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Humboldt-Universität zu Berlin - Statistik

Haindorf Seminar 2017

24.01. - 28.01.2017 Hejnice, Czech Republic

Organization and Contact Information

Prof. Dr. Wolfgang Härdle
Lenka Zboňáková, M.Sc.
Linxi Wang, M.Sc.
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Ladislaus von Bortkiewicz Chair of Statistics
Spandauer Str. 1
10178 Berlin

 
Tel.: +49 - 30 - 2093 5623
Fax: +49 - 30 - 2093 5649
E-Mail:

lenka.zbonakova@hu-berlin.de
wanglinx@hu-berlin.de


 

Location and Trip Tips

 

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

Skiing
Ski Centre Bedřichov

Excursion in church and tomb
Pilgrimage place in Haindorf

Science Centre Liberec
iQLANDIA

Cinema: Resident Evil - The Final Chapter
(Friday evening Jan 27 at 20:00)
IMDB link, Trailer


 

Participants

STAT

 

Wolfgang Härdle

Weining Wang

Cathy Chen

Lusiné Nazaretyan

Ya Qian

Simon Trimborn

Niels Wesselhöfft

Xiu Xu

Lenka Zboňáková

Alona Zharova

 

IRTG visiting students

 

Mingyang Li

WIAS

 

Larisa Adamyan

Nazar Buzun

Kirill Efimov

Egor Klochkov

Andzhey Koziuk

Alexandra Suvorikova

 

 

 

 

MATH

 

Sebastian Holtz

Katerina Papagiannouli

External

 

Jozef Baruník
(Charles University in Prague)

Shu-Ling Chen
(National Taipei University)

Victor Chernozhukov
(Massachusetts Institute of Technology)

František Čech
(Charles University in Prague)

Luboš Hanus
(Charles University in Prague)

Zdeněk Hlávka
(Charles University in Prague)

Kun-Ho Kim
(Hanyang University)

Tomáš Křehlík
(Charles University in Prague)

Hung-Yi Lee
(National Taiwan University)

Matěj Nevrla
(Charles University in Prague)

Lukáš Vácha
(Charles University in Prague)

Jan Večeř
(Charles University in Prague)

 

Schedule

(PDF)

 

Day

Time

Speaker

Title

Download
talk

Tuesday
(24.01.2017)

12:30

Arrival

1st  Session

14:30-16:00

Short course - Prof. Lee (pt. 1)

16:00-16:30

Coffee Break

2nd  Session

16:30-18:00

Short course - Prof. Lee (pt. 2)

18:30-20:00

Dinner

 

Wednesday (25.01.2017)

1st  Session

9:00-10:30

Short course - Prof. Lee (pt. 3)

10:30-11:00

Coffee Break

2nd  Session, Chair: Linxi Wang

11:00-11:30

Jan Večeř

Maximum Return Portfolio

 

11:30-12:00

Katerina Papagiannouli

Optimal Rates of Convergence for Cointegrated Volatility

 

12:00-12:30

Sebastian Holtz

Covariation Estimation from Noisy Observations: Equivalence, Efficiency and Estimation

 

12:30-14:30

Discussion / Lunch Break

3rd  Session

14:30-16:00

Short course - Prof. Chernozhukov (pt. 1)

16:00-16:30

Coffee Break

4th  Session

16:30-18:00

Short course - Prof. Chernozhukov (pt. 2)

18:30-20:00

Dinner

 

Thursday
(26.01.2017)

8:00-14:00

Optional activities

1st  Session, Chair: Larisa Adamyan

14:30-15:00

Shu-Ling Chen

Modeling Temperature Dynamics for Aquaculture Index Insurance in Taiwan

 

15:00-15:30

Alexandra Suvorikova

Contruction of Confidence Sets in 2-Wasserstein Space

 

15:30-16:00

Mingyang Li

Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach

 

16:00-16:30

Coffee Break

2nd  Session, Chair: Xiu Xu

16:30-17:00

Jozef Baruník

Quantile Coherency: A General Measure of Dependence between Economic Variables

 

17:00-17:30

Alona Zharova

A Multivariate Dynamic Analysis of Third-Party Funds

 

17:30-18:00

Andzhey Koziuk

Bootstrap for the Regression Problem with Instrumental Variables

 

18:30-20:00

Dinner

 

Friday (27.01.2017) 

 

 

1st  Session, Chair: Lusiné Nazaretyan

09:00-09:30

Weining Wang

Network Quantile Autoregression

 

09:30-10:00

Kirill Efimov

Adaptive Weights Clustering (AWC)

 

10:00-10:30

Larisa Adamyan 

Clustering SFB Abstracts

 

10:30-11:00

Coffee Break

2nd  Session, Chair: Simon Trimborn

11:00-11:30

Niels Wesselhöfft

Estimating Risk Measures by High-Frequency Data under Alpha-Stable Laws

 

11:30-12:00

Lenka Zboňáková

Penalized Adaptive Method

 

12:00-12:30

Ya Qian

Industry with Dependency Dynamics in a Network Context

 

12:30-14:30

Discussion / Lunch Break

3rd  Session, Chair: Mingyang Li

14:30-15:00

Kun Ho Kim

Forward Premium Anomaly: New Insight through Time-Varying-Parameter Approach

 

15:00-15:30

Lusiné Nazaretyan

Dynamic Topic Modelling

 

15:30-16:00

Nazar Buzun

Bootstrap for Multiple Hypothesis Testing

 

16:00-16:30

Coffee break

4th  Session, Chair: Ya Qian

16:30-17:00

Egor Klochkov

Sieve Semiparametric Estimation in Error-in-Variables Regression Model

 

17:00-17:30

Simon Trimborn

Sparse Adjacency Matrix for NAR Models

 

17:30-18:00

Xiu Xu

Default Intensities in a Network Perspective

 

18:30-20:00

Dinner

 

Saturday
(28.01.2017)

09:00

Departure