Haindorf 2015 - SCHEDULE Day Time Speaker Title 1 st Session 14:30 Tuesday 27.01.2015 Opening 14:30-16:00 Short course Yao: Modelling vector time series: VARMA and cointegration 16:00-16:30 Coffee Break 2 nd Session 16:30-18:00 Short course Yao: Modelling vector time series: VARMA and cointegration 18:30-20:00 Dinner 1st Session 09:00-10:30 Short course Yao: Modelling high-dimensional time series: dimension reduction 10:30-11:00 Coffee Break 2 11:00-12:30 nd Session Short course Yao: Modelling high-dimensional time series: dimension reduction 12:30-14:00 Lunch 3 Wednesday 28.01.2015 rd Session Juhyun Park On functional data analysis for 3 dimensional curves 15:30-15:30 Malgosia Guzowska Calculus of variations on time scales: some economics applications 15:00-15:30 Moritz Jirak Uniform change point test 15:30-16:00 Andreas Andresen Finite Sample Analysis of M-Estimators 16:00-16:40 Coffee Break 4 th Session Chair: Jakub Chorowski 16:40-17:00 Sebastian Holtz Semi-parametric efficiency for estimating the integrated covariation matrix from noisy observations 17:00-17:20 Randolf Altmeyer Covariance estimation with random matrix theory 17:20-17:40 Elżbieta Babula The model estimation vs the empirical findings: reflections on the choice theory under risk 17:40-18:00 Meng Jou Lu Conditional Factor Copulae in Credit Risk Analysis 18:00-18:20 Thijs Benschop Realized volatility of CO2 futures 19:00-20:00 Dinner 08:00-14:00 Sport Activities 1st Session Thursday 29.01.2015 Chair: Thijs Benschop 14:30-15:00 Chair: Petra Burdejová 14:30-15:00 Ljudmila A. Bordag Portfolio optimization in the case of asset with a given liquidation time distribution 15:00-15:20 Ivan Yamshchikov Statistical prediction of stable internet behavior patterns 15:20-15:40 Mayya Zhilova Likelihood-based bootstrap confidence sets for misspecified models 15:40-16:00 Jakub Chorowski Spectral estimation of the volatility coefficient of a scalar diffusion 16:00-16:30 Coffee Break 2nd Session Thursday 29.01.2015 Chair: Randolf Altmeyer 16:30-16:50 Alexandra Suvorikova Local Change-Point Detection 16:50-17:10 Niklas Willrich A calibrated Lepski's method by propagation 17:10-17:30 Lei Fang Mortality model for two related populations: a semiparametric comparison approach 17:30-17:50 Lukas Borke Q3-D3-LSA 17:50-18:10 Philipp Gschöpf Parameter Estimation for Mixture Densities with the Expectation Maximization Algorithm 19:00-20:00 Dinner 1st Session Chair: Sebastian Holtz 09:00-09:30 Wolfgang Härdle & Elisabeth Bommes Distillation of News Flow into Analysis of Stock Reactions 09:30-09:50 Shi Chen Multiple Arbitrage Free Dynamic Yield Curve Modeling 09:50-10:10 Alona Zharova Academic Rankings with Handelsblatt, Google Scholar and RePEc 10:10-10:30 Chen Huang Recovering Copulae from Conditional Quantiles 10:30-11:00 Coffee Break 2nd Session Friday 30.01.2015 Chair: Philipp Gschöpf 11:00-11:20 Yun-Cheng Tsai Optimization of MAVE algorithm 11:20-11:40 Katerina Papagiannouli A remark on the rate of convergence of the co-volatility estimation in the presence of jumps 11:40-12:00 Sergey Nasekin TEDAS - tail event driven asset allocation 12:00-12:20 Alla Petukhina Tail Event Driven Asset Allocation: evidence from equity and mutual funds’ markets 12:20-14:20 Lunch rd 3 Session Chair: Lei Fang 14:20-14:40 Zhiwu Hong Local Volatility of Leveraged ETF Options 14:40-15:00 Qiuhua Xu Partially varying coefficients panel data models with cross-sectional dependence 15:00-15:20 Xiu Xu Localized Conditional Autoregressive Expectile Model 15:20-15:40 Yuan Yang An efficient auxiliary particle filter for nonlinear DSGE models 15:40-16:00 Chuanhai Zhang Threshold Pre-averaging based multipower variation estimation 16:00-16:40 Coffee Break th 4 Session Lining Yu Dynamic Quantile Factor Models 17:00-17:20 Petra Burdejova DYTEC - DYnamic Tail Event Curves and its applications 17:20-17:40 Simon Trimborn Towards Cryptocurrency Index 18:30-20:00 Saturday 31.01.2015 Chair: Alla Petukhina 16:40-17:00 09:00- Dinner Departure