|
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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