Day
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Time
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Speaker Title
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Download talk
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Monday (06.10.2014)
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1st Session
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09:00-09:30
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Registration
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09:30-09:45
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Welcome
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09:45-10:30
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Jin-Chuan Duan CDS Pricing via Forward Intensities.
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10:30-11:00
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Coffee Break
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2nd Session
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11:00-11:25
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Andrija Mihoci Cross Country Evidence for the Empirical Pricing Kernel Puzzle
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11:25-11:45
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Sergey Nasekin TEDAS-Tail Event ASset Allocation
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11:45-12:30
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Eric Hillebrand Supervision in Dynamic Factor Models
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12:30-14:00
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Lunch
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3rd Session
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14:00-14:45
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Ostap Okhrin Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models
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14:45-15:30
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Gustavo Dias Assessing risk premium over time: inference on GARCH-in-mean models with time-varying coefficients
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15:30-16:00
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Coffee Break
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4th Session
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16:00-16:20
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Sebastian Holtz Local asymptotic normality for covariation estimation
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16:20-16:40
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Qiuhua Xu Estimation of Varying-coefficient Heterogeneous Panel Data Models with Cross-sectional Dependence.
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16:40-17:00
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XIU XU Economic forecast for transition economy with local adaptive method
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17:00-17:20
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Thijs Benschop Volatility in CO2 markets
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18:00
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Dinner
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Tuesday (07.10.2014)
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1st Session
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09:45-10:30
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Christoph Breuning Semi/Nonparametric Estimation in case of Endogenous Selection
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10:30-11:00
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Coffee Break
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2nd Session
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11:00-11:45
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Kailing Shen Employers’ Age and Gender Preferences: Direct Evidence from Four Job Boards
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11:45-12:30
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Michael Burda & Daniel Neuhoff Patience, habit persistence, depreciation: Assessing macro models using Bayesian methods
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12:30-14:00
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Lunch
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3rd Session
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14:00-14:45
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Wei Wei Generalised Schwartz Models for Energy Spot Prices
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14:45-15:30
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Shih-Kang Chao Nuclear Norm Penalized Large Quantile Regression
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15:30-16:00
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Coffee Break
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4th Session
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16:00-16:45
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Weining Wang Discontinuous Dynamic Semiparametric Factor models
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16:45-17:05
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Yuan Yang Multiple-try Metropolis algorithm for estimating nonlinear DSGE models
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17:05-17:25
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Alexandra Suvorikova Change point detection under parametric model misspecification
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Wednesday (08.10.2014)
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1st Session
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09:45-10:30
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Wolfgang K. Härdle TEDRIS - Tail Event Driven RISk structures
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10:30-11:00
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Coffee Break
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2nd Session
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11:00-11:45
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Yu Ren A Semiparametric Conditional Capital Asset Pricing Model
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11:45-12:30
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Anders Kock Oracle Inequalities and Inference in High-Dimensional Dynamic Panel Data Models
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12:30-14:00
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Lunch
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3rd Session
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14:00-14:20
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Chuanhai Zhang Does index futures trading reduce stock market jump risk
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14:20-14:40
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Natalia Sirotko-Sibirskaya TENET: Tail-Event driven NETwork Risk
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14:40-15:00
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Zhiwu Hong Euro-area yield curve exploration during crises: An arbitrage-free Nelson-Siegel term structure model
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15:00-15:20
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Philipp Gschöpf TERES - Tail Event Risk Expected Shortfall
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