skills.

 

Zhiwu, Hong 2013

My visit lasted from September 2014 to February 2015. During this period, I worked on the project “Dynamic Local Volatility of LETF Options” together with Sergey Nasekin supervised by Professor Wolfgang Karl Härdle. The project’s purpose is to apply the moneyness scaling principle by Leung and Sircar (2013) to the dynamic local volatility surfaces modeled by the dynamic semiparametric factor approach and discover pricing discrepancies on the LETF options’ market by statistical methods.

It’s my first time to visit Berlin with my other four Chinese classmates. We were very glad that our IRTG partners on the HU side came to the airport to pick us up and they also arranged a welcome dinner for us. We didn’t get the chance to apply for students' dormitory so we had to find the accommodation by ourselves. We obtained about 600 euros supported by the IRTG programme during our stay in Berlin, which can nearly cover our basic necessities of life.

After registering as exchanged students at HU, the five of us were provided with a study room together with another doctoral program. Since students from the other program often discussed questions in the study room, we usually went to the library to study. The library of HU is quite impressive and lots of books are there. I took several courses in HU during my stay there. One of the most interesting courses is the financial market analysis, taught by prof. Wolfgang Karl Härdle. Because of this course, I got a change to visit the ECB in Frankfurt. Except taking courses, I also attended seminars every week, doing presentation or listen other students’ presentation in the chair.

Generally speaking, I learned a lot [...]. Students and professors there are very nice and helpful, and also the academic resources there are abundant. [...]

 

Xinjue, Li 2014

I have achieved a lot during the half year stay at Humboldt Universität zu Berlin. Many experts specializing in the research areas were invited as guest lectures. Through attending these intensive short-courses and discussing with the experts I was able to constantly catch up with the latest research frontiers. I also new practical knowledge for my research. The IRTG programme and the encouragement from my IRTG group motivate me a lot.

I also get the spirit of the privatissimum held regulary almost every Tuesday. In the seminar, students and Prof. Wolfgang Karl Härdle gave comments, suggestions, and evaluations. This is good for our research in progress.  At the very beginning of this IRTG joint-research event in Oct 2015, I gave my first academic speech to introduce Prof. Linlin Niu’s (from Xiamen University) and Prof. Ying Chen’s (from National University of Singapore) paper "Adaptive dynamic Nelson-Siegel term structure model". Through many discussions, my partner Lenka Zbonakova and I found the combination of LASSO with Adaptive Penalized Macro-Factors in Bond Risk Excess Premium and right now we have finished the modeling part and a rough draft. The courses here are interesting, I took the course "Multivariate Statistical Analysis” and some short courses during my stay from 01/10/2015 to 10/02/2016.

 

Liao, Xiaosai 2014

The mathematic statistics course helps me implement the derivation of asymptotic distribution of estimators when I do research. Furthermore many famous econometricians such as Prof. Oliver Linton, who are specialized in various research areas, offered so many excellent courses in Berlin. Also, I had a lot of time to communicate with the partner, Chen Huang so that I am able to put forward my research quickly. Additionally, I joined in the seminar which is held by the IRTG members every week and have talks in some seminars. To summarise, my ability to research and conduct speeches has improved a lot with the help of IRTG.

 

Luhui, Lin

I arrived in Berlin on 21st of September 2015 for attending the program, the International Research Training Group (IRTG) 1792 “High Dimensional Non Stationary Time Series”. I am very happy to join the seminars at Humboldt university and to get a lot of helpful ideas from them.

I have attended many seminars: “Rumble in the Jungle”, “Time-Varying Copulae” by Jean-David Fermanian, “Empirical Finance” by Oliver Linton, “Oracle Inequalities for Network Models and Sparse Graphon Estimation” by Alexandre Tsyakov.

The Privatissimum seminars provide a platform for us to practice how to present one’s work in front of an audience. Moreover, RDC provides a wonderful database. Furthermore, so many famous professors are invited to give lectures or talks for us.

 

Tian, Dingshi 2014

Research was also difficult to begin in the first place. In Xiamen, I was working on spatial econometrics, and gave a talk “A Partially Varying-Coefficient Spatial AutoRegressive Model” at the Grünheide welcome conference. This conference is so interesting not only because of the name “Rumble in the Jungle!”, but also the way we go to the destination – by bike! However, for the purpose of IRTG, I need to do research on high-dimensional non-stationary time series. Then I face the situation that I must change my topic and find a new one.

What is good here in the department of Statistics is the Privatissimum every Tuesday. In this internal seminar, 4-6 doctoral students would give a talk about the recent progress on their research. Exposed to the topics in different areas, I learned a lot. When 2013 IRTG intake Xiu Xu presented her research on “Localizing Conditional Autoregressive Expectile”, the idea of using adaptive methods to account for the time-varying parameters in the conditional expectile intrigued me. I have already done some work on nonparametric, thus I began my research on varying-coefficient expectile model with the advices of Prof. Härdle.

By the requirement of Privatissimum, I needed to give a talk nearly every two weeks. In the seminar, Prof. Härdle will make comments on our work and evaluate the progress. With such kind of pressure, I devoted myself to the research and have already done the estimation and simulation part of the project with my IRTG partner Kirill Efimov. He is now a second year Ph.D. student of WIAS who has strong mathematical background, this helps a lot in our joint project.

I attend the course “Selected Topics of Mathematical Statistics” every Monday and the “Economic Risk” seminar at the same day. This helps me a lot both for my research and perspectives. One time, I was interested in the topic of Prof. Song, and talked with her after the seminar. She introduced the Ph.D. program in her university and a very good paper, which is related to my research to me. I really appreciate her and those one who gave me help here.

 

 

Mingyang, Li 2015

Although I have not been in Berlin yet. I have benefit a lot by taking the short course “Statistics of Financial Markets” by Prof. Wolfgang Hardle this summer, by talking with my senior colleagues of WISE who just came back from Berlin this spring, and by talking with my IRTG partner Ya Qian. The course given by Prof. Hardle is a wonderful course on option pricing, financial econometrics and risk management, which focus not only on theory, but also on applying the theory into practicing. R programming is required and frequently used in this course, together with Latex and github skills. I am a one-year R user, and taking this course gives me a nice chance to practice R in varies topics in finance, not just the single topic I am working on, which confirmed my desire to learn R well. For Latex and github, I am a total outsider before the class. The strict requirement from the professor pushed me to learn them and learn them well. After the class, I am able to use Latex to write my own files with pictures and tables. For github, it is a perfect tool to learn about programming. The IRTG group has its own github repository, which contains all the codes as a complement of their courses. After taking the course, I have my own github account, which may be of great use after I go to Berlin. The course of IRTG impressed me by their learning-by-doing style. In China, we usually hear more but do less, but this is not the right way to study. In this short course, we can find all the example codes in the IRTG github account, and running codes is required both in and out the class. The course materials, together with the codes on the IRTG github, form a complete platform for students to learn. I think this is a nice system.

There are four senior colleagues who came back from Berlin this spring, and I get a lot of information on IRTG from them. The IRTG hosts seminars every week, and we need to make regular presentation on that seminar, which is a good driven force for me to conduct research. What`s more, the team building of IRTG is good. I have know that, on Oct 13-15, we will have a workshop called "Rumble in the Jungle", we will have a nice bicycle trip and take a lecture from Prof. Cheng-Few Lee (Rutgers University) at the destination.

I am intending to be a partner with Ya Qian, an IRTG member of my grade. She is also interested in financial econometrics and network. We have talked about our joint work. A primary idea is to apply the network method in the study of financial bubble of local government bond pricing, which is just the intersection of the studying area of us two. We will stay connected and do our best to cooperate.

 

Mihoci, Andrija, IRTG Post-doc (Oct 13 – Mar 15)

The excellent IRTG 1792 programme gave me the opportunity to train for academic work and to find a position within academia. I think that a well-rounded and organised doctoral and postdoc programme offers a lot of opportunities. Although working on a fixed-term contract, the established network and the permanent searching for research funding pays off in the long run.