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Humboldt-Universität zu Berlin -

Research Seminars & Guests, Archive until 2014

Maria Teresa Gonzales Perez
Colegio Universitario de Estudios Financieros
The effect of market microstructure in the statistical properties of the VIX

01.11.-30.11.2012

Valérie Chavez-Demoulin
University of Lausanne
Quantitative Risk Management

29.08.-31.08.2012

Rodrigo Herrera Leiva
Universidad de Talca, Curicó, Chile
High Frequency Time Series

27.08.-10.09.2012

Martin Gould
Oxford University
Modelling Foreign Exchange Limit Order Books

07.08.2012-01.01.2013
Helena Chuliá Soler
University of Barcelona
09/2011-12/2011
Fulvio Corsi
Università della Svizzera italiana
27.06.2011
Tobias Klein
Tilburg University
Estimating heterogeneity in risk preferences from trading data
06.06.2011
Marc Paolella
University of Zurich
Multivariate Asset Return Prediction with Mixture Models
30.05.2011
Heather Anderson
Monash University
Testing for Co-Jumps with High Frequency Financial Data: An Approach based on First-High-Low-Last Prices
23.05.2011
Russ Moro
Brunel University, London
Forecasting Corporate Distress in the Asian and Pacific Region
16.05.2011
Jeroen Rombouts
HEC Montreal
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
09.05.2011
Richard Payne
Cass Business School
Banning Short Sales and Market Quality: The UK’s Experience
11.04.2011
Jörg Rochall
ESMT European School of Management and Technology
Skin in the Game: Evidence from the Online Social Lending Market
17.01.2011
Carsten Trenkler
University of Mannheim
Testing for Codependence of Cointegrated Variables
10.01.2011
Siem Jan Koopman
Tinbergen Institute, Vrije Universiteit Amsterdam
The estimation of time-varying parameters in multivariate linear time series models
29.11.2011
Menelaos Karanasos
Brunel University
Modeling the link between US inflation and output: the importance of the uncertainty channel
22.11.2011
Jakob Madsen
Monash University
Barriers to Economic Growth: Parasitic Diseases, IQ and Economic Development
09.11.2010
Klaus Reiner Schenk-Hoppé
Leeds University Business School
Financial regulation of limit order markets - An evolutionary computation approach
25.10.2010
Christoph Rothe
Toulouse
Analyzing Counterfactual Distributions
30.06.2010
Hollis Skaife
University of Wisconsin-Madision
Information Risk and M&A Deals that go Bust
28.06.2010
Ingmar Nolte
Warwick Business School
Information Content of Alternative Forecasting Densities
28.06.2010
Federico Bandi
Johns Hopkins Carey Business School
Nonparametric Nonstationary Autoregression and Nonparametric Cointegration Regression: Automated Bandwidth Selection
09.06.2010
Dennis Kristensen
Columbia NY
Bandwidth Selection and Bias Corrections for Kernel Estimators of Diffusion Processes
19.05.2010
Peter Reinhard Hansen
Stanford University
Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
03.02.2010
Simone Manganelli
European Central Bank, Frankfurt
Measuring Codependence between Financial Markets usind Multivariate Multi-Quantile CAViaR
01.02.2010
Asger Lunde
University of Aarhus
The Persistence of a Time-Series Measured with Error: An Application with Realized Measures of Volatility
11.01.2010
Winfried Pohlmeier
Universität Konstanz
How risky is the value at risk?
04.01.2010
Giorgio Valente
University of Leicester
Exchange Rate Predictability and Currency Hedge Funds Performance
23.11.2009
Christian Conrad
Universität Heidelberg
On the Transmission of Memory: Inflation Persistence and the Great Moderation
09.11.2009
Ioannis Kasparis
University of Cyprus
Dynamic Misspecification in Nonparametric Cointegrating Regression
16.07.2009
Rodney Strachan
University of Queensland
Bayesian Inference in the Time Varying Cointegration Model
08.07.2009
Andrew Patton
University of Oxford
Does Beta move with News? Systematic Risk and Firm-Specific Information Flows
18.05.2009
Matthias Fengler
Sal. Oppenheim
Explaining the index skew by means of stochastic correlation models
11.05.2009
Thierry Foucault
HEC, School of Management
Liquidity cycles and make-take fees in electronic markets
27.04.2009
Jeremy Large
Oxford-Man Institute of Quantitative Finance
Pro-Rata Matching in One-Tick Markets
20.04.2009
Joachim Grammig
University of Tübingen
International Price Discovery in the Presence of Market Microstructure Effects
09.02.2009
Günther Schulze
University of Freiburg
03.02.2009
Dick J.C. van Dijk
Erasmus University Rotterdam
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
12.01.2009
Jean-Robert Tyran
University of Copenhagen
06.01.2009
Mauro Politis
University of Milan
The Continuous Time Random Walk in High-Frequency Finance
05.01.2009
Helmut Herwartz
Christian-Albrechts-Universität zu Kiel
14.07.2008
David Veredas
Université Libre de Bruxelles
Measuring quote quality in an order driven market: How much is information and how much is noise?
30.06.2008
Christoph Boschan
Börse Berlin, Equiduct Trading
Einführung in den Börsenhandel
25.06.2008
Roel Oomen
Deutsche Bank, London
Realised Quantile-Based Estimation of the Integrated Variance
16.06.2008
Esben Hog
University of Aarhus
Volatility and realized quadratic variation of differenced returns. A wavelet method approach
30.04.2008
Oliver Grothe
Universität zu Köln
Liquidity-Based Estimation of Spot Volatility Under Microstructure Noise
30.04.2008
Mark Podolskij
Inference for quadratic variation of semimartingales in the presence of noise
14.04.2008-
19.04.2008
Øyvind Bøhren
BI Norwegian School of Management
Are owners redundant?
14.04.2008
Thomas Gehrig
Universität Freiburg
Decentralized Screening: Coordination Failure, Multiple Equilibria Cycles
12.02.2008
Ulf Michael Bergman
University of Copenhagen
Sectoral Real Exchange Rate Adjustments in Europe
15.01.2008
Tansel Alp
Goethe-University Frankfurt
A New Multivariate Markov Regime Switching Model of Changes in the Asymptotic
Contemporaneous Dependence between Financial Time Series
07.01.2008
Mark Salmon
University of Warwick
Time Deformation and the Yield Curve
26.11.2007
Dieter Hess
Universität zu Köln
What attracts Market Participants Attention? A Lesson from the Birth of a Sentiment Indicator
12.11.2007
Joachim Inkmann
Tilburg University
How Deep is the Annuity Market Participation Puzzle?
22.10.2007
Anders Rahbek
University of Copenhagen
Estimation and asymptotic inference in the first order AR-ARCH model
27.06.2007
Sébastian Laurent
Université Notre-Dame de la Paix, Namur
Testing for dynamics in the conditional asymmetry: a residual based approach
25.06.2007
Giampiero Gallo
Università di Firenze
Vector Multiplicative Error Models: Representation and Inference
18.06.2007
Luc Bauwens
Université Catholique de Louvain
A component GARCH model with time-varying weights
14.05.2007
Jeffrey Russell
University of Chicago
Microstructure Noise, Realized Volatility and Option Pricing
23.04.2007