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Humboldt-Universität zu Berlin - Statistik

Haindorf Seminar 2014

06.02-09.02 201406.02-09.02 2014, Hejnice, Czech Republic


Organization and Contact Information


Prof. Dr. Wolfgang Härdle
Shih-Kang Chao, M.B.A.
Franziska Schulz, M. Sc.
Humboldt-Universitat zu Berlin
CASE - Center for Applied Statistics and Economics
Wirtschaftswissenschaftliche Fakultat
Spandauer Str. 1
10178 Berlin
 
Tel.: +49 - 30 - 2093 5623+49 - 30 - 2093 5623
Fax: +49 - 30 - 2093 5649
E-Mail: sulzfran@hu-berlin.de
  shih-kang.chao@hu-berlin.de


Location and Trip Tips


Venue: International Center for Spiritual Rehabalitation
Address: Klasterni1 63 62 HEJNICE, Czech Republic

More information about the location

Skiing on the morning of 7 February: Ski center Bedřichov

 

 




Participants

 

 

Statistik

 

Wolfgang Härdle

Weining Wang

Andrija Mihoci

Shih-Kang Chao

Franziska Schulz

Lukas Borke

Thijs Benschop

Sergej Nasekin

Natalia Sirotko-Sibirskaya

Felix Jung

Hien Pham-Thu

Lei Fang

Philipp Gschöpf

Petra Burdejova

WIAS


Andreas Andresen

Nikolay Baldin

Niklas Willrich

Jens Stange

Taras Bodnar






 

MATH

 

Markus Reiß

Moritz Jirak

Sebastian Holtz

Randolf Altmeyer

Jakub Chorowski









 

External


Rainer Schulz

Verity Watson

Katharina Proksch

Malgosia Guzowska

Rong Chen
 




Schedule


 

Day

Time

Speaker

Title

Download
talk

Thursday
(06.02.2014)

14:50-15:00

Wolfgang Härdle

Openning  

1st Session

Chair: Weining Wang

15:00-15:30

Rainer Schulz

Spatial modeling of Aberdeen house prices Download

15:30-16:00

Malgosia Guzowska

Preserving positivity in solutions of discretised stochastic differential equations Download

16:00-16:30

Verity Watson 

Survey responses: the UK mode comparison study Download

16:30-17:00

Coffee Break

2nd Session

Chair: Andrija Mihoci

17:00-17:30

Andrija Mihoci

Adaptive order flow forecasting with multiplicative error models Download

17:30-18:00

Jens Stange

Multiple testing adjustments with copula models Download

18:00-18:30

Franziska Schulz

Probability forcasts of electricity spot prices using residual load Download

19:00-20:00

Dinner

 

Friday
(07.02.2014)

09:00-15:30

Sport Activities

1st Session

Chair: Hien Pham-Thu

15:30-16:00

Taras Bodnar

Estimation of the global minimum variance portfolio in high dimensions Download

16:00-16:30

Hien Pham-Thu Credit risk calibration: quantile regression on credit default swap spreads Download

16:30-17:00

Coffee Break

2nd Session

Chair: Andreas Andresen

17:00-17:30

Moritz Jirak 

Large eigenvalue/function expansions and asymptotic efficiency in functional linear regression Download

17:30-18:00

Lei Fang

Stochastic population analysis: a functional data approach Download

18:00-18:30

Niklas Willrich

Penalized nonparametric maximum likelihood from a finite sample perspective  

19:00-20:00

Dinner

Saturday (08.02.2014)

1st Session

Chair: Moritz Jirak

09:00-09:30

Sebastian Holtz

Estimation of the quadratic covariation matrix from noisy observations: A Cramér-Rao bound in a semiparametric setting Download

09:30-10:00

Nikolay Baldin

Bayesian model selection and the concentration of the posterior of hyperparameters  

10:00-10:30

Randolf Altmeyer

Functional stable limit theorems for estimators of integrated volatility Download

10:30-11:00

Coffee Break

2nd Session

Chair: Jens Stange

11:00-11:45

Shih-Kang Chao & Katharina Proksch

Confidence corridors for multivariate generalized quantile regression Download

11:45-12:05

Natalia Sirotko-Sibirskaya

Nonparametric measure of systemic risk Download

12:00-14:30

Lunch

3rd Session

Chair: Thijs Benschop

14:30-15:00

Lukas Borke

Quantnet basics: visualization, similarity, textmining Download

15:00-15:20

Thijs Benschop

Volatility modeling of CO2 spot and future prices Download

15:20-15:40

Felix Jung

Fund risk and complexity scoring Download

15:40-16:00

Petra Burdejova

Dynamic tail event management in very high dimension Download

16:00-16:30

Coffee Break

4th Session

Chair: Felix Jung

16:30-17:00

Sergej Nasekin

LASSO quantile strategies Download

17:00-17:20

Philipp Gschöpf

Expectiles to estimate expected shortfall Download

 

 

 

 

18:00-19:00

Dinner

 

Sunday
(09.02.2014)

07:00-

Departure