CENTRAL workshop: Modelling Dependencies in Ultra-High Dimensions (Prague, September 18-19, 2017)

Project CENTRAL connects the Department of Statistics at Charles University in Prague with similar institutes at Humboldt-Universität zu Berlin, Budapesti Műszaki és Gazdaságtudományi Egyetem (University of Technology and Economics), Uniwersytet Warszawski, and Universität Wien for the purpose of exchanging findings and innovations on the topic, as well as methods of teaching and information distribution. Main topics of interest are high-dimensional time series, financial risk, sentiment surprises, extreme events, copulae, cryptocurrencies, data mining: modelling of high-dimensional data sets plays a central role in actuarial science, econometrics, finance, and statistics. Emphasis is placed upon the involvement of PhD-students in research and development. Regular meetings of the professors and PhD-students at annual workshops in different cities (Berlin, Budapest, Prague, Vienna, Warsaw) give PhD-students from all partner universities the chance to present and discuss their current work and progress on the topic. They thus benefit from the opportunity to reflect and contribute directly to contemporary research in an environment of dynamic learning.

Organizers

Registration

Registration is free for all participants! Please, register by sending an informal e-mail to hlavka@karlin.mff.cuni.cz.

Tentative schedule:

Monday afternoon: Social programme (walk around Prague Castle?)
Tuesday:
  9:30--10:30 Opening lecture
   9:30Wolfgang K. Härdle: TBA
10:00Cathy Yi-Hsuan Chen: TBA
10:30--11:00 Coffee and discussion
11:00--12:10 Session 2, chair: Zuzana Prášková
11:00Zdeněk Hlávka: Change point detection in VAR models based on characteristic functions
11:30Xiu Xu: Localizing multivariate CAViaR model
11:50Lenka Zboňáková: Penalized adaptive method
12:10--14:30 Lunch
14:30--15:40 Session 3
14:30Piotr Jaworski: Modified CoVaR
15:00Anna Zalewska: On peculiarities of CoVaR-based portfolio selection
15:20
15:40--16:10 Coffee and discussion
16:10--17:10 Session 4
16:10Alla Petukhina: Portfolio optimisation strategies in Cryptocurrency market
16:30Ya Qian: Are jumps induced by news - evidence from firm level analysis
16:50Niels Wesselhöfft: Estimating low-frequency risk measures by high-frequency data
17:10--17:30 Coffee and discussion
17:30--18:00 Closing lecture, chair: Wolfgang K. Härdle
17:30Georg Pflug: TBA
Tuesday evening: Dinner

Venue

Charles University, Faculty of Mathematics and Physics, Sokolovská 83, Prague

Room: respirium, floor -1.

List of participants

  • Cathy Yi-Hsuan Chen (HU Berlin)
  • Wolfgang K. Härdle (HU Berlin)
  • Zdeněk Hlávka (Univerzita Karlova)
  • Piotr Jaworski (Uniwersytet Warszawski)
  • Alla Petukhina (HU Berlin)
  • Zuzana Prášková (Univerzita Karlova)
  • Georg Pflug (Universität Wien)
  • Ya Qian (HU Berlin)
  • Xiu Xu (HU Berlin)
  • Niels Wesselhöfft (HU Berlin)
  • Anna Zalewska (Uniwersytet Warszawski)
  • Lenka Zboňáková (HU Berlin)
The workshop is supported by projects CENTRAL, DYME, and Progres q49.
(last update: July 21st, 2017)