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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.
Venue
Charles University, Faculty of Mathematics and Physics, Sokolovská 83:
room RESPIRIUM, floor -1.
Schedule:
Monday afternoon:
Walk by Prague Castle (meeting-point: Michalská 5, 15:00)
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Tuesday:
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9:30--10:30 | Opening lecture, chair: Piotr Jaworski |
| 9:30 | Wolfgang K. Härdle: Sparse-group network autoregressive model
for cryptocurrencies |
| 10:00 | Jan Hanousek: Endogeneity in financial panel data: Fancy econometrics versus using out-of-sample information |
10:30--11:00 | Coffee and discussion |
11:00--12:00 | Session 2, chair: Zuzana Prášková | |
| 11:00 | Zdeněk Hlávka: Change point detection in VAR models based on characteristic functions |
| 11:20 | Xiu Xu: Localizing multivariate CAViaR model |
| 11:40 | Lenka Zboňáková: Penalized adaptive method |
12:00--14:00 | Lunch |
14:00--15:10 | Session 3, chair: Tomáš Cipra |
| 14:00 | Piotr Jaworski: Modified CoVaR |
| 14:30 | Anna Zalewska: On peculiarities of CoVaR-based portfolio selection |
| 14:50 | Alla Petukhina: Portfolio optimisation strategies in Cryptocurrency market |
15:10--15:40 | Coffee and discussion |
15:40--16:40 | Session 4, chair: Jan Hanousek |
| 15:40 | Ya Qian: Are jumps induced by news -
evidence from firm level analysis |
| 16:00 | Niels Wesselhöfft: Estimating low-frequency risk measures by high-frequency data |
| 16:20 | Tomáš Rusý: Stochastic programming problems in asset–liability management
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16:40--17:00 | Coffee and discussion |
17:00--17:50 | Closing lecture, chair: Wolfgang K. Härdle |
| 17:00 | Georg Pflug & Mathias Pohl: A review on ambiguity in stochastic portfolio
optimization |
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Tuesday evening:
Dinner (MLEJNICE, Žatecká 17, 19:00)
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List of participants
- Tomáš Cipra (Univerzita Karlova)
- Wolfgang K. Härdle (HU Berlin)
- Jan Hanousek (CERGE-EI)
- Zdeněk Hlávka (Univerzita Karlova)
- Piotr Jaworski (Uniwersytet Warszawski)
- Alla Petukhina (HU Berlin)
- Mathias Pohl (Universität Wien)
- Zuzana Prášková (Univerzita Karlova)
- Georg Pflug (Universität Wien)
- Ya Qian (HU Berlin)
- Tomáš Rusý (Univerzita Karlova)
- Niels Wesselhöfft (HU Berlin)
- Xiu Xu (HU Berlin)
- Anna Zalewska (Uniwersytet Warszawski)
- Lenka Zboňáková (HU Berlin)
- Daniel Husek (CERGE-EI)
- Tomáš Křehlík (Univerzita Karlova)
- Filip Staněk (CERGE-EI)
- Magdaléna Raušová
- Stanislav Anatolyev (CERGE-EI)
- Veronika Vraná (CERGE-EI)
Organizers
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The workshop is supported by projects CENTRAL, DYME,
and Progres q49.
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(last update: September 15th, 2017)
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