- 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.
- 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.
- 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.
- 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.
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).
In the summer term 2018 the Chair of Empirical Economics offers the following courses:
- Economic and Social Statistics (Bachelor)
- Empirical Finance (Bachelor and Diploma)
- Seminar Applied Econometric Methods (Master and Diploma)