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Humboldt-Universität zu Berlin - Statistik

Haindorf Seminar 2018

23.01. - 27.01.2018 Hejnice, Czech Republic

Organization and Contact Information

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

 

doc. PhDr. Jozef Baruník, Ph.D.
Associate Professor
Department of Macroeconomics and Econometrics
Institute of Economic Studies, Faculty of Social Sciences
Charles University
Opletalova 21
110 00 Prague, Czech Republic
 

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

lenka.zbonakova@hu-berlin.de

junjie.hu@hu-berlin.de

 


 

IRTG Short Course

 

Bryan S. Graham (University of California)

 

 

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 a nearby factory
CiS electronic GmbH

Excursion in church and tomb
Pilgrimage place in Haindorf
 


 

Participants

STAT

 

Wolfgang Härdle

Petra Burdejová

Cathy Chen

Roméo Després

Junjie Hu

Alisa Kolesnikova

Raphael Reule

Weining Wang

Niels Wesselhöfft

Lenka Zboňáková

Alona Zharova

 

IES

 

Jozef Baruník

František Čech

Luboš Hanus

Martin Hronec

Lucie Kraicová

Josef Kurka

Marek Lipan

Matěj Nevrla

Lukáš Vácha

ETRICS

 

Bernd Fitzenberger

Jan Nimczik

 

 

 

 

 

 

 

 

 

 

WIAS

 

Nazar Buzun

Egor Klochkov

Andzhey Koziuk

Alexandra Suvorikova

 

 

 

 

MATH

 

Katerina Papagiannouli

 

 

 

 

 

 

 

 

 

 

 

External

 

Bryan S. Graham
(University of California)

Ricardo Monti
(University College London)

Jan Večeř
(Charles University)

 

Schedule

(PDF)

 

Day

Time

Speaker

Title

Tuesday
(23.01.2017)

12:30

Arrival

1st  Session

14:30-16:00

Short course - Bryan S. Graham (pt. 1)

16:00-16:30

Coffee Break

2nd  Session

16:30-18:00

Short course - Bryan S. Graham (pt. 2)

18:30-20:00

Dinner

 

Wednesday (24.01.2017)

1st  Session

9:00-10:30

Short course - Bryan S. Graham (pt. 3)

10:30-11:00

Coffee Break

2nd  Session, Chair: Alisa Kolesnikova

11:00-11:30

Bernd Fitzenberger

End-of-Year Spending and the Long-Run Employment Effects of Training Programs for the Unemployed

11:30-12:00

Jan Nimczik

Job Mobility Networks and Endogenous Labor Markets

12:00-12:30

Katerina Papagiannouli

Minimax rates of convergence for the covariance in the presence of jumps on finite dimensions

12:30-14:30

Discussion / Lunch Break

3rd  Session

14:30-16:00

Excursion in church and tomb

16:00-16:30

Coffee Break

4th  Session

16:30-17:15

Ricardo Monti

Adaptive regularization for Lasso models in the context of non-stationary data streams

17:15-18:00

Alona Zharova

Is Scientific Performance a Function of Funds?

18:30-20:00

Dinner

 

Thursday
(25.01.2017)

8:00-14:30

Optional activities

1st  Session, Chair: Luboš Hanus

14:30-15:00

Jan Večeř

Construction and Properties of Max Volatility Portfolio

15:00-15:30

Weining Wang

Inference for high dimensional sparse equation in time and space

15:30-16:00

Alexandra Suvorikova

Gaussian process forecast with multidimensional distributional input

16:00-16:30

Coffee Break

2nd  Session, Chair: František Čech

16:30-17:00

Jozef Baruník

A tale of sentiment driven tail events: A dynamic quantile model for asset pricing with sentiment

17:00-17:30

Junjie Hu

Influence of news on stock social media

17:30-18:00

Lukáš Vácha

Do co-jumps impact correlations in currency markets? Time-scale decomposition of quadratic covariation

18:30-20:00

Dinner

 

Friday (26.01.2017) 

 

 

1st  Session, Chair: Alexandra Suvorikova

09:00-09:30

Alisa Kolesnikova

VCRIX

09:30-10:00

Raphael Reule

What are Cryptocurrencies?

10:00-10:30

Roméo Després

Cryptocurrency-specific lexicon and sentiment projection

10:30-11:00

Niels Wesselhöfft

Growth-optimal Crypto-investments

11:00-11:30

Coffee Break

2nd  Session, Chair: Petra Burdejová

11:30-12:00

Matěj Nevrla

Asset pricing in the quantile-frequency domain

12:00-12:30

František Čech

On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model

12:30-13:00

Luboš Hanus

Time-frequency response analysis of monetary policy transmission

13:00-15:00

Discussion / Lunch Break

3rd  Session, Chair: Raphael Reule

15:00-15:30

Nazar Buzun

TBA

15:30-16:00

Andzhey Koziuk

Gaussian comparison on a family of Eucledian balls

16:00-16:30

Egor Klochkov

Exponential inequalities for quantiles regression

16:30-17:00

Coffee break

Short Talks Session, Chair: Alona Zharova

17:00-17:15

Ricardo Monti
&
Lenka Zboňáková

Dynamic networks with adaptive sparsity

17:15-17:30

Martin Hronec

Portfolio diversification in the spectral domain

17:30-17:45

Josef Kurka

Does skewness and kurtosis predit cross section of stock returns in the long run?

17:45-18:00

Lucie Kraicová

Common cycles in volatility and cross section of stock returns

18:30-20:00

Dinner

 

Saturday
(27.01.2017)

09:00

Departure