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.


Charles University, Faculty of Mathematics and Physics, Sokolovská 83: room RESPIRIUM, floor -1.


Monday afternoon: Walk by Prague Castle (meeting-point: Michalská 5, 15:00)
  9:30--10:30 Opening lecture, chair: Piotr Jaworski
   9:30Wolfgang K. Härdle: Sparse-group network autoregressive model for cryptocurrencies
10:00Jan 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
11:00Zdeněk Hlávka: Change point detection in VAR models based on characteristic functions
11:20Xiu Xu: Localizing multivariate CAViaR model
11:40Lenka Zboňáková: Penalized adaptive method
12:00--14:00 Lunch
14:00--15:10 Session 3, chair: Tomáš Cipra
14:00Piotr Jaworski: Modified CoVaR
14:30Anna Zalewska: On peculiarities of CoVaR-based portfolio selection
14:50Alla Petukhina: Portfolio optimisation strategies in Cryptocurrency market
15:10--15:40 Coffee and discussion
15:40--16:40 Session 4, chair: Jan Hanousek
15:40Ya Qian: Are jumps induced by news - evidence from firm level analysis
16:00Niels Wesselhöfft: Estimating low-frequency risk measures by high-frequency data
16:20Tomáš Rusý: Stochastic programming problems in asset–liability management
16:40--17:00 Coffee and discussion
17:00--17:50 Closing lecture, chair: Wolfgang K. Härdle
17:00Georg Pflug & Mathias Pohl: A review on ambiguity in stochastic portfolio optimization
Tuesday evening: Dinner (MLEJNICE, Žatecká 17, 19:00)

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)


The workshop is supported by projects CENTRAL, DYME, and Progres q49.
(last update: September 15th, 2017)