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

> 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]