Empirical Economics



June 2018

  • Onno Kleen and Michael Stollenwerk attended the SoFiE Financial Econometrics Summer School 2018: Big Data in Macroeconomics and Finance, Brussels, June 4-8, 2018.
  • HeiKaMEtrics-Seminar: On June 01, the RTG 1953 "Statistical Modeling of Complex Systems" and HeiKaMEtrics organize a joint econometrics workshop: Stefan Wager (Stanford University) will give talks on "Optimized Regression Discontinuity Designs" and "Augmented Minimax Linear Estimation". Location: Heidelberg University, Mathematikon, conference room, 5th floor. The abstracts can be found here.

May 2018

  • Michael Stollenwerk gave a talk on „Dynamic Principal Component CAW Models for High-Dimensional Realized Covariance Matrices" (joint paper with Bastian Gribisch) at the Quantitative Finance and Financial Econometrics (QFFE) Conference 2018, Marseille, May 30 – June 01, 2018.
  • Christian Conrad presented the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" (joint with Onno Kleen) at the QFFE 2018 - Quantitative Finance and Financial Econometrics conference, Aix-Marseille School of Economics, May 31, 2018.
  • Michael Stollenwerk attended Quantitative Finance and Financial Econometrics Summer School 2018: Marseille, May 28-30, 2018.
  • HeiKaMEtrics-Seminar: On May 28, Victor Chernozhukov (Massachusetts Institute of Technology) will give a talk on "Double/De-Biased Machine Learning with Regularized Riesz Representers" in the HeiKaMEtrics-Seminar. Location: Heidelberg University, Mathematikon, Room SR C. The abstract can be found here.
  • New publication: Conrad, C., and M. Schienle (2018). "Testing for an omitted multiplicative long-term component in GARCH models." Journal of Business & Economic Statistics, forthcoming.
  • New publication: Conrad, C., A. Custovic, and E. Ghysels (2018). "Long- and short-term cryptocurrency volatility components: A GARCH-MIDAS analysis." Journal of Risk and Financial Management, 11, 23.

April 2018

  • HeiKaMEtrics-Seminar: On April 26, Bernd Schwaab (European Central Bank) will give a talk on "Risk endogeneity at the lender-/investor-of-last-resort". Location: Karlsruher Institut für Technologie, Building 09.21, Room 320, 11:45-13:00. The abstract con be found here.
  • Onno Kleen presented the paper "Low-volatility forecasting for low-volatility investing" (joint with Christian Conrad and Fabian Krüger) at the Frontiers of Factor Investing Conference, Lancaster University, April 23, 2018.

March 2018

  • Onno Kleen persented the paper "Two are better than one: volatility forecasting using multiplicative component GARCH models" (joint with Christian Conrad) at the IV International PhD Conference in Economics, University of Leicester, March 23, 2018.

February 2018

  • Alexander Glas presented the paper "Overconfidence versus rounding in survey-based density forecasts" (joint with Matthias Hartmann) at the 11th RGS Doctoral Conference in Economics of the University Duisburg-Essen, February 22, 2018.

  • On February 22, Manfred Deistler (TU Vienna) and Alexander Braumann (TU Braunschweig) will give a talk in the HeiKaMEtrics Seminar. Manfred Deistler presents the paper "Generalized Linear Dynamic Factor Models - A Structure Theory" and Alexander Braumann the paper "Bootstrapping for Vector Autoregression Estimates in Generalized Dynamic Factor Models". Location: University of Mannheim, L7, 3-5, Room S 031. Link to the abtract (Deistler, Braumann).












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Latest Revision: 2018-06-18
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