Friday, March 4, 2022 // 11:00-12:30 // room TC.4.05 & stream
Paul Eisenberg (Institute for Statistics and Mathematics, WU):
Affine Models for Energy Markets
Abstract / Talk
 

Wednesday, March 9, 2022// 17:30-18:45 // online talk
Rafael M. Frongillo (Department of Computer Science, University of Colorado Boulder, USA):
How (Not) to Run a Forecasting Competition: Incentives and Efficiency
Abstract / Paper / Talk
[Host: Jana Hlavinová]
 

Wednesday, March 16, 2022// 17:30-18:45 // online talk
Rodney Sparapani (Division of Biostatistics, Institute for Health and Equity, Medical College of Wisconsin, USA):
Nonparametric Machine Learning and Efficient Computation With Bayesian Additive Regression Trees (BART)
Abstract / Paper / Talk / Computing
[Host: Kurt Hornik]
 

Friday, March 25, 2022// 10:30-12:00 // room TC.4.05 & stream
Katia Colaneri (Department of Economics and Finance, University of Rome Tor Vergata):
Discrete-Time Optimization Problems in Insurance With a Final Distribution Constraint
Abstract / Paper
[Host: Rüdiger Frey]
 

Wednesday, April 6, 2022// 17:30-18:45 // online talk
Bret M. Hanlon (Department of Biostatistics & Medical Informatics, University of Wisconsin-Madison School of Medicine & Public Health, USA)
Regularized Ordinal Regression and the ordinalNet R Package
Abstract / Paper / Talk
[Host: Kurt Hornik]
 

Wednesday, April 20, 2022// 17:30-18:45 // online talk
Marius Hofert (Department of Statistics and Actuarial Science, Faculty of Mathematics, University of Waterloo, Canada):
Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks
Abstract / Paper / Paper (publicly available) / Talk
[Host: Kurt Hornik]
 

Friday, April 29, 2022// 10:30-12:00 // room TC.4.05 & stream
Christian Hennig (Department of Statistical Sciences "Paolo Fortunati", University Bologna):
Testing in Models That Are Not True
Abstract / Paper 1, Paper 2, Paper 3 / Talk
[Host: Gertraud Malsiner-Walli]
 

Friday, May 6, 2022 // 10:30-12:00 // room TC.4.05 & stream
Fred Espen Benth (Department of Mathematics, University of Oslo):
Pricing Options on Flow Forwards by Neural Networks in Hilbert Space
Abstract / Paper / Talk
[Host: Paul Eisenberg]
 

Friday, May 13, 2022// 10:30-12:00 // room TC.4.05 & stream
Gunter Löffler (Institute of Finance, Ulm University):
How Efficiently Do Green Bonds Help the Environment?
Abstract / Paper / Talk n/a
[Host: Rüdiger Frey]
 

Friday, May 20, 2022// 9:00-10:30 // room TC.4.05 & stream
Zachary Feinstein (School of Business, Stevens Institute of Technology, USA):
Axioms and Properties of Automated Market Makers
Abstract / Talk
[Host: Birgit Rudloff]
 

Friday, June 10, 2022// 10:30-12:00 // room TC.4.05 & stream
Firdevs Ulus (Department of Industrial Engineering, Bilkent University):
Direction-Free Approximation Algorithms for Bounded Convex Vector Optimization Problems
Abstract / Paper 1, Paper 2 / Talk
[Host: Birgit Rudloff]
 

Friday, June 24, 2022// 11:00-12:30 // room TC.4.05 & stream
Çağın Ararat (Department of Industrial Engineering, Bilkent University):
A Mixed-Integer Programming Approach for Computing Systemic Risk Measures
Abstract / Paper / Talk
[Host: Birgit Rudloff]

Friday, October 8, 2021// 9:00-10:30 // room TC.3.21 & stream
Thorsten Schmidt (Department of Mathematical Stochastics, University of Freiburg):
Arbitrage Principles in Insurance
Abstract / Talk n/a
[Host: Rüdiger Frey]
 

Wednesday, October 20, 2021 // 18:15-19:30 // online talk
Paul McNicholas (Department of Mathematics and Statistics, McMaster University, Hamilton, Canada):
Using Subset Log-Likelihoods to Trim Outliers in Gaussian Mixture Models
Abstract / Paper / Talk n/a
[Host: Gertraud Malsiner-Walli]
 

Friday, November 5, 2021 // 9:00-10:30 // room TC.3.21 & stream
Achim Zeileis (Department of Statistics, University of Innsbruck):
Strategies and Software for Robust Color Palettes in Data Visualizations
Abstract / Talk
[Host: Kurt Hornik]
 

Friday, November 12, 2021 // 9:00-10:30 // room TC.3.21 & stream
Ville Satopää (Technology and Operations Management, INSEAD):
Herding in Probabilistic Forecasts
Abstract / Paper / Talk
[Host: Tobias Fissler]
 

Friday, November 19, 2021 // 9:00-10:30 // online talk
Herman K. van Dijk (Tinbergen Institute, Erasmus University Rotterdam and Norges Bank):
Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
Abstract / Paper, Online Appendix / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Wednesday, November 24, 2021 // 18:15-19:30 // online talk
Stefano M. Iacus (Department of Economics, Management and Quantitative Methods, University of Milan):
Subjective Well-Being and Social Media
Abstract / References / Talk
[Host: Kurt Hornik]
 

Wednesday, December 1, 2021 // 18:15-19:30 // online talk
Alexander J. McNeil (The York Management School, University of York):
Time Series Models With Infinite-Order Partial Copula Dependence
Abstract / Paper / Talk
[Host: Rüdiger Frey]
 

Friday, December 10, 2021 // 9:00-10:30 // online talk
Gael M. Martin (Department of Econometrics and Business Statistics, Monash University, Melbourne, Australia):
Loss-Based Variational Bayes Prediction
Abstract / Paper / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, January 14, 2022 // 9:00-10:30 // room TC.4.01 & stream
Ursula Laa (Institute of Statistics, BOKU):
Section Pursuit
Abstract / Paper / Talk
[Host: Gertraud Malsiner-Walli]
 

Wednesday, January 19, 2022 // 18:15-19:30 // online talk
Damir Filipović (EPFL and Swiss Finance Institute):
Stripping the Discount Curve – a Robust Machine Learning Approach
Abstract / Paper / Talk n/a
[Host: Zehra Eksi-Altay]

Wednesday, March 10, 2021 // 18:15-19:45 // online talk
Max H. Farrell (Booth School of Business, University of Chicago, USA):
Deep Neural Networks for Estimation and Inference
Abstract / Paper 1 / Paper 2 / Related video / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Wednesday, March 24, 2021 // 18:15-19:45 // online talk
Peter Hoff (Department of Statistical Science, Duke University, USA):
An Empirical Bayes Framework for Improving Frequentist Multigroup Inference
Abstract / Articles & Software / Talk
[Host: Kurt Hornik]
 

Wednesday, April 7, 2021 // 18:15-19:45 // online talk
Luitgard A. M. Veraart (Department of Mathematics, London School of Economics and Political Science):
When Does Portfolio Compression Reduce Systemic Risk?
Abstract / Paper / Talk n/a
[Host: Rüdiger Frey]
 

Wednesday, April 14, 2021 // 18:15-19:45 // online talk
Brad Efron and Balasubramanian Narasimhan (both: Department of Statistics, Stanford University, USA):
Easy to Use Programs for Bootstrap Confidence Intervals
Abstract / Paper / Talk
[Host: Kurt Hornik]
 

Wednesday, April 28, 2021 // 18:15-19:45 // online talk
Ronnie Sircar (Operations Research & Financial Engineering (ORFE) Department, Princeton University, USA):
Cryptocurrencies, Mining & Mean Field Games
Abstract / Paper / Talk
[Host: Birgit Rudloff]
 

Friday, May 7, 2021 // 09:00-10:30 // online talk
Ulrike Schneider (Institute of Statistics and Mathematical Methods in Economics, TU Wien):
On the Geometry of Uniqueness and Model Selection of LASSO, SLOPE and Related Estimators
Abstract / Paper / Talk n/a
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, May 21, 2021 // 09:00-10:30 // online talk 
Matthias Scherer (Department of Mathematics, Technical University of Munich):
A Comprehensive Model for Cyber Risk Based on Marked Point Processes and Its Application to Insurance
Abstract / Paper / Talk n/a
[Host: Rüdiger Frey]
 

Friday, May 28, 2021 // 09:00-10:30 // online talk
Arne Bathke (Department of Mathematics, Research Group Statistics and Probability, University of Salzburg):
Synthesizing Information from Multivariate Data: Inference Methods for Global and Local Questions
Abstract / Talk
[Host: Kurt Hornik]
 

Friday, June 18, 2021 // 09:00-10:30 // online talk
Arnošt Komárek and Jan Vávra (Department of Probability and Mathematical Statistics, Charles University, Prague):
Classification Based on Mixed Type Numeric, Ordinal and Binary Longitudinal Data
Abstract / Paper 1 / Paper 2 / Talk
[Host: Bettina Grün]
 

Friday, June 25, 2021 // 09:00-10:30 // online talk
Siegfried Hörmann (Institute of Statistics, Graz University of Technology):
Preprocessing Functional Data by a Factor Model Approach
Abstract / Paper 1 / Paper 2 / Talk n/a
[Host: Sylvia Frühwirth-Schnatter]

Friday, October 16, 2020 // 9:00-10:30 // online talk
Alejandra Avalos-Pacheco (Harvard-MIT Center for Regulatory Science, Harvard Medical School and Department of Data Science of Dana-Farber Cancer Institute, USA):
Factor Regression for Dimensionality Reduction and Data Integration Techniques with Applications to Cancer Data
Abstract / Paper / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, October 23, 2020 // 9:00-10:30 // online talk
Klaus Nordhausen (Institute of Statistics and Mathematical Methods in Economics, research group Computational Statistics (CSTAT), TU Wien):
Blind Source Separation for Spatial Data
Abstract / Paper / Talk
[Host: Bettina Grün]
 

Friday, November 6, 2020 // 9:00-10:30 // online talk 
Hannes Leeb (Department of Statistics and Operations Research, University of Vienna):
Conditional Predictive Inference for High-Dimensional Stable Algorithms
Abstract / Paper / Talk
[Host: Kory Johnson]
 

Wednesday, November 11, 2020 // 17:30-19:00 // online talk
Igor Cialenco (Department of Applied Mathematics, Illinois Institute of Technology, USA):
Adaptive Robust Stochastic Control with Applications to Finance
Abstract / Paper / Talk n/a
[Host: Birgit Rudloff]
 

Friday, November 27, 2020 // 9:00-10:30 // online talk 
Konstantin Posch (Department of Statistics, University of Klagenfurt):
Correlated Parameters to Accurately Measure Uncertainty in Deep Neural Networks
Abstract / Paper / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Wednesday, December 9, 2020 // 17:30-19:00 // online talk
Johanna G. Nešlehová (Department of Mathematics and Statistics, McGill University, Canada):
On Attainability of Kendall's Tau Matrices and Concordance Signatures
Abstract / Paper / Talk
[Host: Rüdiger Frey]
 

Friday, January 15, 2021 // 9:00-10:30 // online talk
Tilmann Gneiting (Heidelberg Institute for Theoretical Studies (HITS gGmbH) and Karlsruhe Institute of Technology (KIT)):
Isotonic Distributional Regression (IDR): Leveraging Monotonicity, Uniquely So!
Abstract / Paper / Talk
[Host: Tobias Fissler]
 

Friday, January 22, 2021 // 9:00-10:30 // online talk
Christa Cuchiero (Department of Statistics and Operations Research, University of Vienna):
From Signature SDEs to Affine and Polynomial Processes and Back
Abstract / Talk
[Host: Rüdiger Frey]
 

Friday, January 29, 2021 // 9:00-10:30 // online talk
Immanuel M. Bomze (Department of Statistics and Operations Research, University of Vienna):
Towards Responsible Game Theory - From Kant to a Copositive View on a Parametric QP
Abstract / Paper / Talk
[Host: Birgit Rudloff]

Friday, March 6, 2020 // 09:00-10:30 // room D4.4.008
Bettina Grün (Institute of Applied Statistics, Johannes Kepler University Linz):
Shrinkage Priors for Sparse Latent Class Analysis
Abstract / Talk
 

Wednesday, March 11, 2020 // 12:15-13:45 // room D4.4.008
Paul Eisenberg (Department of Mathematical Sciences, University of Liverpool):
A roller coaster: Energy markets, Suboptimal control and Pensions.
Abstract / Talk
 

Friday, March 13, 2020 // 9:00-10:30 // room D4.4.008
Sebastian Lerch (Institute for Stochastics, Karlsruhe Institute of Technology):
Deep learning models for distributional regression
Abstract / Talk
 

Friday, March 13, 2020 // 11:00-12:30 // room D4.4.008
Tobias Fissler (Institute for Statistics and Mathematics, WU Wien):
Mind the Efficiency Gap
Abstract / Talk
 

Friday, March 20, 2020 // 9:00-10:30 // CANCELLED due to Corona
Johannes Heiny (Faculty of Mathematics, Ruhr University Bochum):
Recent advances in large sample correlation matrices and their applications
Abstract / Paper 1, Paper 2
 

Friday, March 20, 2020 // 11:00-12:30 // CANCELLED due to Corona
Alexander J. McNeil (The York Management School, University of York):
Modelling volatility with v-transforms
Abstract
[Host: Rüdiger Frey]
 

Wednesday, March 25, 2020 // 12:15-13:45 // CANCELLED due to Corona
Tobias Kley (School of Mathematics Research, University of Bristol):
Integrated copula spectral densities and their applications
Abstract
 

Friday, March 27, 2020 // 9:00-10:30 // CANCELLED due to Corona
Yannick Hoga (Department of Economics, University of Duisburg-Essen):
The Uncertainty in Extreme Risk Forecasts from Covariate-Augmented Volatility Models
Abstract / Paper
 

Wednesday, April 29, 2020 // 12:15-13:45 // CANCELLED due to Corona
Susana Campos Martins (Climate Econometrics, Nuffield College)
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, May 8, 2020 // 9:00-10:30 // CANCELLED due to Corona
Hannes Leeb (Department of Statistics and Operations Research, University of Vienna)
Prediction when fitting simple models to high-dimensional data
Abstract / Paper
[Host: Kory D. Johnson]
 

Friday, May 15, 2020 // 9:00-10:30 // CANCELLED due to Corona
Luca Rossini (Department of Econometrics and Operational Research, Vrije Universiteit Amsterdam)
 

Friday, June 5, 2020 // 9:00-10:30 // CANCELLED due to Corona
Herman K. van Dijk (Tinbergen Institute, Erasmus University Rotterdam and Norges Bank):
Structure and Workings of Forecast Density Combinations
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, June 19, 2020 // 9:00-10:30 // CANCELLED due to Corona
Ville Satopää (Technology and Operations Management, INSEAD):
Bias, Noise, and Information in Elicitation and Aggregation of Crowd Forecasts
Abstract / Paper / Podcast
[Hosts: Kory D. Johnson, Tobias Fissler]
 

Friday, June 26, 2020 // 9:00-10:30 // CANCELLED due to Corona
Gilles Stupfler (ENSAI)
[Host: Tobias Fissler]

Friday, October 18, 2019 // 09:00-10:30 // room D4.4.008
Gareth Roberts (Department of Statistics, University of Warwick):
Principled subsampling and super-efficiency for Bayesian inference
Abstract / Paper 1, Paper 2 / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, October 25, 2019 // 09:00-10:30 // room D4.4.008
Lukas Gonon (Faculty of Mathematics and Statistics, University of St. Gallen):
Dynamic learning based on random recurrent neural networks and reservoir computing systems
Abstract / Talk n/a
[Hosts: Christa Cuchiero, Rüdiger Frey]
 

Friday, November 8, 2019 // 09:00-10:30 // room D4.4.008
Christoph Belak (Institute of Mathematics, Technische Universität Berlin):
Stochastic Impulse Control: Recent Progress and Applications
Abstract / Paper 1, Paper 2, Paper 3 / Talk
[Host: Rüdiger Frey]
 

Friday, November 15, 2019 // 09:00-10:30 // room D4.4.008
Patrick Cheridito (Department of Mathematics, ETH Zurich):
Deep optimal stopping
Abstract / Talk
[Hosts: Birgit Rudloff, Rüdiger Frey]
 

Friday, November 22, 2019 // 09:00-10:30 // room D4.4.008
Keefe Murphy (School of Mathematics and Statistics, University College Dublin):
Infinite Mixtures of Infinite Factor Analysers
Abstract / Paper / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, November 29, 2019 // 09:00-10:30 // room D4.4.008
Kenneth Benoit (Department of Methodology, London School of Economics and Political Science):
More than Unigrams Can Say: Detecting Meaningful Multi-word Expressions from Political Texts
Abstract / Talk
[Host: Kurt Hornik]
 

Wednesday, December 4, 2019 // 12:15-13:45 // room D4.4.008
Dan Zhu (Department of Econometrics and Business Statistics, Monash University, Melbourne, Australia):
Automated IPA for Bayesian MCMC: A New Approach for Local Prior Robustness and Convergence Analysis with Application to Multidimensional Macroeconomic Time Series with Shrinkage Priors
Abstract / Talk
[Host: Gregor Kastner]
 

Friday, December 6, 2019 // 09:00-10:30 // room D4.4.008
Cinzia Viroli (Department of Statistical Sciences "Paolo Fortunati", University of Bologna):
Recent advances in Deep Mixture Models
Abstract / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, December 13, 2019 // 09:00-10:30 // room D4.4.008
Michael Hecht (MOSAIC Group, Center for Systems Biology Dresden & Max Planck Institute of Molecular Cell Biology and Genetics, Dresden):
Multivariate Newton & Lagrange Interpolation
Abstract / Talk
[Host: Josef Leydold]
 

Friday, January 17, 2020 // 09:00-10:30 // room D4.4.008
Natalie Packham (Department of Business and Economics, Berlin School of Economics and Law):
Correlation stress testing of stock and credit portfolios
Abstract / Talk
[Host: Rüdiger Frey]

Friday, March 1, 2019 // 09:00-10:30 // room D4.4.008
Stefan Thurner (Center for Medical Statistics, Informatics, and Intelligent Systems, Medical University of Vienna):
Elimination of systemic risk in financial markets
Abstract / Talk
[Host: Birgit Rudloff]
 

Friday, March 8, 2019 // 09:00-10:30 // room D4.4.008
Antonietta Mira (Data Science Lab, Institute of Computational Science, Università della Svizzera italiana, Switzerland and Università dell’Insubria, Italy):
Bayesian dimensionality reduction via identifications of data intrinsic dimensions
Abstract / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, March 15, 2019 // 09:00-10:30 // room D4.4.008
Harald Baayen (Department of Linguistics, University of Tübingen):
Wide learning in language modeling
Abstract / Paper 1, Paper 2 / Talk
[Host: Kurt Hornik]
 

Friday, March 29, 2019 // 09:00-10:30 // room D4.4.008
Simon Wood (School of Mathematics, University of Bristol):
Large smooth models for big data and space time modelling of daily pollution data
Abstract / Paper 1, Paper 2 / Talk
[Host: Kurt Hornik]
 

Friday, April 5, 2019 // 09:00-10:30 // room D4.4.008
Nadja Klein (School of Business and Economics, Humboldt-Universität zu Berlin):
Implicit Copulas from Bayesian Regularized Regression Smoothers
Abstract / Paper / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, April 12, 2019 // 09:00-10:30 // room D4.4.008
Michaela Szölgyenyi (Department of Statistics, University of Klagenfurt):
Convergence order of Euler-type schemes for SDEs in dependence of the Sobolev regularity of the drift
Abstract / Paper, Preprint / Talk
[Host: Rüdiger Frey]
 

Friday, May 3, 2019 // 09:00-10:30 // room D4.4.008
Radu Ioan Boţ(Faculty of Mathematics, University of Vienna):
Proximal algorithms for nonconvex and nonsmooth minimization problems
Abstract /  Paper 1, Paper 2 / Talk
[Host: Birgit Rudloff]
 

Friday, May 10, 2019 // 09:00-10:30 // room D4.4.008
Sylvia Kaufmann (Study Center Gerzensee):
The bank lending channel in Switzerland: Capturing cross-section heterogeneity and asymmetry over time
Abstract / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, May 17, 2019 // 09:00-10:30 // room D4.4.008
Raffaele Argiento (ESOMAS Department, University of Torino):
From infinity to here: a Bayesian nonparametric perspective of finite mixture models
Abstract / Talk
[Host: Gregor Kastner]
 

Friday, May 24, 2019 // 09:00-10:30 // room D4.4.008
Katia Colaneri (Faculty of Mathematics and Physical Sciences, University of Leeds):
A class of recursive optimal stopping problems with an application to stock trading
Abstract / Talk
[Hosts: Zehra Eksi-Altay, Rüdiger Frey]
 

Friday, June 28, 2019 // 09:00-10:30 // room D4.4.008
Andreea Minca (School of Operations Research and Information Engineering, Cornell University, USA):
(In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin Attacks
Abstract / Paper / Talk
[Host: Zehra Eksi-Altay]

Friday, October 12, 2018 // 09:00-10:15 // room D4.4.008
Walter Farkas (Department of Banking and Finance, University of Zurich):
Intrinsic Risk Measures
Abstract / Paper / Talk n/a
[Host: Rüdiger Frey]
 

Friday, October 12, 2018 // 10:30-11:45 // room D4.4.008
Torsten Hothorn (Epidemiology, Biostatistics and Prevention Institute, University of Zurich):
Transformation Forests
Abstract / Paper / Talk
[Host: Kurt Hornik]
 

Friday, October 19, 2018 // 09:00-10:30 // room D4.4.008
Matthias Fengler (Faculty of Mathematics and Statistics, University of St. Gallen):
Textual Sentiment, Option Characteristics, and Stock Return Predictability
Abstract / Paper / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, November 9, 2018 // 09:00-10:30 // room D4.4.008
Nestor Parolya (Institute of Statistics, Leibniz University Hannover):
Testing for Independence of Large Dimensional Vectors
Abstract / Paper / Talk
 

Friday, November 9, 2018 // 11:00-12:30 // room D4.4.008
Tobias Fissler (Department of Mathematics, Imperial College London):
The Elicitation Problem or The Quest of Comparing Forecasts in a Meaningful Way
Abstract / Paper 1, Paper 2, Paper 3 / Talk
 

Friday, November 16, 2018 // 09:00-10:30 // room D4.4.008
Clara Grazian (Nuffield Department of Medicine, University of Oxford):
Bayesian analysis of semiparametric copula models
Abstract / Paper (arXiv) / Talk
 

Friday, November 16, 2018 // 11:00-12:30 // room D4.4.008
Christa Cuchiero (Faculty of Mathematics, University of Vienna):
Contemporary stochastic volatility modeling - theory and empirics
Abstract / Paper 1, Paper 2 / Talk n/a
 

Friday, November 23, 2018 // 09:00-10:30 // room D4.4.008
Johannes Heiny (Department of Mathematics, University of Aarhus):
Assessing the dependence of high-dimensional time series via autocovariances and autocorrelations
Abstract / Paper 1, Paper 2, Paper 3 / Talk
 

Friday, November 30, 2018 // 09:00-10:30 // room D4.4.008
Alexander McNeil (The York Management School, University of York):
Spectral backtests of forecast distributions with application to risk management
Abstract / Paper / Talk
[Host: Rüdiger Frey]
 

Friday, December 7, 2018 // 09:00-10:30 // room D4.4.008
Rodney Strachan (School of Economics, University of Queensland, Australia):
Reducing Dimensions in a Large TVP-VAR
Abstract / Paper / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Wednesday, December 19, 2018 // 12:30-14:00 // room D4.4.008
Veronika Rockova (Booth School of Business, University of Chicago, USA):
Dynamic Sparse Factor Analysis
Abstract / Paper 1, Paper 2 / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, January 11, 2019 // 09:00-10:30 // room D4.4.008
Zachary Feinstein (Department of Electrical & Systems Engineering, Washington University in St. Louis, USA):
Pricing debt in an Eisenberg-Noe interbank network with comonotonic endowments
Abstract / Paper / Talk n/a
[Host: Birgit Rudloff]
 

Friday, January 18, 2019 // 09:00-10:30 // room D4.4.008
Matteo Mogliani (Banque de France):
Bayesian MIDAS penalized regressions: Estimation, selection, and prediction
Abstract / Paper n/a yet / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Wednesday, January 23, 2019 // 12:30-14:00 // room D4.4.008
Wolfgang Hörmann (Department of Industrial Engineering, Boğaziçi University):
Stochastic disease spread models
Abstract / Related Slides 1, Related Slides 2 / Talk
[Host: Josef Leydold]
 

Friday, January 25, 2019 // 09:00-10:30 // room D4.4.008
Rémi Piatek (Department of Economics, University of Copenhagen):
A multinomial probit model with latent factors, with an application to the study of inequality in educational attainment
Abstract / Talk n/a
[Host: Sylvia Frühwirth-Schnatter]

Friday, March 16, 2018 // 9:00-10:30 // room D4.4.008
Jin Ma (Department of Mathematics, University of Southern California, Los Angeles, USA):
Optimal Dividend and Investment Problems under Sparre Andersen Model
Abstract / Paper / Talk
[Host: Birgit Rudloff]
 

Friday, March 16, 2018 // 10:30-12:00 // room D4.4.008
Andrzej Ruszczynski (Department of Management Science & Information Systems, Rutgers Business School, Newark, USA):
Risk-Averse Control of Partially Observable Markov Systems
Abstract / Paper / Talk
[Host: Birgit Rudloff]
 

Friday, March 23, 2018 // 9:00-10:30 // room D4.4.008
Cosimo-Andrea Munari (Department of Banking and Finance, University of Zurich):
Existence, uniqueness and stability of optimal portfolios of eligible assets
Abstract / Paper / Talk
[Host: Birgit Rudloff]
 

Friday, April 13, 2018 // 9:00-10:30 // room D4.4.008
Marica Manisera and Paola Zuccolotto (both: Department of Economics and Management, UNIBS-Università degli Studi di Brescia):
Basketball data science
Abstract / Paper 1, Paper 2, Material / Talk
[Host: Thomas Rusch]
 

Wednesday, April 18, 2018 // 12:30-14:00 // room D4.4.008
Eric Eisenstat (School of Economics, The University of Queensland, Brisbane, Australia):
Efficient Estimation of Structural VARMAs with Stochastic Volatility
Abstract / Talk
[Hosts: Gregor Kastner, Sylvia Frühwirth-Schnatter]
 

Friday, April 27, 2018 // 9:00-10:30 // room D4.4.008
Nicole Bäuerle (Institute of Stochastics, Karlsruhe Institute of Technology):
Optimal Control of Partially Observable Piecewise Deterministic Markov Processes
Abstract / Paper / Talk
[Host: Rüdiger Frey]
 

Friday, May 4, 2018 // 9:00-10:30 // room D4.4.008
Ioannis Kosmidis (Department of Statistics, University of Warwick):
Location-adjusted Wald statistics
Abstract / Paper / Talk
[Host: Kurt Hornik]
 

Friday, May 25, 2018 // 9:00-10:30 // room D4.4.008
Kemal Dinçer Dingeç (Department of Industrial Engineering, Altınbaş University):
Evaluating CDF and PDF of the Sum of Lognormals by Monte Carlo Simulation
Abstract / Talk
[Host: Josef Leydold]
 

Friday, June 8, 2018 // 9:00-10:30 // room D4.4.008
Wayne Oldford (Department of Statistics and Actuarial Science, University of Waterloo):
Exploratory visualization of higher dimensional data
Abstract / Talk / Selected Papers & Further Material
[Host: Kurt Hornik]
 

Friday, June 15, 2018 // 9:00-10:30 // room D4.4.008
Peter Filzmoser (Institute of Statistics and Mathematical Methods in Economics, TU Wien):
Robust and sparse estimation methods for linear and logistic regression in high dimensions
Abstract / Preprint, Paper / Talk
[Host: Kurt Hornik]
 

Friday, June 22, 2018 // 9:00-10:30 // room D4.4.008
John M. Maheu (DeGroote School of Business, McMaster University, Hamilton, Canada):
Nonparametric Dynamic Conditional Beta
Abstract / Paper / Talk
[Host: Sylvia Frühwirth-Schnatter]

Friday, October 6, 2017 // 9:00-10:30 // room D4.4.008
Efstathia Bura (Institute of Statistics and Mathematical Methods in Economics, TU Wien):
Near-equivalence in Forecasting Accuracy of Linear Dimension Reduction Methods in Large Panels of Macro-variables
Abstract / Paper n/a / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, October 20, 2017 // 9:00-10:30 // room D4.4.008
Josef Teichmann (Department of Mathematics, ETH Zürich)
Machine Learning in Finance
Abstract / Paper n/a / Talk n/a
[Host: Rüdiger Frey]
 

Friday, November 10, 2017 // 9:00-10:30 // room D4.4.008
Natesh S. Pillai (Department of Statistics, Harvard University, USA):
Bayesian Factor Models in High Dimensions
Abstract / Paper 1, Paper 2, Paper 3 / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, November 17, 2017 // 9:00-10:30 // room D4.4.008
Johanna F. Ziegel (Institute of Mathematical Statistics and Actuarial Science, University of Bern):
Elicitability and backtesting: Perspectives for banking regulation
Abstract / Paper / Talk
[Host: Rüdiger Frey]
 

Friday, November 24, 2017 // 9:00-10:30 // room D4.4.008
Vladimir Veliov (Institute of Statistics and Mathematical Methods in Economics, TU Wien):
Regularity and approximations of generalized equations; applications in optimal control
Abstract / Paper 1, Paper 2, Paper 3, Paper 4 / Talk
[Host: Birgit Rudloff]
 

Friday, December 1, 2017 // 9:00-10:30 // room D4.4.008
Bernd Bischl (Department of Statistics, Ludwig-Maximilians-Universität München):
Model-Based Optimization for Expensive Black-Box Problems and Hyperparameter Optimization
Abstract / Paper / Talk
[Host: Kurt Hornik]
 

Wednesday, December 13, 2017 // 12:30-14:00 // room D4.4.008
Stefan Weber (Institute of Probability and Statistics, Leibniz Universität Hannover):
Pricing of Cyber Insurance Contracts in a Network Model
Abstract / Paper / Talk
[Host: Birgit Rudloff]
 

Friday, January 12, 2018 // 9:00-10:30 // room D4.4.008
Eric Finn Schaanning (Department of Mathematics, ETH Zürich):
Measuring systemic risk: The Indirect Contagion Index
Abstract / Paper / Talk
[Host: Birgit Rudloff]
 

Friday, January 26, 2018 // 9:00-10:30 // room D4.4.008
Daniel Rösch (Department of Business Administration, Universität Regensburg):
Systematic Effects among LGDs and their Implications on Downturn Estimation
Abstract / Paper / Talk n/a
[Host: Kurt Hornik]

Friday, March 17, 2017 // 9:00-10:30 // room D4.4.008
Julie Josse (CMAP, École Polytechnique, Université Paris-Saclay):
Regularized log-bilinear models
Abstract / Talk
[Host: Kurt Hornik]
 

Friday, March 24, 2017 // 9:00-10:30 // room D4.4.008
Nicola Loperfido (Dipartimento di Economia, Società, Politica; Università degli Studi di Urbino "Carlo Bo"):
Multivariate Skewness for Finite Mixtures
Abstract / Paper / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, March 31, 2017 // 9:00-10:30 // room D4.4.008
Thorsten Schmidt (Abteilung für Mathematische Stochastik, Universität Freiburg):
Unbiased estimation of risk
Abstract / Paper / Talk
[Host: Rüdiger Frey]
 

Friday, April 7, 2017 // 9:00-10:30 // room D4.4.008
Firdevs Ulus (Department of Industrial Engineering, Bilkent University, Ankara):
Utility Indifference Pricing under Incomplete Preferences
Abstract / Talk
[Host: Birgit Rudloff]
 

Friday, May 5, 2017 // 9:00-10:30 // room D4.4.008
Gernot Müller (Institut für Mathematik, Universität Augsburg):
Modelling electricity prices using processes with time-varying parameters
Abstract / Talk n/a
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, May 12, 2017 // 9:00-10:30 // room D4.4.008
Nikolaus Hautsch (Department of Statistics and Operations Research, Universität Wien):
Volatility, Information Feedback and Market Microstructure Noise: A Tale of Two Regimes
Abstract / Paper / Talk
[Host: Kurt Hornik]
 

Friday, May 19, 2017 // 9:00-10:30 // room D4.4.008
Johanna Nešlehová and Christian Genest (both: Department of Mathematics and Statistics, McGill University, Montréal, Canada):
Modeling clusters of extremes
Abstract / Paper / Talk
[Host: Rüdiger Frey]
 

Friday, June 9, 2017 // 9:00-10:30 // room D4.4.008
Tobias Fissler (Institute of Mathematical Statistics and Actuarial Science, University of Bern):
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Abstract / Paper, Published paper / Talk
[Host: Rüdiger Frey]
 

Tuesday, June 20, 2017 // 16:30-18:00 // TU Wien, Freihaus, room DC rot 07
Alexander Steinicke (Universität Graz):
Backward Stochastic Differential Equations and Applications
Abstract / Talk
Vienna Seminar in Mathematical Finance and Probability, jointly organized with TU Wien and University of Vienna
[Host: Rüdiger Frey]
 

Friday, June 23, 2017 // 9:00-10:30 // room D4.4.008
Piotr Fryzlewicz (Department of Statistics, London School of Economics):
Recent advances in multiple change-point detection
Abstract / Paper 1, Paper 2 / Talk
[Host: Kurt Hornik]

Friday, October 7, 2016 // 9:00-10:30 // CANCELLED
Natesh S. Pillai (Department of Statistics, Harvard University, USA):
Bayesian Factor Models in High Dimensions
Abstract / Paper 1, Paper 2, Paper 3
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, October 21, 2016 // 9:00-10:30 // room D4.4.008
Peter Bank (Institut für Mathematik, TU Berlin):
Hedging with Temporary Price Impact
Abstract / Paper / Talk
[Host: Birgit Rudloff]
 

Friday, November 11, 2016 // 9:00-10:30 // room D4.4.008
Achim Zeileis (Department of Statistics, Universität Innsbruck):
Examining Exams Using Rasch Models and Assessment of Measurement Invariance
Abstract / Talk
[Host: Kurt Hornik]
 

Friday, November 18, 2016 // 9:00-10:00 // room D4.4.008
Mathias Beiglböck (Institut für Stochastik und Wirtschaftsmathematik, TU Wien):
The Geometry of Model Uncertainty
Abstract / Paper 1, Paper 2, Paper 3 / Talk
[Host: Rüdiger Frey]
 

Friday, November 18, 2016 // 10:00-11:00 // room D4.4.008
Ulrich Horst (Institut für Mathematik, Humboldt-Universität zu Berlin):
Optimal Trade Execution with Stochastic Resilience in a Non-Markovian Framework
Abstract / Talk
[Host: Rüdiger Frey]
 

Friday, November 25, 2016 // 9:00-10:30 // room D4.4.008
Petros Dellaportas (Department of Statistical Science, University College London):
Identifying and predicting jumps in financial time series
Abstract / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, December 2, 2016 // 9:00-10:30 // room D4.4.008
Claudia Ceci (Dipartimento di Economia, Università degli Studi "G. d'Annunzio", Chieti-Pescara):
On the Hedging Strategies for Defaultable Claims Under Incomplete Information
Abstract / Paper / Talk
[Host: Rüdiger Frey]
 

Wednesday, December 14, 2016 // 12:30-14:00 // room D4.4.008
Matt Taddy (The University of Chicago Booth School of Business; Microsoft Research, USA):
Deep Counterfactual Prediction using Instrumental Variables
Abstract / Paper / Talk
[Host: Sylvia Frühwirth-Schnatter]
 

Friday, January 13, 2017 // 9:00-10:30 // room D4.4.008
Christian Kleiber (Wirtschaftswissenschaftliche Fakultät, Universität Basel):
Majorization and the Lorenz order in statistics, applied probability, economics and beyond
Abstract / Talk
[Host: Kurt Hornik]
 

Thursday, January 19, 2017 // 16:30-18:00 // University of Vienna, Faculty of Mathematics, Oskar-Morgenstern-Platz 1, 1090 Vienna,
Seminarraum SR09, 2nd floor
Arnulf Jentzen (ETH Zürich):
Stochastic algorithms for the approximative pricing of financial derivatives
Abstract / Talk
Vienna Seminar in Mathematical Finance and Probability, jointly organized with TU Wien and University of Vienna
[Host: Michaela Szölgyenyi]
 

Friday, January 20, 2017 // 9:00-10:30 // room D4.4.008
Guido Consonni (Dipartimento di Scienze Statistiche, Università Cattolica del Sacro Cuor, Milan):
Objective Bayes Learning of Graphical Models
Abstract / Paper / Talk
[Host: Kurt Hornik]
 

Friday, January 27, 2017 // 9:00-10:30 // room D4.4.008
Sara Biagini (Department of Economics and Finance, LUISS G. Carli, Rome):
The robust Merton problem of an ambiguity averse investor
Abstract / Paper / Talk
[Host: Birgit Rudloff]

Friday, March 4, 2016 // 09:00-10:30 // room D4.4.008
Çağın Ararat (Department of Industrial Engineering, Bilkent University):
Measuring systemic risk via model uncertainty
Abstract / Talk
 

Friday, March 11, 2016 // 09:00-10:30 // room D4.0.144
Judith Rousseau (Ceremade - Université Paris-Dauphine):
Some results on the behaviour of the posterior distribution of static and dynamic mixture models - parametric and nonparametric cases
Abstract / Paper / Talk
 

Friday, April 8, 2016 // 09:00-10:30 // room D4.4.008
Gunther Leobacher (Institut für Finanzmathematik und Angewandte Zahlentheorie, Johannes Kepler Universität Linz):
QMC methods in quantitative finance, tradition and perspectives
Abstract / Papers / Talk
 

Friday, April 15, 2016 // 09:00-10:30 // room D4.4.008
Andreas Löhne (Institut für Mathematik, Friedrich-Schiller-Universität Jena):
On the Dual of the Solvency Cone
Abstract / Paper / Talk
 

Friday, April 22, 2016 // 09:00-10:30 // room D4.4.008
Ruggero Bellio (Department of Economics and Statistics, University of Udine):
Fixed-effects estimation of 2PL models
Abstract / Talk
 

Friday, April 29, 2016 // 09:00-10:30 // room D4.4.008
Cristiano Varin (Dipartimento di Scienze Ambientali, Informatica e Statistica (DAIS), Università Ca'Foscari Venezia):
Composite likelihood estimation for spatial clustered binary data
Abstract / Paper / Talk
 

Friday, May 13, 2016 // 09:00-10:30 // room D4.4.008
Marica Manisera and Paola Zuccolotto (Department of Quantitative Methods, University of Brescia):
Analyzing human perceptions from survey data with Nonlinear CUB models
Abstract / Papers / Talk / R functions with explaining paper
 

Friday, May 20, 2016 // 09:00-10:30 // room D4.4.008
Brendan Murphy (School of Mathematical Sciences, University College Dublin):
Model-based clustering for multivariate categorical data
Abstract / Paper 1, Paper 2 / Talk
 

Friday, June 3, 2016 // 09:00-10:30 // room D4.4.008
Luc Bauwens (CORE - Center for Operations Research and Econometrics, Université catholique de Louvain, Louvain-la-Neuve, Belgium):
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 
Abstract / Paper / Paper appendix / Talk
 

Friday, June 10, 2016 // 09:00-10:30 // room D4.4.008
Peter Bühlmann (Seminar for Statistics, Department of Mathematics, ETH Zürich):
Hierarchical high-dimensional statistical inference
Abstract / Paper / Talk
 

Thursday, June 16, 2016 // 14:30-15:30 // D4.0.127
Johanna Nešlehová and Christian Genest (Department of Mathematics and Statistics, McGill University, Montréal, Canada):
Estimating extremal dependence using B-splines
Abstract / Paper / Talk

Friday, October 2, 2015 // 09:00-10:30 // room D4.4.008
Marius Hofert (Department of Statistics and Actuarial Science, University of Waterloo, Canada):
Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm
Abstract / Talk
 

Friday, October 9, 2015 // 09:00-10:30 // room D4.4.008
Claudia Klüppelberg (Zentrum Mathematik, Technische Universität München):
Modelling, estimation and model assessment of extreme space-time data
Abstract / Talk n/a
 

Friday, October 16, 2015 // 09:00-10:30 // room D4.4.008
Andreas Hamel(Fakultät für Wirtschaftswissenschaften, Freie Universität Bozen):
From Multi-Utility Representations to Stochastic Orders and Central Regions - A Set Optimization Perspective
Abstract / Talk
 

Friday, October 23, 2015 // 09:00-10:30 // room D4.4.008
Nicolas Chopin (CREST-ENSAE ParisTech):
Sequential quasi-Monte Carlo and extensions
Abstract / Paper / Talk
 

Friday, November 13, 2015 // 09:00-10:30 // room D4.4.008
Christian Brownlees (Department of Economics and Business, Universitat Pompeu Fabra):
Realized Networks
Abstract / Paper / Talk
 

Friday, November 20, 2015 // 09:00-10:30 // room D4.4.008
Martyn Plummer (IARC, France):
Cuts in Bayesian Graphical Models
Abstract / Paper / R Vignette / Talk
 

Friday, November 27, 2015 // 09:00-10:30 // room D4.4.008
Yee Whye Teh (Department of Statistics, University of Oxford):
Bayesian Nonparametrics in Mixture and Admixture Modelling
Abstract / Paper / Talk
 

Friday, December 4, 2015 // 09:00-10:30 // room EA.6.026
Christian Robert (Ceremade - Université Paris-Dauphine):
Approximate Bayesian computation for model choice via random forests
Abstract / Paper / Talk
 

Friday, January 8, 2016 // 09:00-10:30 // room D4.4.008
Ivan Mizera (Department of Mathematical and Statistical Sciences, University of Alberta, Canada):
Borrowing Strength from Experience: Empirical Bayes Methods and Convex Optimization   
Abstract / Paper / Talk
 

Friday, January 15, 2016 // 09:00-10:30 // room D4.4.008
Omiros Papaspiliopoulos (Department of Economics and Business, Universitat Pompeu Fabra):
Building MCMC
Abstract / Talk

Friday, March 6, 2015 // 09:00-10:30 // room D4.4.008
Jörn Saß (Fachbereich Mathematik, Technische Universität Kaiserslautern):
Continuous-time regime switching models, portfolio optimization and filter-based volatility
Abstract / Talk
 

Friday, March 13, 2015 // 09:00-10:30 // room D4.4.008
Elisa Ossola (Department of Finance, University of Lugano):
Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets
Abstract / Talk
 

Friday, March 20, 2015 // 09:00-10:30 // room D4.4.008
Mark Jensen (Federal Reserve Bank of Atlanta, USA):
Mutual Fund Performance When Investors Learn About Skill
Abstract / Talk
 

Friday, March 27, 2015 // 09:00-10:30 // room D4.4.008
Rémi Piatek (Department of Economics, University of Copenhagen):
A Parsimonious Multinomial Probit Model for the Study of Joint Decisions
Abstract / Talk n/a
 

Friday, May 8, 2015 // 09:00-10:30 // room D4.4.008
François Caron (Department of Statistics, University of Oxford):
Sparse random graphs with exchangeable point processes
Abstract / Talk
 

Friday, May 29, 2015 // 09:00-10:30 // room D4.4.008
François Bachoc (Department of Statistics and Operations Research, Universität Wien):
Covariance function estimation in Gaussian process regression
Abstract / Talk

Friday, June 19, 2015 // 09:00-10:30 // room D4.4.008
Ralf Wunderlich (Mathematisches Institut, Brandenburgische Technische Universität Cottbus):
Expert opinions and dynamic portfolio optimization under partial information
Abstract / Talk
 

Friday, June 26, 2015 // 09:00-10:30 // room D4.4.008
Evelyn Buckwar (Institut für Stochastik, Johannes Kepler Universität Linz):
Stochastic numerics and issues in the stability analysis of numerical methods
Abstract / Talk n/a
 

Friday, July 3, 2015 // 09:00-10:30 // room D4.4.008
Yoosoon Chang (Department of Economics, Indiana University, USA):
Distributional Time Series
Abstract / Talk

Thursday, October 16, 2014 // 16:30-18:00 // room D4.0.019
Nikolaus Hautsch (Universität Wien):
Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
Abstract / Talk
 

Thursday, October 23, 2014 // 16:30-18:00 // room D4.0.019
Hansjörg Albrecher (Universität Lausanne):
Insurance risk and the cost of capital
Abstract / Talk n/a
 

Thursday, November 20, 2014 // 16:30-18:00 // room D4.0.019
Michaela Szölgyenyi (Johannes Kepler Universität Linz):
Dividend maximization under regime switching and incomplete information
Abstract / Talk
 

Thursday, November 27, 2014 // 16:30-18:00 // room D4.0.019
Nicolas Turenne (Université Paris-Est & INRA):
Relations and entities extraction from full texts, and their use in an end-user platform.
The case of the epidemiosurveillance VESPA platform.
Abstract / Talk
 

Thursday, December 4, 2014 // 16:30-18:00 // room D4.0.019
Harry Zheng (Imperial College London):
Utility-Risk Portfolio Selection
Abstract / Talk

Thursday, January 22, 2015 // 16:30-18:00 // room D4.0.019
Sam Cohen (Oxford University):
Ergodic BSDEs with Lévy noise and time dependence
Abstract / Talk

Thursday, March 20, 2014 // 17:30-19:00 // TU Wien, Freihaus, Seminar Room 101C, green section, 4th floor
Marius Hofert (Department of Mathematics, Technische Universität München):
An extreme value approach for modeling operational risk losses depending on covariates
Abstract / Talk
Vienna Seminar in Mathematical Finance and Probability, jointly organized with TU Wien and University of Vienna
 

Thursday, March 27, 2014 // 16:30-18:00 // room D4.0.127
Håvard Rue (Department of Mathematical Sciences, NTNU, Norway):
Penalising model component complexity: A principled practical approach to constructing priors
Abstract / Talk
 

Thursday, April 3, 2014 // 16:30-18:00 // room D4.0.127
Steve Scott (Google, Inc.):
Bayes and Big Data: The Consensus Monte Carlo Algorithm
Abstract / Talk
 

Thursday, April 10, 2014// 16:30-18:00 // room D4.0.127
Mattias Villani (Department of Computer and Information Science, Linköping University):
Speeding up MCMC with Efficient Data Subsampling
Abstract / Talk
 

Wednesday, May 14, 2014 // 16:30-18:00 // room EA.0.024 Foyer
Mark Steel (University of Warwick):
Incorporating unobserved heterogeneity in Weibull survival models: A Bayesian approach
Abstract / Talk
 

Thursday, May 22, 2014 // 16:30-18:00 // room D4.0.127
Peter Rossi (UCLA Anderson School of Management):
Valuation of Patents and Product Features: A Structural Approach
Abstract / Talk
 

Thursday, June 5, 2014 // 16:30-18:00 // room D4.0.127
Markus Pauly (Department of Mathematics, Heinrich-Heine-Universität Düsseldorf):
Resampling methods for randomly censored survival data
Abstract / Talk
 

Thursday, June 12, 2014 // 16:30-18:00 // room D4.0.127
Wolfgang Hörmann (Department of Industrial Engineering, Boğaziçi University, Istanbul):
Risk simulation with optimally stratified importance sampling
Abstract / Talk

Friday, October 18, 2013 // 09:00-10:30 // room D4.0.022
Marius Hofert (Department of Mathematics, ETH Zürich):
Statistical and computational aspects of nested Archimedean copulas and beyond
Abstract / Talk
 

Friday, October 25, 2013 // 09:00-10:30 // room D4.0.022
Omiros Papaspiliopoulos (ICREA and Universitat Pompeu Fabra, Barcelona, Spain):
Optimal filtering and the dual process
Abstract / Talk
 

Friday, November 8, 2013 // 09:00-10:30 // room D4.0.022
David Edwards (Aarhus University, Denmark):
Some context-specific graphical models for discrete longitudinal data
Abstract / Talk
 

Friday, November 15, 2013 // 09:00-10:30 // room D4.0.022
Mike Smith (Melbourne Business School, University of Melbourne):
Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation
Abstract / Talk

Friday, December 6, 2013 // 09:00-10:30 // room D4.0.022
Maria Kalli (Business School, Canterbury Christ Church University):
Bayesian Semiparametric vector autoregressive models
Abstract / Talk
 

Friday, December 6, 2013 // 10:30-12:00 // room D4.0.022
Jim Griffin (School of Mathematics, Statistics & Actuarial Science, University of Kent):
Modelling Macroeconomic Time Series using Regression Models with Time-varying Sparsity
Abstract / Talk
 

Thursday, January 16, 2014  // 16:30-18:00 // room TC.5.02
Roberto Casarin (University Ca' Foscari, Venezia, Italy):
Bayesian Calibration and Combination of Predictive Distributions
Abstract / Talk
 

Thursday, January 30, 2015 // 17:00-18:30 // University of Vienna, Faculty of Mathematics, Oskar-Morgenstern-Platz 1, 1090 Vienna,
Seminarraum SR11, 2nd floor
Damir Filipovic (Ecole Polytechnique Fédérale de Lausanne):
Linear-Rational Term Structure Models
Abstract
Vienna Seminar in Mathematical Finance and Probability, jointly organized with TU Wien and University of Vienna

Friday, April 12, 2013 // 09:15-10:45 // UZA II, Level 4, room 2H415
Sonia Petrone (Università Bocconi, Milano):
Bayesian Nonparametric Inference for Hidden Markov Models: An Overview and Some New Insights
Abstract / Talk
 

Friday, April 26, 2013 // 09:15-10:45 // UZA II, Level 4, room 2H415
Peter Stadler (Universität Leipzig):
Discoveries in Genomes and Transcriptomes: Challenges in High Throughput Sequencing Data Analysis
Abstract / Talk
 

Tuesday, May 14, 2013 // 13:00-14:30 // UZA II, Level 4, room 2H415
Rodney Strachan (Australian National University, Canberra):
Efficient Simulation and Integrated Likelihood Estimation in Non-Linear Non-Gaussian State Space Models
Abstract / Talk
 

Friday, May 17, 2013 // 09:15-10:45 // UZA II, Level 4, room 2H415
John Geweke (University of Technology, Sydney):
Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments
Abstract / Talk
 

Tuesday, May 21, 2013 // 15:00-17:00 // UZA II, Level 4, room 2H415
Alan Agresti (University of Florida):
Modeling Ordinal Categorical Data
Abstract / Talk
 

Wednesday, May 22, 2013 // 11:00-12:30 // UZA II, Level 4, room 2H415
Alan Agresti (University of Florida):
Some Remarks on Latent Variable Models in Categorical Data Analysis
Abstract / Talk
 

Friday, May 24, 2013 // 09:15-10:30 // UZA II, Level 4, room 2H415
Cristiano Varin (Università Ca' Foscari Venezia):
The Ranking Lasso
Abstract / Talk
 

Friday, May 24, 2013 // 10:30-11:45 // UZA II, Level 4, room 2H415
Alan Agresti (University of Florida):
Good Confidence Intervals for Categorical Data Analyses
Abstract / Talk
 

Friday, June 14, 2013 // 09:15-10:45 // UZA II, Level 4, room 2H415
Alexander McNeil (Heriot-Watt University, Edinburgh):
Copula Families that Generalise the Archimedean Class
Abstract  / Talk
 

Thursday, June 20, 2013 // 15:00-16:30 // UZA II, Level 4, room 2H415
Kemal Dinçer Dingeç (Boğaziçi University, Istanbul):
New Control Variates for Levy Processes and Asian Options
Abstract / Talk

Friday, September 7, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Rob J Hyndman (Department of Econometrics and Business Statistics, Monash University, Australia):
Demographic forecasting using functional data analysis
Abstract / Talk
 

Friday, October 19, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Ludger Rüschendorf (Abteilung für Mathematische Stochastik, Albert-Ludwigs-Universität Freiburg):
Risk bounds, worst case dependence and optimal claims and contracts
Abstract
 

Friday, November 16, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Wolfgang Härdle (C.A.S.E. Center for Applied Statistics and Economics, School of Business and Economics, Humboldt-Universität zu Berlin):
Risk Patterns and Correlated Brain Activities. Multidimensional statistical analysis of fMRI data with application to risk patterns
Abstract / Talk
 

Friday, November 23, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Andrea Riebler (Institut für Sozial- und Präventivmedizin, Abteilung Biostatistik, Universität Zürich):
Estimation and extrapolation of time trends in multivariate registry data using Bayesian age-period-cohort models
Abstract / Talk
 

Friday, December 7, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Ralf Wunderlich (Mathematisches Institut, Brandenburgische Technische Universität Cottbus):
Optimal portfolio strategies under partial information with expert opinions
Abstract / Talk
 

Friday, December 14, 2012 // 09:15-10:30 // UZA II, Level 4, room 2H415
Karl Bang Christensen (Department of Biostatistics, University of Copenhagen):
Item response theory models for measuring level and change in latent variables
Abstract / Talk
 

Friday, December 14, 2012 // 10:30-11:45 // UZA II, Level 4, room 2H415
Wolfgang Runggaldier (Department of Pure and Applied Mathematics, University of Padua):
Variance reduction by conditioning in the pricing problem where the underlying is a continuous-time finite state Markov process
Abstract / Talk
 

Friday, January 18, 2013 // 09:15-10:45 // UZA II, Level 4, room 2H415
Norman Verhelst (Eurometrics, Tiel, The Netherlands):
Profile Analysis: A generalization of DIF analysis
Abstract

Friday, March 16, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Justinas Pelenis (Department of Economics and Finance, Institute for Advanced Studies/IHS):
Bayesian Semiparametric Regression
Abstract / Talk
 

Friday, April 20, 2012// 09:15-10:45 // UZA II, Level 4, room 2H415
Matt Taddy (The University of Chicago, Booth School of Business, USA):
Design of Text Mining Experiment
Abstract / Talk
 

Friday, April 27, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Alexander McNeil (Department of Actuarial Mathematics and Statistics, School of Mathematical and Computer Sciences, Heriot-Watt University, Edinburgh, Scotland):
Multivariate Stress Testing for Solvency
Abstract / Talk
 

Friday, May 4, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Martyn Plummer (Infection and Cancer Epidemiology Group, International Agency for Research on Cancer, Lyon, France):
Sampling Methods for Generalized Linear Models
Abstract / Talk
 

Friday, May 11, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Claudia Czado (Zentrum Mathematik, Technische Universität München):
The World of Vines
Abstract / Talk
 

Friday, June 1, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Gregor Heinrich (Leitung Forschung und Entwicklung, vsonix GmbH, Darmstadt):
A Generic Approach to Topic Models
Abstract / Talk
 

Friday, June 1, 2012 // 10:45-12:15 // UZA II, Level 4, room 2H415
Marco Gori (Faculty of Engineering, University of Siena, Italy):
Learning From Constraints
Abstract / Talk
 

Friday, June 15, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Nalan Baştürk (Econometric Institute, Erasmus School of Economics, Rotterdam, The Netherlands):
Bayesian Testing for Multimodality Using Mixture Distributions
Abstract / Talk

Friday, October 14, 2011 // 09:15-10:45 // UZA II, Level 4, room 2H415
Gerhard Tutz (Institute for Statistics, Ludwig-Maximilians-University Munich):
Regularisierung für kategoriale Daten
Abstract  / Talk
 

Monday, October 17, 2011 // 14:00-15:30 // UZA II, Level 5, PC Lab
Peter M. Bentler (Department of Psychology, University of California, Los Angeles):
Reinventing "Guttman Scaling" as a Statistical Model: Absolute Simplex Theory
Abstract / Talk
 

Friday, November 11, 2011 // 09:15-10:30 // UZA II, Level 4, room 2H415
Hedibert Lopes (Booth School of Business, University of Chicago):
Cholesky Stochastic Volatility
Abstract / Talk
 

Friday, November 11, 2011 // 10:30-11:45 // UZA II, Level 4, room 2H415
Anthony Brabazon (College of Business and Law, School of Business, University College Dublin):
Natural Computing and Finance
Abstract / Talk
 

Friday, November 25, 2011 // 09:15-10:45 // UZA II, Level 4, room 2H415
Leonhard Held (Institute for Social and Preventive Medicine, Division of Biostatistics, University of Zurich):
Introducing Bayes Factors
Abstract / Talk
 

Friday, December 2, 2011 // 09:15-10:45 // UZA II, Level 4, room 2H415
Gilles Celeux (Département de Mathématiques, Université Paris-Sud):
Different Points of View for Selecting a Latent Structure Model
Abstract / Talk
 

Friday, January 13, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Christoph Freudenthaler (Institute of Computer Science, University of Hildesheim):
Matrix and Tensor Factorization from a Machine Learning Perspective
Abstract / Talk
 

Friday, January 20, 2012 // 09:15-10:45 // UZA II, Level 4, room 2H415
Gary Koop (Department of Economics, University of Strathclyde, Glasgow):
Hierarchical Shrinkage in Time-Varying Parameter Models
Abstract / Talk