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Humboldt-Universität zu Berlin - Statistik

Haindorf Seminar 2015

27.01.-31.01.2015 Hejnice, Czech Republic

Organization and Contact Information


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
 
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






 

MATH

 

Randolf Altmeyer

Jakub Chorowski

Sebastian Holtz

Katerina Papagiannouli









 

External

 

Elżbieta Babula
(University of Gdansk)

Ljudmila A. Bordag
(Hochschule Zittau/Görlitz)

Malgosia Guzowska
(University of Szczecin)

Zdeněk Hlávka
(Charles University in Prague)

Juhyun Park
(Lancaster University)

Yun-Cheng Tsai
(National Taiwan University)

Ivan Yamshchikov
(Hochschule Zittau/Görlitz)

Qiwei Yao
(London School of Economics)

 

IRTG visiting students

 

Zhiwu Hong

Qiuhua Xu

Xiu Xu

Yuan Yang

Chuanhai Zhang


 

Slides short course Prof. Yao

Download slides 1

Download slides 2

Download slides 3

Download slides 4

Schedule

Day

Time

Speaker

Title

Download
talk

Tuesday
(27.01.2015)

1st  Session

14:30

Opening

14:30-16:00

Short course Yao

Modelling vector time series: VARMA and cointegration

16:00-16:30

Coffee Break

2nd  Session

16:30-18:00

Short course Yao

Modelling vector time series: VARMA and cointegration

18:30-20:00

Dinner

 

Wednesday
(28.01.2015)

1st  Session

09:00-10:30

Short course Yao

Modelling high-dimensional time series: dimension reduction

10:30-11:00

Coffee Break

2nd  Session

11:00-12:30

Short course Yao

Modelling high-dimensional time series: dimension reduction

12:30-14:30

Lunch

3rd  Session

Chair: Thijs Benschop

14:30-15:00

Juhyun Park

On functional data analysis for 3 dimensional curves

Download

15:00-15:30

Malgosia Guzowska

Calculus of variations on time scales: some economics applications

Download

15:00-15:30

Moritz Jirak

Uniform change point test

 

15:30-16:00

Andreas Andresen

Finite Sample Analysis of M-Estimators

 

Download

16:00-16:40

Coffee Break

4th  Session

Chair: Jakub Chorowski

16:40-17:00

Sebastian Holtz

Semi-parametric efficiency for estimating the integrated covariation matrix from noisy observations

Download

17:00-17:20

Randolf Altmeyer

Covariance estimation with random matrix theory

Download

17:20-17:40

Elżbieta Babula

The model estimation vs the empirical findings: reflections on the choice theory under risk

Download

17:40-18:00

Meng Jou Lu

Conditional Factor Copulae in Credit Risk Analysis

Download

18:00-18:20

Thijs Benschop

Realized volatility of CO2 futures

Download

19:00-20:00

Dinner

 

Thursday
(29.01.2015)

08:00-14:00

Sport Activities (8:00) / Excursion (9:30)

1st Session

Chair: Petra Burdejová

14:30-15:00

Ljudmila A. Bordag

Portfolio optimization in the case of asset with a given liquidation time distribution

Download

15:00-15:20

Ivan Yamshchikov

Statistical prediction of stable internet behavior patterns

Download

15:20-15:40

Mayya Zhilova

Likelihood-based bootstrap confidence sets for misspecified models

Download

15:40-16:00

Jakub Chorowski

Spectral estimation of the volatility coefficient of a scalar diffusion

Download

16:00-16:30

Coffee Break

2nd Session

Chair: Randolf Altmeyer

16:30-16:50

Alexandra Suvorikova

Local Change-Point Detection

Download

16:50-17:10

Niklas Willrich

A calibrated Lepski's method by propagation

Download

17:10-17:30

Lei Fang

Mortality model for two related populations: a semiparametric comparison approach

Download

17:30-17:50

Lukas Borke

Q3-D3-LSA

Download

17:50-18:10

Philipp Gschöpf

Parameter Estimation for Mixture Densities with the Expectation Maximization Algorithm

Download

19:00-20:00

Dinner

 

Friday (30.01.2015)

1st  Session

Chair: Sebastian Holtz

09:00-09:30

Wolfgang Härdle & Elisabeth Bommes

Distillation of News Flow into Analysis of Stock Reactions

Download

09:30-09:50

Shi Chen

Joint modeling of inflation expectation dynamics over European countries

Download

09:50-10:10

Alona Zharova

Academic Rankings with Handelsblatt, Google Scholar and RePEc

Download

10:10-10:30

Chen Huang

Recovering Copulae from Conditional Quantiles

Download

10:30-11:00

Coffee Break

2nd Session

Chair: Philipp Gschöpf

11:00-11:20

Yun-Cheng Tsai

Optimization of MAVE algorithm

Download

11:20-11:40

Katerina Papagiannouli

A remark on the rate of convergence of the co-volatility estimation in the presence of jumps

Download

11:40-12:00

Sergey Nasekin

TEDAS - tail event driven asset allocation

Download

12:00-12:20

Alla Petukhina

Tail Event Driven Asset Allocation: evidence from equity and mutual funds’ markets

Download

12:20-14:20

Lunch

3rd Session

Chair: Lei Fang

14:20-14:40

Zhiwu Hong

Local Volatility of Leveraged ETF Options

Download

14:40-15:00

Qiuhua Xu

Partially varying coefficients panel data models with cross-sectional dependence

Download

15:00-15:20

Xiu Xu

Localized Conditional Autoregressive Expectile Model

Download

15:20-15:40

Yuan Yang

An efficient auxiliary particle filter for nonlinear DSGE models

Download

15:40-16:00

Chuanhai Zhang

Threshold Pre-averaging based multipower variation estimation

Download

16:00-16:40

Coffee Break

4th Session

Chair: Alla Petukhina

16:40-17:00

Lining Yu

Dynamic Quantile Factor Models

Download

17:00-17:20

Petra Burdejova

DYTEC - DYnamic Tail Event Curves and its applications

Download

17:20-17:40

Simon Trimborn

Towards Cryptocurrency Index

Download

18:00-20:00

Dinner

 

Saturday
(31.01.2015)

09:00-

Departure