C.A.S.E. Newsletter. Nr. 3 September 2011

Transcription

1 C.A.S.E. Newsletter Nr. 3 September 2011 C.A.S.E. - Center für Applied Statistics and Economics Tel: +49(0) Humboldt-Universität zu Berlin Fax: +49(0) Wirtschaftswissenschaftliche Fakultät Mail: case@wiwi.hu-berlin.de Spandauerstr.1 URL: Berlin

2 CURRENT EVENTS October 2011 Hermann Otto Hirschfeld Lecture Series 2010 Modelling Heterogeneity in Econometrics This year s speaker is Jerry A. Hausman who is the John and Jennie S. MacDonald Professor of Economics at MIT in Cambridge, Massachusetts, USA. He has taught at MIT for 30 years and is the Director of the MIT Telecommunications Economics Research Program October 2011 Humboldt - Princeton Conference Risk Patterns in Economics, Statistics, Finance and Medicine The biennial Humboldt-Princeton Conference will take place on 28 and 29 October After the successes of the first two conferences held at Humboldt- Universität in 2007 and in Princeton in 2009 this year researchers of both universities will meet again in Berlin to debate under the theme: Risk Patterns in Economics, Statistics, Finance and Medicine. NEWS On 24 June Wolfgang Härdle gave a talk entitled "Localising Temperature Risk" at University College London. During the course of the summer he was appointed as an Associate Editor of the Journal Statistics and Risk Modeling, published by Oldenbourg Verlag. On 26 August he gave a talk on "Local Quantile Regression" at Suzhou University of Science and Technology, Jiangsu province in China. On 12 August, in celebration of the 30th birthday of the Personal Computer, Wolfgang Härdle gave a short interview about his passion for collecting computers for the TV-station ZDF. See the clip here: Siegeszug-des-Computers From 28 August to 18 September Wolfgang Härdle was based in Hong Kong on the DAAD financed project on "Single index models for quantile regression". He gave a talk at Hong Kong University of Science and Technology on 5 September on "Time Varying Independent component analysis" This was followed by a talk about "Risk attitudes and brain correlates" on 6 September at the University of Macau and on 7 September a talk on "How to tame CDOs?" at the Hong Kong Baptist University. This was followed up by a talk at Hong Kong University entitled "Localising Temperature Risk" on 12 September, and on 15 September on "An Axiomatic and Data Driven View on the EPK Paradox" at the Wang Yanan 2

3 Institute for Studies in Economics, Xiamen University. Back in Germany on 23 September he talked about "Quantile Regression and Partial Linear Models" at the Statistische Woche in Leipzig and finally in Opatija, Croatia he gave a talk on "Localising Temperature Risk" at the Workshop on Statistical Analysis of Financial Data on 30 September. Between August Ostap Okhrin attended the 58th World Statistics Congress of the International Statistical Institute in Ireland and gave a talk on "Realized Copula". On the 15 September together with Tatiana Ermakova he gave a talk at Deutsche Telecom AG in Darmstadt on "Dynamic Market Model". Between September he gave two talks at the DStatG "Statistische Woche" in Leipzig on "Realized Copula" and "Localising Temperature Risk" where he also organised a satellite event on the "Financial Statistics". From 29. September until 2 October he presented "HMM for HAC" at a Workshop on "Statistical Analysis of Financial Data" in Opatija, Croatia for the University of Rijeka. Nikolaus Hautsch and Melanie Schienle attended the Macro and Financial Econometrics Conference in Heidelberg from 29 to 30 September Melanie Schienle gave a talk on Financial Network Systemic Risk Contributions at the Jahrestagung des Vereins für Socialpolitik from September 5-7 in Frankfurt am Main and at the Macro- and Financial Econometrics Conference at Heidelberg University, between September. Melanie Schienle also visited Mannheim University for a research stay with Enno Mammen and Kyusang Yu from July. Furthermore she attended the 4th Annual Meeting of the Society for Financial Econometrics (SoFiE) in Chicago from 15 June to 17 June Tim Adam was a visiting researcher at the Department of Finance, Business School, Hong Kong University of Science and Technology from 31 August to 17 October. Marlene Müller attended the user! 2011 conference at the University of Warwick (UK) from 16 to 18 August 2011 where she gave a lightning talk on "R scripts for nonparametric function estimation". She also attended the 58th ISI World Statistics Congress in Dublin from August 2011 with a contributed talk on A case study on using generalized additive models to fit credit rating scores. On 4 August she was the lecturer at a one-day practitioner s workshop on "Credit Rating" at the Fraunhofer ITWM in Kaiserslautern. Thorsten Dickhaus attended the 7 th International Conference on Multiple Comparison Procedures (MCP 2011) conference in Washington DC/Rockville, Maryland, from 30 August to 1 September, where he gave two talks, entitled Binary classification with pfdr-pfnr losses and utoss Multiple hypotheses testing in an open software system". Martin Odening attended the Annual Meeting of the American Risk and Insurance Association (ARIA) in San Diego from 7-10 August. He presented a joint paper with Ostap Okhrin and Wei Xu entitled "Systemic Weather Risk and Crop Insurance: The Case of China". Xiaofeng Cao, a member of Farm Management, gave a talk on Increasing Weather risk: Fact or Fiction at the International Conference on Ecohydrology and Climate Change, from September in Tomar, Portugal on behalf of the authors Martin Odening, Wolfgang Härdle, Weining Wang and Ihtiyor Bobojonov. Martin Odening participated at the Annual Meeting of the German Association of Agricultural Economists from September in Halle. Finally Martin Odening co-authored a paper on Determinants of Agricultural Land Prices in East Germany in this quarter. Lutz Hildebrandt gave a talk with the title Towards understanding customers substitution patterns when branded items become unavailable at the 18th International Conference on Retailing and Consumer Service Science (EIRASS), in July in San Diego. Together with Jana Diels he attended the annual meeting of the research group "Konsum & Verhalten" from September 2011 in Nürnberg where they presented their research projects. From last quarter, we must also point out that Lutz Hildebrandt participated at the 33 rd INFORMS Marketing Science Conference in Houston, USA, from 3

4 9-11 June 2011 and gave a presentation entitled Understanding Customers Substitution Patterns when Branded Items Become Unavailable. New CASE member Brenda Lopez-Cabrera attended the 4th Annual Meeting of the Society for Financial Econometrics (SoFiE) in Chicago from 15 June to 17 June 2011 and gave a talk about "Localising Temperature Risk". Further she participated in the Workshop "Pricing Kernel Puzzle" on 12 July 2011 at Konstanz University. The title of her talk was "State Pricing Densities for Weather Derivatives". She gave a talk on "Localising Temperature Risk" on 23 September at the German Statistical Week in Leipzig. Joachim Gassen attended the 19th Conference "Cheap Talk and Signaling" at Wissenschaftszentrum Berlin from June He gave a talk entitled "Financial Accounting Regime Choice when Objectives Compete" (joined work with Timo Eisenschink). Furthermore he attended the 5th LSE/MBS Conference "In Search of the Ideal GAAP: Stewardship, Decision-making and the Way Forward" at London School of Economic on 27 June Also he held a PhD-level "Empirical Accounting Research Seminar" in cooperation with the VHB from September. Michael C. Burda participated in the "Festival of Economics 2011: The Borders of Economic Freedom" from 2-4 June 2011 in Trento/Italy and held a lecture "Behind the German Miracle". From 11 to 14 June 2011 he visited the Copenhagen Business School for a research stay at the Department of Economics. He gave a special lecture "Greece, Portugal, Ireland. Endgame or Jumpstart for the Euro" on 15 June 2011 at the International Office, School of Business and Economics, Humboldt-Universität zu Berlin. From June 2011 Prof. Burda participated in the board meeting for Macroeconomics of the Verein für Socialpolitik in Zürich and held a lecture on "Payroll Taxes, Social Insurance and Business Cycles". He now is the new chairman of the Verein für Socialpolitik. As session chair he also participated at the annual VfS-congress 2011 "The order of the world economy: Lessons from the crisis" from 4 to 7 September 2011 in Frankfurt am Main. On 27 September 2011 he took part as a discussant at the panel "The debt challenge in Europe and the U.S." at the international Bruegel- PIIE conference "Transatlantic Economic Challenges in an Era of Growing Multipolarity" in Berlin. Michael Burda attended the annual reception of the Humboldt-Universitäts-Gesellschaft on 29 September 2011 in Berlin and held a lecture on "State indebtedness crisis: Final or cold start for Europe?". Axel Werwatz participated in an econometrics conference at University College London in honor of Joel Horowitz from June Markus Reiß participated at the International Conference Statistical Methods for Dynamik Stochastic Models DYNSTOCH 2011 in Heidelberg from 6-18 June Christian Schade attended a communication forum held by the VolkswagenStiftung in Hannover on 22 and 23 June 2011 entitled Im Gehen Denken and attended the workshop Wege zu neuen Themen. PUBLICATIONS Hautsch, N. (2012): "Econometrics of Financial High Frequency Data", Springer, Berlin. Lottmann, F. (2012): "Spatial Dependencies in German Matching Functions", Regional Science and Urban Economics, 42, Hautsch, N. and Huang, R. (2011): "Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data", in: "Market Microstructure: Confronting Many Viewpoints - Conference Proceedings", F. Abergel, J.-P. Bouchard, T. Foucault, C. Lehal, M. Rosenbaum (eds.), Wiley Intersciences 4

5 Müller, M. (2011): A case study on using generalized additive models to fit credit rating scores, ISI Conference Proceedings, Dublin, to appear. Härdle,W., Xia, C. and Zhu, L. (2011): Generalized single index models: the EFM approach, Ann. Statist.,39, No. 3, DOI: /10-AOS871 M. Fischkin, J. Gassen (2011) Ökonomie des Abschlussprüferwechsels, Zeitschrift für Betriebswirtschaft 81, Online first. DOI: /s Koellinger, P., Minniti, M., and Schade, C. (2011): Gender differences in entrepreneurial propensity. Forthcoming in Oxford Bulletin of Economics and Statistics. Schade, C., Kunreuther, H. C. and Koellinger, P. (2011): Protecting Against Low-Probability Disasters: The Role of Worry. Forthcoming in Journal of Behavioral Decision Making DISCUSSION PAPERS Discussion Papers can be found at: Wiebach, N. and Diels, J. (2011): "The impact of context and promotion on consumer responses and preferences in out-of-stock situations", available at Groß Klußmann, A. and Hautsch, N. (2011): Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditonal Poisson Models Stahlschmidt, S., Tausendteufel, H., Härdle, W (2011): Bayesian Networks and Sex-related Homicides Burda, M. and Hunt, J. (2011): What Explains the German Labor Market Miracle in the Great Recession? Werwatz, A., Zloczysti, P., Belitz, H., Clemens, M., von Hirschhausen, C. and Schmidt-Ehmcke, J. (2011): An Indicator for National Systems of Innovation Methodology and Application to 17 Industrialized Countries Härdle, W., Chen, R. and Chen, Y (2011): TVICA Time Varying Independent Component Analysis and its Application to Financial Data Härdle, W. and Osipenko, M. (2011): Pricing Chinese rain: a multisite multi-period equilibrium pricing model for rainfall derivatives Hautsch, N. and Huang, R. (2011): Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data Nikolaus Hautsch, Lada M. Kyj, Peter Malec (2011): "The Merit of High-Frequency Data in Portfolio Allocation" Wiebach, N., Hildebrandt, L. (2011): Explaining customers switching patterns to brand delisting. Journal of Retailing and Consumer Services (2011). DOI: /j.jretconser

6 Please note that the CASE Newsletter is also published on the CASE homepage. The C.A.S.E. - Newsletter appears every three months. The deadline for the 4 th Newsletter of 2011 is 15 December