Read out

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

[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

// 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

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)


// 11:00-12:10 //

Christa Cuch­i­ero
(Fac­ulty of Mathem­at­ics, Uni­versity of Vi­enna):
Con­tem­por­ary stochastic volat­il­ity mod­el­ing - the­ory and em­pir­ics
> Ab­stract
> Pa­per 1, Pa­per 2

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

Novem­ber 30

Al­ex­an­der McNeil (The York Man­age­ment School, Uni­versity of York):
Spec­tral backtests of fore­cast dis­tri­bu­tions with ap­plic­a­tion to risk man­age­ment
> Ab­stract
> Pa­per

[Host: Rüdi­ger Frey]

Decem­ber 7

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

[Host: Sylvia Frühwirth-Schnat­ter]

Decem­ber 14: tba
Decem­ber 19

// WED­NES­DAY, Dec 19, 12:30-13:45 (Brown Bag Sem­inar) //
Ver­onika Rock­ova
(Booth School of Busi­ness, Uni­versity of Ch­icago, USA)
[Host: Sylvia Frühwirth-Schnat­ter]

Janu­ary 11: tba
Janu­ary 18: tba
Janu­ary 25: tba