Humboldt-Universität zu Berlin >> School of Business and Economics


CRC 649 "Economic Risk" Conference in Motzen 10.07.2014 - 12.07.2014

The current program of the convention can be found here ().

Workshop 45 minutes presentation, 15 minutes discussion, Q&A


Thursday, 10. July 2014

13:15 - 14:00


Room A (Brandenburg)     Room B (Potsdam)

14:00 - 15:00

Start of the conference in the plenum
Wolfgang Härdle / Michael Burda   Welcome by CRC Coordinators

CRC 649 (Alona Zharova)
RDC (Rainer Voß, Lukas Borke) News from CRC 649 Office and RDC

Steffen Ahrens (C10)  "Berlin Macro Network"

15:00 - 16:00

Plenum Lecture

Wolfgang Härdle, Michael Burda

"TEDRIS - Tail Event Driven RIsk Structures"

Discussant: Nikolaus Wolf (B3)

Daniel Neuhoff (C7)

"Bayesian Estimation of Autoregressive Moving-Average Processes
as Exogenous Shock Processes in DSGE Models"

Discussant: Steffen Ahrens (C10)

16:00 - 16:30

Coffee break (Foyer)


Room A (Brandenburg)

Room B (Potsdam)

Room C (Berlin)

16:30 - 17:30

Ostap Okhrin (B10)

"Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models"

Discussant: Dieter Nautz (C14)

Markus Bibinger & Randolf Altmeyer (C12)

"Common price and volatility jumps in noisy high-frequency data"

Discussant: Mengmeng Guo (Gast)

Alex Stomper (A15)

"Training the Doubtful and Timid"

Discussant: Hien Pham-Thu (Z)

17:30 - 19:30

Sports activities

Swimming, football, etc. (Andrija Mihoci)

from 20:00

Dinner (Buffet)



Friday, 11. July 2014

from 6:30

Breakfast (Restaurant)

10:00 - 11:00

Lukas Borke (RDC)

"Quantnet basics: visualization, similarity, textmining"

Discussant: Michael Burda (C7)

Mayya Zhilova (B5)

"Non-asymptotic confidence bounds via multiplier bootstrap"

Discussant: Daniel Neuhoff (C7)

Felix Jung (B1)

"Predicting default - a dynamic Nelson-Siegel
approach to forward intensities"

Discussant: Randolf Altmeyer (12)

11:00 - 11:30

Coffee break (Foyer)

11:30 - 12:30

Cathy Chen (Gast)

"Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates"

Discussant: George Milunovich (Gast)

Raphael Schöttler (B3)

"Reunification and the Real Estate Market"

Discussant: Martin Odening (C11)

Nooshin Nejati (Philipp Pfeiffer, Steffen Ahrens) (C10)
"Firing Taxes, Unemployment Insurance and Aggregate Fluctuations: The Role of Monetary Policy"

Discussant: Lars Winkelmann (C14)

12:30 - 14:00

Lunch (Restaurant)

14:00 - 15:00

Dietmar Fehr (A6)

"Talking about others: Gossip as a means to increase trust and cooperation"

Discussant: Markus Reiß (C12)

Frank Heinemann (C10)

"Central Bank Reputation, Transparency and Cheap Talk as
Substitutes for Commitment: Experimental Evidence"

Discussant: Dorothea Kübler (A6)

Alexander Meyer-Gohde (C7)

"Risk Adjusted Linear Approximations: Long Run Risk In Risk- Sensitive Real Business Cycle Models"

Discussant: Jens Kolbe (B3)

15:00 - 15:30

Coffee break (Foyer)

15:30 - 16:30

Jin-Lung Henry Lin (Gast)

"Comparisons of Forecasting Methods with Many Predictors"

Discussant: Lei Fang (IRTG)

Li Ma (A13)

"Mutual funds' credit default swap strategies"

Discussant: Vladimir Spokoiny (B5)

Petra Burdejova (B1)

"DYTEC - DYnamic Tail Event Curves"

Discussant: Matthias Ritter (C11)

16:30 - 17:30

Aleksei Netsunajev (C15)

"Is There a Technology Shock? Confronting Sign Restrictions with the Properties of the Data"

Discussant: Axel Werwatz (B3)

Franziska Schulz (C11)

"The impact of renewable energy production on tail events of electricity spot price indices"

Discussant: Cathy Chen (Gast)

Piotr Majer (Wolfgang Härdle, Hauke Heekeren) (B1)

"Portfolio Decisions and Brain Reactions via the CEAD method"

Discussant: Helmut Lütkepohl (C15)

17:30 - 19:30

Sports activities

Swimming, football, etc. (Andrija Mihoci)

from 19:30

Dinner (Barbecue buffet on the terrace)



Saturday, 12. July 2014

from 6:30

Breakfast (Restaurant)

10:00 - 11:00

Tsung-Chi Cheng (George) (Gast)

"Robust diagnostics for count regression models"

Discussant: Philipp Pfeiffer (C10)

Weining Wang (Z)

"Hidden Markov structures for dynamic copulae"

Discussant: Andrija Mihoci (B1)

Simon Voigts (C7)

"The design of the funding scheme of social security systems and its role in macroeconomic stabilization"

Discussant: Alexander Ristig (B10)

11:00 - 11:45

Mentoring session

"Further development in science"

(including coffee)

Post-Docs: Alexander Meyer-Gohde (C7), Markus Bibinger (C12), Andrija Mihoci (B1), Weining Wang (Z)

Meeting of CRC project leaders

(including coffee)

Project leaders