Haindorf Seminar 2015
27.01.-31.01.2015 Hejnice, Czech Republic
Organization and Contact Information
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Prof. Dr. Wolfgang Härdle Petra Burdejova, M.Sc. Thijs Benschop, M.Sc. Humboldt-Universität zu Berlin Wirtschaftswissenschaftliche Fakultät Ladislaus von Bortkiewicz Chair of Statistics Spandauer Str. 1 10178 Berlin |
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| Tel.: |
+49 - 30 - 2093 5721 |
| Fax: | +49 - 30 - 2093 5649 |
| E-Mail: | petra.burdejova@hu-berlin.de |
| thijs.benschop@hu-berlin.de | |
Location and Trip Tips
Venue: International Center for Spiritual Rehabalitation
Address: Klasterni 1 463 62 HEJNICE, Czech Republic
More information about the location
Skiing
(Thursday morning Jan 29th at 8:00)
Ski center Bedřichov
Excursion in church and tomb
(Thursday morning Jan 29th at 09:30, cca 60min)
Pilgrimage place in Haindorf
Cinema: The Imitation Game
(Friday evening Jan 30th at 20:00)
IMDB link, Trailer
Participants
STAT
Wolfgang Härdle Thijs Benschop Lukas Borke Elisabeth Bommes Petra Burdejová Shi Chen Lei Fang Philipp Gschöpf Chen Huang Meng Jou Lu Sergey Nasekin Alla Petukhina Simon Trimborn Lining Yu Alona Zharova |
WIAS
Andreas Andresen Alexandra Suvorikova Niklas Willrich Mayya Zhilova
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MATH
Randolf Altmeyer Jakub Chorowski Sebastian Holtz Katerina Papagiannouli
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External
Elżbieta Babula
Ljudmila A. Bordag
Malgosia Guzowska
Zdeněk Hlávka
Juhyun Park
Yun-Cheng Tsai
Ivan Yamshchikov
Qiwei Yao
IRTG visiting students
Zhiwu Hong Qiuhua Xu Xiu Xu Yuan Yang Chuanhai Zhang |
Slides short course Prof. Yao
Schedule
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Day |
Time |
Speaker |
Title |
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Tuesday |
1st Session |
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14:30 |
Opening |
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14:30-16:00 |
Short course Yao Modelling vector time series: VARMA and cointegration |
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16:00-16:30 |
Coffee Break |
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2nd Session |
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16:30-18:00 |
Short course Yao Modelling vector time series: VARMA and cointegration |
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18:30-20:00 |
Dinner |
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Wednesday |
1st Session |
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09:00-10:30 |
Short course Yao Modelling high-dimensional time series: dimension reduction |
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10:30-11:00 |
Coffee Break |
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2nd Session |
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11:00-12:30 |
Short course Yao Modelling high-dimensional time series: dimension reduction |
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12:30-14:30 |
Lunch |
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3rd Session |
Chair: Thijs Benschop |
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14:30-15:00 |
Juhyun Park |
On functional data analysis for 3 dimensional curves |
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15:00-15:30 |
Malgosia Guzowska |
Calculus of variations on time scales: some economics applications |
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15:30-16:00 |
Andreas Andresen |
Finite Sample Analysis of M-Estimators
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16:00-16:40 |
Coffee Break |
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4th Session |
Chair: Jakub Chorowski |
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16:40-17:00 |
Sebastian Holtz |
Semi-parametric efficiency for estimating the integrated covariation matrix from noisy observations |
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17:00-17:20 |
Randolf Altmeyer |
Covariance estimation with random matrix theory |
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17:20-17:40 |
Elżbieta Babula |
The model estimation vs the empirical findings: reflections on the choice theory under risk |
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17:40-18:00 |
Meng Jou Lu |
Conditional Factor Copulae in Credit Risk Analysis |
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18:00-18:20 |
Thijs Benschop |
Realized volatility of CO2 futures |
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19:00-20:00 |
Dinner |
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Thursday |
08:00-14:00 |
Sport Activities (8:00) / Excursion (9:30) |
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1st Session |
Chair: Petra Burdejová |
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14:30-15:00 |
Ljudmila A. Bordag |
Portfolio optimization in the case of asset with a given liquidation time distribution |
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15:00-15:20 |
Ivan Yamshchikov |
Statistical prediction of stable internet behavior patterns |
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15:20-15:40 |
Mayya Zhilova |
Likelihood-based bootstrap confidence sets for misspecified models |
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15:40-16:00 |
Jakub Chorowski |
Spectral estimation of the volatility coefficient of a scalar diffusion |
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16:00-16:30 |
Coffee Break |
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2nd Session |
Chair: Randolf Altmeyer |
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16:30-16:50 |
Alexandra Suvorikova |
Local Change-Point Detection |
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16:50-17:10 |
Niklas Willrich |
A calibrated Lepski's method by propagation |
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17:10-17:30 |
Lei Fang |
Mortality model for two related populations: a semiparametric comparison approach |
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17:30-17:50 |
Lukas Borke |
Q3-D3-LSA |
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17:50-18:10 |
Philipp Gschöpf |
Parameter Estimation for Mixture Densities with the Expectation Maximization Algorithm |
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19:00-20:00 |
Dinner |
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Friday (30.01.2015) |
1st Session |
Chair: Sebastian Holtz |
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09:00-09:30 |
Wolfgang Härdle & Elisabeth Bommes |
Distillation of News Flow into Analysis of Stock Reactions |
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09:30-09:50 |
Shi Chen |
Joint modeling of inflation expectation dynamics over European countries |
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09:50-10:10 |
Alona Zharova |
Academic Rankings with Handelsblatt, Google Scholar and RePEc |
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10:10-10:30 |
Chen Huang |
Recovering Copulae from Conditional Quantiles |
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10:30-11:00 |
Coffee Break |
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2nd Session |
Chair: Philipp Gschöpf |
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11:00-11:20 |
Yun-Cheng Tsai |
Optimization of MAVE algorithm |
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11:20-11:40 |
Katerina Papagiannouli |
A remark on the rate of convergence of the co-volatility estimation in the presence of jumps |
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11:40-12:00 |
Sergey Nasekin |
TEDAS - tail event driven asset allocation |
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12:00-12:20 |
Alla Petukhina |
Tail Event Driven Asset Allocation: evidence from equity and mutual funds’ markets |
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12:20-14:20 |
Lunch |
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3rd Session |
Chair: Lei Fang |
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14:20-14:40 |
Zhiwu Hong |
Local Volatility of Leveraged ETF Options |
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14:40-15:00 |
Qiuhua Xu |
Partially varying coefficients panel data models with cross-sectional dependence |
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15:00-15:20 |
Xiu Xu |
Localized Conditional Autoregressive Expectile Model |
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15:20-15:40 |
Yuan Yang |
An efficient auxiliary particle filter for nonlinear DSGE models |
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15:40-16:00 |
Chuanhai Zhang |
Threshold Pre-averaging based multipower variation estimation |
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16:00-16:40 |
Coffee Break |
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4th Session |
Chair: Alla Petukhina |
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16:40-17:00 |
Lining Yu |
Dynamic Quantile Factor Models |
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17:00-17:20 |
Petra Burdejova |
DYTEC - DYnamic Tail Event Curves and its applications |
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17:20-17:40 |
Simon Trimborn |
Towards Cryptocurrency Index |
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18:00-20:00 |
Dinner |
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Saturday |
09:00- |
Departure |
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