Direkt zum InhaltDirekt zur SucheDirekt zur Navigation
▼ Zielgruppen ▼

Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Haindorf Seminar 2009

February 12 - 15, 2009
Hejnice, Czech Republic

Organization and Contact Information

Prof. Dr. Wolfgang Härdle
Barbara Choros, M. Sc.
Axel Groß-Klußmann, M. Sc.

Humboldt-Universitat zu Berlin
CASE - Center for Applied Statistics and Economics
Wirtschaftswissenschaftliche Fakultat
Spandauer Str. 1
10178 Berlin
+49 - 30 - 2093 1469
Fax: +49 - 30 - 2093 5649
E-Mail: barbara.choros@wiwi.hu-berlin.de

Location and Trip Tips

Czech Republic


More information about the location

More information about the last Haindorf Seminar in February 2008


Day Time Speaker Title
Thursday (12.02.2009) 14:45-15:45 Y. Ritov The Bootstrap of Conditional Quantiles and Some Empirical Bayes
15:45-16:15 W. Härdle Volatised-Realised-Localised
16:15-16:30 Coffee Break
16:30-17:15 D. Belomestny Estimation of the Jump Activity of a Levy Process from Low Frequency Data
17:15-18.00 B. Choros & O. Okhrin CDO Pricing with Multifactor and Copulae Models
18:00-19:30 Dinner
Friday (13.02.2009) 09:00-15:25 Sport Activities
15:25-16:00 J. Cao A Joint Analysis of the KOSPI 200 and ODAX Option Markets Dynamics
16:00-16:35 A. Mihoci Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
16:35-16:50 Coffee Break
16:50-17:25 J. Kalina Robust Instrumental Variables
17:25-18.00 T. Polak Predicting Transformed Time Series
18:00-19:30 Dinner
Saturday (14.02.2009)
09:00-9:35 E. Silyakova Variance Swaps
09:35-10:10 S. Stahlschmidt A Statistical Study on Sex-related Homicides
10:10-10:45 A. Groß-Klußmann Market Dynamics around Public News Arrivals
10:45-11:00 Coffee Break
11:00-11:35 R. Huang The Market Impact of the Limit Order
11:35-12:10 V. Jeleskovic Incoming Iceberg Limit Orders: Statistical Properties and Econometric Models
12:10-13:40 Lunch
13:40-14:15 L. Kyj Refining Multivariate Realized Kernels: A Blocking and Random Matrix Theory Approach
14:15-14:50 D. Örsal On the Existence of the Moments of the Asymptotic Trace Statistic
14:50-15:10 W. Wang Uniform Confidence for Empirical Pricing Kernel
15:10-15:25 Coffee Break
15:25-16:00 J. Schaumburg Quantile Regression in Time Series
16:00-16:35 F. Yang Bayesian Analysis of Determinisitic Time Trend and Changes in Persistence Using a Generalised Stochastic Unit Root Model
16:35-16:50 Coffee Break
16:50-17:25 M. Grith Shape Invariant Modelling of EPK
17:25-18.00 V. Panov Solving Classification Task using Detection of Non-Gaussian Components
18:00-19:30 Dinner
19:30-21:00 Semesterplannung
Sunday (15.02.2009) 10:00-11:00 Departure

List of Participants

Humboldt Universität zu Berlin, Chair of Statistics

Prof. Dr. W. Härdle
Prof. Dr. O. Okhrin
J. Cao
B. Choros
M. Guo
B. Lopez
A. Mihoci
J. Mungo
A. Myšičková
E. Silyakova
S. Song
S. Stahlschmidt
W. Wang

Humboldt Universität zu Berlin, Chair of Econometrics

Prof. Dr. N. Hautsch
Prof. Dr. B. Droge
Prof. Dr. M. Schienle
L. Kyj
F. Yang
R. Huang
V. Jeleskovic
X. Liu
D. Örsal
J. Schaumburg
A. Groß-Klußmann

Weierstrass Institute for Applied Analysis and Stochastics

Prof. Dr. V. Spokoiny
Dr. D. Belomestny
M. Grith
V. Panov

Berlin University of Technology

Prof. Dr. V. Krätschmer

The Hebrew University of Jerusalem

Prof. Dr. Ya'acov Ritov

Charles University in Prague, Dept of Statistics

Dr. Z. Hlavka
Dr. J. Kalina
T. Polak