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Activities

April 2017

  • HeiKaMEtrics-Seminar: Prof. Christian Brownlees (Universitat Pompeu Fabra) gives a talk on „Detecting Granular Time Series in Large Panels”. Link to Abstract

March 2017

  • Onno Kleen presents the paper "Volatility Forecasting Using Multiplicative Component Models" (joint with Christian Conrad) at the Rhenish Multivariate Time Series Econometrics Meeting, Rotterdam, March 23-24, 2017. 

  • Dr. Matthias Hartmann has left the chair of Empirical Economics to take up a position at the Bundesbank.
  • Prof. Christian Conrad gives a talk on "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (joint paper with Melanie Schienle) at the Vienna-Copenhagen Conference on Financial Econometrics, Vienna, March 9-11, 2017.

January 2017

  • Prof. Christian Conrad has been awarded a Marsilius Fellowship for the class of 2017/18. He will work together with Prof. Michael Gertz, Institute of Computer Science, on an interdisciplinary project entitled “Network-based analysis and exploration of financial markets”.
  • Dr. Matthias Hartmann presents the paper  "The Uncertainty-Adjusted Consensus Forecast" (joint with Christian Conrad) at the Workshop on Quantitative Finance, Mailand, Italy, January 25-27, 2017.
  • Prof. Christian Conrad gave a talk on "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (joint paper with Melanie Schienle) in the Research Seminar of the Norwegian Business School, Oslo, January 11, 2017.
  • Dr. Matthias Hartmann presents the paper  "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters" (joint with Alexander Glas) at the Annual Meeting of the American Economic Association, Chicago, USA, January 6-8, 2017.

December 2016

  • Prof. Christian Conrad presented the paper "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (co-authored with Melanie Schienle) at the International Conference on Computational and Financial Econometrics, Seville, Spain, December 09-11, 2016.
  • Dr. Matthias Hartmann presents the paper  "Forecast Performance, disagreement, and heterogeneous signal-to-noise ratios" (joint with Jonas Dovern) at the Cumputational and Financial Econometrics Conference , Seville, Spain, December 9-11, 2016.

November 2016

  • HeiKaMEtrics-Seminar: Prof. Yarema Okhrin (University of Augsburg) gives a talk on „Tail Event Driven Networks of SIFIs”. Link to the Abstract
  • On November 03, 2016, the third HeiKaMEtrics Doctoral Workshop takes place at the University of Mannheim. The workshop is jointly organized by Prof. Christian Conrad (Heidelberg University), Prof. Melanie Schienle (KIT) and Prof. Carsten Trenkler (University of Mannheim). The program is available here.
  • Prof. Christian Conrad presented the paper "The Uncertainty-Adjusted Consensus Forecast" (joint with Matthias Hartmann) in the cege-Forschungskolloquium at the Georg-August-Universität Göttingen, November 2, 2016.

October 2016

  • Prof. Christian Conrad gave a talk on "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (joint with Melanie Schienle) in the Quantitative Finance Seminar at Kellogg School of Management, Northwestern University, October 7, 2016.

September 2016

  • Prof. Christian Conrad gave a talk on "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (joint with Melanie Schienle) in the Econometrics Seminar at Michigan State University, September 29, 2016.
  • Prof. Christian Conrad presents the paper "Macroeconomic expectations and the time-varying stock-bond correlation: international evidence" (joint with Karin Stürmer) at the Annual Conference of the Verein für Socialpolitik, September 4-7, 2016, Augsburg, Germany.
  • Dr. Matthias Hartmann presents the paper  "Forecast Performance, disagreement, and heterogeneous signal-to-noise ratios" (joint with Jonas Dovern) at the Annual Conference of the Verein für Socialpolitik, September 4-7, 2016, Augsburg, Germany.
  • Alexander Glas presents the paper "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters" (joint with Matthias Hartmann) at the Annual Conference of the German Economic Association, September 4-7, 2016, Augsburg, Germany.

August 2016

  • Prof. Christian Conrad presents the paper "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (joint with Melanie Schienle) at the 69th European Meeting of the Econometric Society, August 22-26, 2016, Geneva, Switzerland.
  • Alexander Glas presents the paper "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters" (joint with Matthias Hartmann) at the 31th Annual Conference of the Econometric Society, August 22-26, 2016, Geneva, Switzerland.
  • Onno Kleen presents the paper „On the Statistical Properties of Multiplicative GARCH Models" at the 69th European Meeting of the Econometric Society, August 22-26, 2016, Geneva, Switzerland.

July 2016

  • Prof. Christian Conrad will give a talk on "Wie der Ölpreis die Wirtschaft beeinflusst: Über Kausalität in der Ökonometrie". The talk is part of the lecture series “Akademische Mittagspause: Sprechen Sie Mathematik?", July 14, 2016. Further information can be found here.

June 2016

  • Dr. Karin Loch has left the chair of Empirical Economics to take up a position as a Postdoctoral Fellow in the research group of Prof. Torben Andersen at the Finance department of the Kellogg School of Management (Northwestern University). She received a two-year research fellowship from the DFG.

  • Dr. Matthias Hartmann presents the paper "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters" (joint with Alexander Glas) at the Annual Conference of the International Association for Applied Econometrics in Milan, June 22-25, 2016.

  • Alexander Glas presents the paper "Inflation uncertainty, disagreement and monetary policy: Evidence from the ECB Survey of Professional Forecasters" (joint with Matthias Hartmann) at the 36th International Symposium on Forecasting in Santander, Spain, June 19-22, 2016.

  • Prof. Christian Conrad presents the paper "Testing for an Omitted Long-Term Component in Multiplicative GARCH Models" (joint with Melanie Schienle) at the 9th Annual Conference of the Society for Financial Econometrics, June 14-17, 2016, Hong Kong.

May 2016

  • HeiKaMEtrics: From 26th to 29th of May 2016, Prof. Richard Baillie (Michigan State University) is our guest and gives a talk on “Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade-offs with Feasible GLS and VAR Approaches” in the HeiKaMEtrics-Seminar. Link to the abstract

February 2016

  • On February 18, 2016, the second HeiKaMEtrics Doctoral Workshop takes place at the Alfred-Weber-Institute. The workshop is jointly organized by Prof. Christian Conrad (Heidelberg University), Prof. Melanie Schienle (KIT) and Prof. Carsten Trenkler (University of Mannheim). The program is available here.

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Latest Revision: 2017-08-15
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