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::: Humboldt-Aarhus-Xiamen Workshop 2014
 

 

Humboldt-Aarhus-Xiamen (HAX) Workshop 2014

06.10-08.10 2014


 

Organization and Contact Information

Wolfgang Härdle
Thijs Benschop
Lei Fang
Philipp Gschöpf
Sebastian Holtz
Sergey Nasekin
Natalia Sirotko-Sibirskaya
Alexandra Suvorikova

Humboldt-Universität zu Berlin
Ladislaus von Bortkiewicz Lehrstuhl für Statistik
Wirtschaftswissenschaftliche Fakultät
Spandauer Str. 1
10178 Berlin
 
Tel.: +49 - 30 - 2093 1471
Fax: +49 - 30 - 2093 5649
E-Mail: Philipp Gschöpf
irtg1792.wiwi@hu-berlin.de


Location

 

Rechtswissenschaftliche Fakultät

Bebelplatz 2, 10117 Berlin

Room E25

Germany


Preliminary Schedule

Day

Time

Speaker
Title

Download
talk

Monday
(06.10.2014)

1st Session

 

09:00-09:30

Registration

09:30-09:45

Welcome

09:45-10:30

Jin-Chuan Duan
CDS Pricing via Forward Intensities.

 

10:30-11:00

Coffee Break

2nd Session

 

11:00-11:25

Andrija Mihoci
Cross Country Evidence for the Empirical Pricing Kernel Puzzle

 

11:25-11:45

 Sergey Nasekin
TEDAS-Tail Event ASset Allocation

 

11:45-12:30

Eric Hillebrand
Supervision in Dynamic Factor Models

 

12:30-14:00

Lunch

3rd Session

 

14:00-14:45

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

 

14:45-15:30

Gustavo Dias
Assessing risk premium over time: inference on GARCH-in-mean models with time-varying coefficients

 

15:30-16:00

Coffee Break

4th Session

 

16:00-16:20

Sebastian Holtz
Local asymptotic normality for covariation estimation

 

16:20-16:40

Qiuhua Xu
Estimation of Varying-coefficient Heterogeneous Panel Data Models with Cross-sectional Dependence.

 

 16:40-17:00

 XIU XU
Economic forecast for transition economy with local adaptive method

 

 17:00-17:20

 Thijs Benschop
Volatility in CO2 markets

18:00

Dinner

 

Tuesday
(07.10.2014)

1st Session

 

09:45-10:30

Christoph Breuning
Semi/Nonparametric Estimation in case of Endogenous Selection

 

10:30-11:00

Coffee Break

2nd Session

 

11:00-11:45

Kailing Shen
Employers’ Age and Gender Preferences: Direct Evidence from Four Job Boards

 

11:45-12:30

Michael Burda &
Daniel Neuhoff
Patience, habit persistence, depreciation: Assessing macro models using Bayesian methods

 

12:30-14:00

Lunch

3rd Session

 

14:00-14:45

Wei Wei
Generalised Schwartz Models for Energy Spot Prices

14:45-15:30

Shih-Kang Chao
Nuclear Norm Penalized Large Quantile Regression

15:30-16:00

Coffee Break

4th Session

 

16:00-16:45

Weining Wang
Discontinuous Dynamic Semiparametric Factor models

16:45-17:05

Yuan Yang
Multiple-try Metropolis algorithm for estimating nonlinear DSGE models

17:05-17:25

Alexandra Suvorikova
Change point detection under parametric model misspecification

 

Wednesday
(08.10.2014)

1st Session

 

09:45-10:30

Wolfgang K. Härdle
TEDRIS - Tail Event Driven RISk structures

 

10:30-11:00

Coffee Break

2nd Session

 

11:00-11:45

Yu Ren 
A Semiparametric Conditional Capital Asset Pricing Model

 

11:45-12:30

Anders Kock
Oracle Inequalities and Inference in High-Dimensional Dynamic Panel Data Models

 

12:30-14:00

Lunch

3rd Session

 

14:00-14:20

Chuanhai Zhang
Does index futures trading reduce stock market jump risk

 

14:20-14:40

Natalia Sirotko-Sibirskaya
TENET: Tail-Event driven NETwork Risk

 

14:40-15:00

Zhiwu Hong
Euro-area yield curve exploration during crises: An arbitrage-free Nelson-Siegel term structure model

 

15:00-15:20

Philipp Gschöpf
TERES - Tail Event Risk Expected Shortfall

 

 

 

 


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::::: Discussion Papers  :::::

2017-024
Yingxing Li, Wolfgang K. Härdle, Chen Huang
"Smooth Principal Component Analysis for High Dimensional Data"
more
 

 

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