Institute for
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Die Erholunsgzone vor dem D4 Gebäude über dem Brunnen.

Winter Term 2018/19

You are cordially invited to attend the talks in seminar room D4.4.008 (Building D4, Entrance A, Level 4) on Fridays at 9:00am.


Seminar Schedule

October 12 - TWO TALKS

// 09:00-10:15 //


Walter Farkas

(Department of Banking and Finance, University of Zurich):
Intrinsic Risk Measures

> Abstract
> Paper


> Talk n/a
[Host: Rüdiger Frey]

// 10:30-11:45 //
Torsten Hothorn (Epidemiology, Biostatistics and Prevention Institute, University of Zurich):


Transformation Forests


> Abstract


>

Paper


> Talk


[Host: Kurt Hornik]
October 19

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]
November 9 - TWO TALKS

// 09:00-10:10 //
Nestor Parolya (Institute of Statistics, Leibniz University Hannover):
Testing for Independence of Large Dimensional Vectors


>

Abstract

>

Paper


>

Talk


// 11:00-12:10 //


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
November 16 - TWO TALKS

// 09:00-10:10 //
Clara Grazian (Nuffield Department of Medicine, University of Oxford):
Bayesian analysis of semiparametric copula models

> Abstract
> Paper (arXiv)


> Talk



// 11:00-12:10 //


Christa Cuchiero

 (Faculty of Mathematics, University of Vienna):

Contemporary stochastic volatility modeling - theory and empirics

> Abstract
> Paper 1, Paper 2
> Talk n/a
November 23

// 09:00-10:10 //
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
November 30

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]
December 7

Rodney Strachan (School of Economics, University of Queensland, Australia):
Reducing Dimensions in a Large TVP-VAR

> Abstract
> Paper


> Talk


[Host: Sylvia Frühwirth-Schnatter]
December 19

// WEDNESDAY, Dec 19, 12:30-13:45 (Brown Bag Seminar) //
Veronika Rockova

(Booth School of Business, University of Chicago, USA):
Dynamic Sparse Factor Analysis

> Abstract


> Paper 1, Paper 2


> Talk


[Host: Sylvia Frühwirth-Schnatter]
January 11

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]
January 18

Matteo Mogliani (Banque de France):
Bayesian MIDAS penalized regressions: Estimation, selection, and prediction

> Abstract


>

Paper n/a yet
> Talk


[Host: Sylvia Frühwirth-Schnatter]
January 23

// WEDNESDAY, Jan 23, 12:30-13:45 (Brown Bag Seminar) //
Wolfgang Hörmann

(Department of Industrial Engineering, Boğaziçi University):
Stochastic disease spread models

> Abstract


> Related Slides 1, Related Slides 2


> Talk


[Host: Josef Leydold]
January 25:

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]