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Humboldt-Universität zu Berlin - Statistik

Haindorf Seminar 2010

February 11 - 14, 2010
Hejnice, Czech Republic


Organization and Contact Information


Prof. Dr. Wolfgang Härdle
Priv.-Doz. Dr. Krätschmer, Volker
Axel Groß-Klußmann, M. Sc.

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


Location and Trip Tips



Klasterni1
63 62 HEJNICE
Czech Republic



More information about the location

More information about the last Haindorf Seminar in February 2009


Participants

Statistics


Wolfgang Härdle




Barbara Choros
E. Akdeniz Duran
Lasse Groth
Mengmeng Guo
Linda Hoffmann
Andrija Mihoci
Maria Osipenko
Elena Silyakova
Stephan Stahlschmidt
Weining Wang

WIAS


Denis Belomestny
Volker Krätschmer
Vladimir Spokoiny


Vladimir Panov

Econometrics


Bernd Droge
Nikolaus Hautsch



Axel Groß-Klussmann
Ruihong Huang
Lada Kyj
Peter Malec
Tomas Polak
Julia Schaumburg
Franziska Schulze
Fuyu Yang

External


Markus Reiß




Markus Bibinger
Mstislav Elagin
Jacob Söhl





Schedule


Day

Time

Speaker

Title

Download
talk

Thursday
(11.02.2010)

14:00-15:30

M. Reiss

Why is Volatility Estimation Under Microstructure Noise So Difficult?

pdf-icon

15:30-16:00

Coffee Break

1st Session

Chair: J. Schaumburg

16:00-16:30

A. Mihoci

Locally Adaptive Multiplicative Error Models

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16:30-17:00

M. Elagin

Market Monitoring Using Structure Adaptive Methods

pdf-icon

17:00-17:30

B. Choros

Understanding the Risk of CDOs

pdf-icon

17:30-18:00

Coffee Break

2nd Session

Chair: V. Panov

18:00-18:30

L. Groth & M. Guo

Adaptive Interest Rate Modeling

pdf-icon

18:30-19:00

W. Wang

Localizing Temperature Residuals

pdf-icon

19:00-20:00

Dinner

 

Friday
(12.02.2010)

09:00-15:30

Sport Activities

1st Session

Chair: M. Osipenko

15:30-16:00

A. Groß-Klußmann

Density Forecasts of The Bid Asks Spreads

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16:00-16:30

F. Yang

Bayesian Estimation and Forecasting of A Stochastic Volatility Model

pdf-icon

16:30-17:00

Coffee Break

2nd Session

Chair: A. Groß-Klußmann

17:00-17:30

J. Söhl

Asymptotic Normality in Exponential Levy Models

pdf-icon

17:30-18:00

M. Osipenko

Risk Premium on Temperature and Functional PCA for Temperature Variation

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18:00-18:30

M. Bibinger

Estimating the Quadratic Covariation of Asynchronously Observed Ito Processes Under Microstructure Noise

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19:00-20:00

Dinner

 

Saturday (13.02.2010)

1st Session

Chair: M. Guo

09:00-09:30

F. Schulze

Spatial Dependencies in German Labor Markets

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09:30-10:00

S. Stahlschmidt

Graphical Models and Markov Plankets

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10:00-10:30

J. Schaumburg

Conditional Value at Risk

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10:30-11:00

Coffee Break

2nd Session

Chair: A. Mihoci

11:00-11:30

E. A. Duran

Confidence Bands for Partial Linear Expectile Regression

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11:30-12:00

L. Kyj

Forcasting High Dimensional Covariance Matrices

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12:00-13:30

Lunch

3rd Session

Chair: T. Polak

13:30-14:00

E. Silyakova

Genetics and/of Basket Options

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14:00-14:30

R. Huang

Gaussian Process Modeling with Financial Market Data

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14:30-15:00

V. Panov

Non-Gaussian Component Classification with Applications to American Option Pricing

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15:00-15:30

Coffee Break

4th Session

Chair: F. Schulze

15:30-16:00

L. Hoffmann

Dynamic SVM and Credit Risk

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16:30:17:00

P. Malec

A Zero-Augmented MEM

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17:00-17:30

T. Polak

Combination of Forecasts

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18:00-19:30

Dinner

19:30-21:00

Scheduling of Summer Term 2010

 

Sunday
(14.02.2010)

10:00-11:00

Departure


Download the schedulepdf-icon