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Winter Term 2018/19

Der Inhalt dieser Seite ist aktuell nur auf Englisch verfügbar.

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]