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Humboldt-Universität zu Berlin - Statistik

Haindorf Seminar 2016

26.1.-30.1.2016 Hejnice, Czech Republic

Organization and Contact Information

Prof. Dr. Wolfgang Härdle
Petra Burdejová, M.Sc.
Lenka Zboňáková, 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
  lenka.zbonakova@hu-berlin.de


 

Location and Trip Tips


Venue: International Center for Spiritual Rehabilitation
Address: Klasterni 1, 463 62 HEJNICE, Czech Republic
More information about the location


Skiing
(Thursday morning Jan 28th at 08:00)
Ski center Bedřichov

Excursion in church and tomb
Pilgrimage place in Haindorf


Cinema: The Secret in Their Eyes
(Friday evening Jan 29th at 20:00)
IMDB link, Trailer

 

 

 

Participants

 

STAT

 

Wolfgang Härdle

Cathy Chen

Larisa Adamyan

Elisabeth Bommes

Lukas Borke

Petra Burdejová

Shi Chen

Chen Huang

Meng-Jou Lu

Awdesch Melzer

Alla Petukhina

Ya Qian

Simon Trimborn

Niels Wesselhöfft

Xiu Xu

Lenka Zboňáková

Alona Zharova

WIAS

 

Egor Klochkov

Kirill Efimov









 

External

 

Michael Fan
(Xiamen University)

Malgosia Guzowska
(University of Szczecin)

Oliver Linton
(Cambridge)

IRTG visiting students

 

Xiaosai Liao

Xinjue Li

Luhui Lin

Dingshi Tian

 

 

Schedule

 

Day

Time

Speaker

Title

Download
talk

Tuesday
(26.01.2016)

12:30

Arrival

1st Session

Chair: Alla Petukhina

14:30-15:00

Cathy Chen

Opinion herding of Analysts (opening talk)

 

15:00-15:30

L. Lin,
X. Li,
M.-J. Lu,
X. Xu,
P.Burdejová

METIS, BBI, XFG3
and Github usage for teaching SPL, MSM and NIC

 

15:30-16:00

Alona Zharova

Statistical Analysis of Handelsblatt, Google Scholar and RePEc Rankings

 

16:00-16:30

Coffee Break

2nd Session

Chair: Simon Trimborn

16:30-17:00

Xiu Xu

DYFIN - Dynamic Forward Intensity Curves

 

17:00-17:30

Lukas Borke

D3-3D-LSA for QuantNet 2.0 and GitHub

 

17:30-18:00

Dingshi Tian

A Varying-Coefficient Expectile Model

 

18:30-20:00

Dinner

 

Wednesday (27.01.2016)

1st  Session

Chair: Xiu Xu

09:00-09:30

Chen Huang

FASTEC with Expectiles

 

09:30-10:00

Luihui Lin

Disaster Forecast of Stock Price in China

 

10:00-10:30

Meng-Jou Lu

Spectral Risk Measurement

 

10:30-11:00

Coffee Break

2nd Session

Chair: Alona Zharova

11:00-11:30

Awdesch Melzer

Wind Energy Risk Modelling

 

11:30-12:00

Shi Chen

A sparse analysis of energy price forecasting

 

12:00-12:30

Lenka Zboňáková

Time-varying LASSO

 

12:30-14:30

Discussion / Lunch break

3rd Session

Chair: Chen Huang

14:30-15:00

Xinjue Li

Adaptive Penalized Macro-Factors in Bond Risk Excess Premium

 

15:00-15:30

Larisa Adamyan

Adaptive Weights Clustering (part I)

 

15:30-16:00

Kirill Efimov

Adaptive Weights Clustering (part II)

 

16:00-16:30

Coffee Break

4th Session

Chair: Awdesh Melzer

16:30-17:00

Simon Trimborn

CRIX or evaluation blockchain based currencies

 

17:00-17:30

Elisabeth Bommes

Distillation of News Flow into Analysis of Stock Reactions

 

17:30-18:00

Petra Burdejová

DYTEC - Dynamic Tail Event Curves

 

18:30-20:00

Dinner

 

Thursday
(28.01.2016)

8:00-14:00

Sport activities

1st  Session

14:30-16:00

Short course - Prof. Linton

16:00-16:30

Coffee Break

2nd  Session

16:30-18:00

Short course - Prof. Linton

18:30-20:00

Dinner

 

Friday (29.01.2016) 

 

 

1st  Session

Chair: Elisabeth Bommes

09:00-09:30

Michael Fan

Estimating a Large System of Seemingly Unrelated Regressions Using Penalized Quasi-Maximum Likelihood Estimation (opening talk)

 

09:30-10:00

Niels Wesselhöfft

Tail constrained growth-optimum Portfolios: Including non-linear Assets

 

10:00-10:30

Alla Petukhina

TEDAS with τ-spine optimisation

 

10:30-11:00

Coffee Break

2nd Session

Chair: Shi Chen

11:00-11:30

Egor Klochkov

Sieve maximum likelihood estimation in semi-parametric regression with errors in variables

 

11:30-12:00

Xiaosai Liao

Balanced quantile predictive regression

 

12:00-12:30

Ya Qian

Copula-based Fama-French 3-factor Models

 

12:30-14:30

Discussion / Lunch break

3rd  Session

14:30-16:00

Short course - Prof. Linton

16:00-16:30

Coffee Break

4th  Session

16:30-18:00

Short course - Prof. Linton

18:30-20:00

Dinner

 

Saturday
(30.01.2016)

09:00

Departure