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Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

News 2016

Research visit: Singapore Management University

10.12.2016. Ya Qian, IRTG PhD student, was invited to Singapore Management University (SMU) for a research visit from May to July 2017

Our team: Job offer for S. Nasekin

01.12.2016. Sergey Nasekin, IRTG PhD student, received an offer from Lancaster  University (UK) and decided to continue his academic career at the Lancaster University. Congratulations!

Workshop: Seminar of the HypoVereinsbank-UniCredit Group

21.10.2016 – 22.10.2016. The IRTG doctoral student Awdesch Melzer attended the PhD Seminar Seminar of the HypoVereinsbank-UniCredit Group-Stiftungsfonds in memoriam Giovanna Crivelli in Leipzig, Germany. Awdesch Melzer presented his paper “Pricing Green Financial Products”.

Workshop: IRTG Workshop Rumble in the Jungle

13.10.2016 – 15.10.2016. The IRTG organized its annual workshop "Rumble in the Jungle" for its doctoral students, invited guests and its participating faculty in Grünheide, Germany. The students were provided with an opportunity to talk about their current research, Awdesch Melzer, for instance, presented his paper “Pricing Green Financial Products”.

Internship: N. Wesselhöfft at Deutsche Bank

31.08.2016. PhD student Niels Wesselhöfft has just finished his six-month internship in the Asset and Wealth Management Department of Deutsche Bank. Congratulations!

Publication: Paper accepted to JASA

20.07.2016. The paper “Forecasting Generalized Quantiles of Electricity Demand: A Functional Data Approach” by Brenda López Cabrera and Franziska Schulz was accepted to the Journal of the American Statistical Association.

Research visit: Princeton University

11.07.2016. PhD student Franziska Schulz will leave today for a research stay at Princeton University, USA.

Workshop: BTU Cottbus hosting IRTG students

11.07.2016. Andrija Mihoci, former IRTG Postdoctoral Researcher, has organized a workshop in BTU Cottbus-Senftenberg on "Quantitative Methods in Economics" on 10.-11.07.2016 and invited IRTG members to present their research results.

Conference: Paper presented at Energy and Commodity Finance Conference

24.06.2016. Thijs Benschop und Awdesch Melzer, two IRTG students, attended the Energy and Commodity Finance Conference in Paris. Thijs presented his paper on “Modeling and forecasting of realized volatility of CO2 emission futures contracts” and Awdesch presented his paper on “Wind Energy Risk Modelling”.

Workshop: Lenka Zboňáková in Xiamen

19.06.2016. Lenka Zboňáková, IRTG PhD student, visited the “WISE-CASE Workshop on Digital Economy and Decision Analytics” in Xiamen from 18.-19.06.2016 and presented her work on “Time Varying Lasso”.

Conference: Presentation at Commodity Markets Conference, Hannover

04.06.2016. Thijs Benschop attended the Commodity Markets Conference in Hannover, Germany and presented his work on “Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models”.

Conference: PhD student presents at Dynstoch

02.06.2016. Sebastian Holtz, PhD student, presented his work on ”Parametric covariation from noisy observations: efficiency, equivalence and estimation” at Dynstoch 2016 in Rennes, France.

Research visit: Xiamen University

01.05.2016. Lenka Zboňáková, IRTG PhD student, is currently on a research stay at  CASE in  Xiamen, China. She will be working on "Time Varying Lasso" from 10.04.2016 until 30.06.2016.

Research visit: Singapore Management University

23.04.2016. PhD student Simon Trimborn was invited for his second research stray at the Singapore Management University, Singapore in August. Congratulations!

Workshop: Participation in Energy Finance Workshop

22.04.2016. The IRTG doctoral students Thijs Benschop, Shi Chen and Awdesch Melzer
attended the Energy Finance Workshop 2016 in Stolberg, Germany. Thijs Benschop presented his paper on “Modeling and forecasting of realized volatility of CO2 emission futures contracts”, Awdesch Melzer presented his project “Wind Energy risk Modelling”.

Conference: Presentation at DAGStat Conference

18.03.2016. PhD student Franziska Schulz presented her paper “Germany Probabilistic Forecasts of Electricity spot prices: A functional data approach” at the DAGStat Conference in Göttingen, Germany.

Thijs Benschop also presented his work on “Modeling and forecasting of realized volatility of CO2 emission futures contracts” at the conference.

Publication: Paper accepted to JE

11.02. 2016. The paper “TENET - Tail Event driven NETwork risk” by Wolfgang Härdle, Weining Wang and Lining Yu was accepted to the Journal of Econometrics.

Conference: Haindorf Seminar 2016

30.01.2016. In this year’s Haindorf seminar, speakers from Cambridge University (UK) and the University of Szczecin (PL) presented their newest research findings. The winter landscape did not only set up a good atmosphere, but also led to some ski rides.

Research visit: University of Pennsylvania

03.01.2016. Sergey Nasekin, IRTG PhD student, was invited to the University of Pennsylvania, USA for a two-month research stay from March to May 2016. 

Research visit: Princeton University

15.01.2016. PhD student Sergey Nasekin was invited to visit Princeton University, USA for a two-week research stay from the End of February to the beginning of March.