C.A.S.E. Newsletter. Nr. 2 June 2011

Size: px

Start display at page:

Download "C.A.S.E. Newsletter. Nr. 2 June 2011"

Randolf Harrell
5 years ago
Views:

2 June 2011 - Center für Applied Statistics and Economics Tel:

1 C.A.S.E. Newsletter Nr. 2 June 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 PREVIOUS EVENTS May nd Humboldt-Copenhagen Conference on Financial Econometrics On May 13th and 14th, the 2nd Humboldt-Copenhagen Conference on Financial Econometrics took place in Copenhagen. It was the second meeting in a conference series initiated by Nikolaus Hautsch and Anders Rahbek (University of Copenhagen) with the inaugural meeting having taken place two years ago in Berlin. The biennial event alternates between Berlin and Copenhagen and is a joint initiative between C.A.S.E., the CRC 649 and the Department of Economics at the University of Copenhagen. For this 2nd Humboldt-Copenhagen ( HUKU ) conference, the Center of Research in Econometric Analysis of Time Series (CREATES) at Aarhus University also joined as a sponsor. The aim of the conference is to regularly bring together leading financial econometricians and to push forward financial econometric research in Europe. For this year s conference, a high number of submissions were received and were assessed by an international programme committee consisting of leading econometricians from Europe and the U.S. The resulting programme was of a very high quality and covered all major fields in current financial econometric research, including the estimation and modelling of volatility and correlation, highfrequency finance, asset pricing, term structure modelling, systemic risk as well as methodological contributions in non-linear time series analysis, factor models and copula modelling. The conference took place on the campus of the University of Copenhagen and brought together approximately 70 researchers from Europe and the U.S. Besides contributed sessions and a poster session, the two highlights were the invited talks by Nour Meddahi (Toulouse School of Economics) and Stephen Taylor (Lancaster Business School). Unfortunately, the third invited speaker planned, Bas Werker (Tilburg University) had to cancel his participation because of family reasons. The very positive feedback from the participants indicates that the event was a great success and suggests that the HUKU conference series is establishing itself as one of the regular meeting points of top international researchers in this field. 2

3 NEWS Wolfgang Härdle gave a talk on "Pricing Asian temperature Risk" at New York University on 1 April 2011 and gave two further talks entitled "Localising temperature risk" at The New School, New York on 5 April and "Flexible Quantile and Expectile regression with confidence bands and temperature shifts" at Rutgers University, New Jersey on 6 April Nikolaus Hautsch was involved in the organisation of the second Humboldt-Copenhagen Conference on Financial Econometrics on May 13 and 14 in Copenhagen; full details of this can be found above. Nikolaus Hautsch s second commitment of this quarter was a talk entitled "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Models" at the Conference on Macro and Financial Economics: Theory and Applications at Brunel University on 24 May. He was also invited to be a participant and discussant at the Nonlinear and Financial Econometrics Conference: A Tribute to A. Ronald Gallant at the Toulouse School of Economics from 19 to 21 May, and finally he gave a talk at the 4th Annual Meeting of the Society for Financial Econometrics (SoFiE) in Chicago, June on "Quantifying Marginal Systemic Risk Contributions". Melanie Schienle gave a talk on "Nonparametric Regression with Generated Covariates" at the Symposium on Econometric Theory and Applications that took place at Monash University Melbourne from 12 to 18 April Melanie Schienle also attended the Conference on Macro and Financial Economics: Theory and Applications at Brunel University on 24 May and co-authored the paper which Nikolaus Hautsch presented there. Michael C. Burda attended the commemoration ceremony for Detlef Carsten Rohwedder and participated in a podiums discussion about "Balances on the Trust Institution: Economy and employment" on 1 April 2011 at the Federal Ministry of Economics and Technology in Berlin. He held a lecture entitled "Payroll Taxes, Social Insurance and Business Cycles" in the research seminar at the Center for Macroeconomic Research at the University of Cologne on 27 April Michael C. Burda gave a talk entitled "What Explains the German Labor Market Miracle in the Great Recession?" in the CAWM Colloquium at the Westfälische Wilhelms-Universtität Münster on 5 May He participated in the podium discussion "Growth and Sustainability a discrepance?" at the Humboldt- Forum Wirtschaft on 11 May Prof. Burda held a lecture on "Payroll Taxes, Social Insurance and Business Cycles" at the CPB seminar at the Netherlands Bureau for Economic Policy Analysis in The Hague on 12 May On the same day he gave a talk about "Paying for Social Security in the Long and the Short Run" at the Ministry of Social Affairs in The Hague. Within the SPEA Overseas Education Programs Prof. Burda gave a lecture on "Contemporary Policy Debate in Germany and Europe" at the Hertie School of Governance in Berlin on 19 May From 26 to 28 May 2011 Prof. Burda participated at the 10th IZA/SOLE Transatlantic Meeting of Labor Economists in Buch/Ammersee and held a lecture on "Payroll Taxes, Social Insurance and Business Cycles". Joachim Gassen published the 8th edition of the textbook "Internationale Rechnungslegung" in coauthorship with Bernhard Pellens, Rolf-Uwe Fülbier and Thorsten Sellhorn on 15 April Furthermore he attended the annual congress of the European Accounting Association (EAA) in Rome from 20 to 22 April where he gave a talk entitled "The Contracting Role of Income Smoothing: Evidence of European Private Firms" (joint work with Rolf Uwe Fülbier). Furthermore Joachim Gassen and Tim Adam (Institute of Corporate Finance, Humboldt University Berlin) hosted a PhD-level Accounting and Finance Seminar in the summer term of On April 15 Hermann Elender (University Vienna) gave a talk entitled Re-mapping Credit Ratings. On May 6 Jens Jackwerth (University Konstanz) gave a talk entitled Recovering Delisting Returns of Hedge Funds. On May 27 Gunter Löffler (University Ulm) gave a talk entitled Can corporate credit ratings be explained by simple decision heuristics? On June 10 Markus Wiemann gave a talk entitled Accountingbased versus rating-based performance pricing in bank loan contracts. On June 23 Jochen Bigus (FU Berlin) gave a talk entitled Income smoothing with unlimited liability firms. 3

4 Tim Adam was a visiting researcher at the Hong Kong University of Science and Technology from 17 to 23 April He gave a talk about The Use of Credit Default Swaps by U.S. Fixed-Income Mutual Funds, at the University of Cologne on 5 May In June, Tim Adam gave talks on The Use of Credit Default Swaps by U.S. Fixed-Income Mutual Funds at the 2011 FIRS Conference, in Sydney, Australia and "Managerial Biases and Corporate Risk Management" at the International Risk Management Conference in Amsterdam. Markus Reiß and Markus Bibinger gave talks about "Inference on the volatility in diffusion models with noise and Le Cam theory" and "Covariance estimation for non-synchronous noisy high-frequency observations" at the workshop "Asymptotical Statistics of Stochastic Processes VIII" in Le Mans from 16 to 20 March Thorsten Dickhaus gave a talk on "Multiple testing under structural assumptions" at the "Structural Inference Day" at the University Hamburg on 18 April Prof Dickhaus gave a talk on Neurophysiological Predictor of SMR-based BCI Performance at the "BIT s 2nd Annual World Congress of NeuroTalk " in the World EXPO Center, Dalian, China from 21 to May On 23 June Prof. Dickhaus participated at the 12th annual workshop for the "Adaptive Designs and Multiple Testing Procedures in Lancaster, UK, which is a joint working group of the Austrian-Swiss (ROeS) < and German (DR) < regions of the International Biometric Society (IBS) < His talk was on "Binary classification with pfdr-pfnr losses". Bengt-Arne Wickström participated at Tagung des Ausschusses für Bevölkerungsökonomik in Feburary 2011 in Mannheim. He organised and gave a talk on the 9th International Workshop on Operations Research: Operations Research for Medicine and Environment in Havanna, March 2011, on "Dynamic models of language use: An overview". Prof. Wickström participated at the 2011 Meeting of the European Public Choice Society, Rennes in April and May Prof. Wickstöm became a member of the Kommission zur Auswahl von Kandidat(inn)en für das MEMS Program in Economics and Management Science, Moscow in April 2011 and a member of the Kommission zur Auswahl von Kandidat(inn)en für das Internationale Parlaments-Stipendium des Deutschen Bundestages und der Assemblée in May 2011 Bengt-Arne Wickström taught at the International Summer School in Economics and Management (ISSEM), Havanna, in September and October He also held a lecture at Freie Universität Bozen on Public Economics from October 2010 to December 2010 and a lecture on Finanzwissenschaft from February to April Christian Schade was invited by the Psychology Dept. of Columbia University, New York to present his paper Holding on for too long? An experimental study on inertia in entrepreneurs' and nonentrepreneurs' disinvestment choices (co-authored by Serena Sandri, Oliver Mußhoff and Martin Odening) at their Laboratory Seminar on 7 April He also presented the same paper at the invitation of the Ausschuß für Unternehmenstheorie und -politik of the Verein für Socialpolitik at their General Meeting in Bendorf on 14 April 2011 as well as at the invitation of the Johann Wolfgang Goethe- Universität Frankfurt on 1 June On 15 June 2011 Christian Schade held a Pre-Conference Workshop on the Methodology of Experimental Research during the Annual Meeting of the Verband der Hochschullehrer für Betriebswirtschaft in Kaiserslautern. Roland Strausz was on a research stay at the University of Washington, Seattle from 2 to 12 May 2011 and at the Simon Fraser University, Vancouver from 13 May to 1 June Prof. Strausz gave a talk on" Hierarchical Structures and Dynamic Incentives" at the University of Washington on 6 May and at the Simon Fraser University on 26 May. He participated in the Canadian Economic Theory Conference at UBC Vancouver from 13 to 15 May and gave a talk entitled "The Political Economy of Regulatory Risk". Finally, Roland Strausz gave a talk about "Sequential Screening and Ex Post Participation" at the UBC Vancouver on 18 May

5 We are sad to announce that Roland Strausz leaves CASE at the end of this quarter after a long association. We wish him all the best with his future endeavours. PUBLICATIONS Progrebna, G./Krantz, D./Schade, C./Keser, C. (2011): Words versus Actions as a Means to influence Cooperation in Social Dilemma Situations, online and accepted for publication in Theory and Decision 2011, DOI: /s B.-A. Wickström (2010): Finanzpolitik und Schattenwirtschaft/(Reihe: Schriften des Vereins für Socialpolitik. Neue Folge, Band 324) (Herausgeber). Berlin: Duncker & Humblot (2010). 196 Seiten. B.-A. Wickström (2010): Finanzpolitik und Unternehmensentscheidung/(Reihe: Schriften des Vereins für Socialpolitik. Neue Folge, Band 325) (Herausgeber). Berlin: Duncker & Humblot (2010). 260 Seiten. B.-A. Wickström (2010): Lingvaj rajtoj kaj lingva justeco. /La arto labori kune: Festlibro por Humphrey Tonkin /(Detlev Blanke und Ulrich Lins, Herausgeber). Rotterdam: UEA (2010) B.-A. Wickström (2011): Öffentliche Finanzen, Fiskalwettbewerb, Nachhaltigkeit und soziale Wohlfahrt/(Reihe: Schriften des Vereins für Socialpolitik. Neue Folge, Band 330) (Herausgeber). Berlin: Duncker & Humblot (2011). 239 Seiten. B.-A. Wickström (2011): Die Sprache als erneuerbare Ressource: Die Kapazität verschiedener Sprachen, fremde Elemente zu nostrifizieren. /Florilegium interlinguisticum: Festschrift für Detlev Blanke zum 70. Geburtstag/ (Cyril Brosch und Sabine Fiedler, Herausgeber). Frankfurt am Main: Peter Lang (2011) Steven Lemm, Benjamin Blankertz, Thorsten Dickhaus, Klaus-Robert Müller (2011): Introduction to Machine Learning for Brain Imaging, NeuroImage, Vol. 56, No. 2 (2011), Karaman-Örsal, D. and Droge, B. (2011): Corrigendum to "Likelihood-Based Cointegration Tests in Heterogeneous Panels", Econometrics Journal, 14, Nikolaus Hautsch, Dieter Hess and David Veredas (2011): The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility, Journal of Banking and Finance, in press Axel Groß-Klußmann and Nikolaus Hautsch (2011): "When machines Read the News: Using Automated Text Analytics to Quantify High Frequency News-Implied Market Reactions", Journal of Empirical Finance, 18 (2),

6 R. Strausz, D. Krähmer (2011): Corrigendum to Correlated information, mechanism design and informational rents [Journal of Economic Theory 123 (2005) [ ], Journal of Economic Theory, Pellens, B., R. U. Fülbier, J. Gassen und T. Sellhorn (2011): Internationale Rechnungslegung, 8. Auflage. Schäffer-Poeschel, Stuttgart. J. Gassen, J. Pierk und M. Weil (2011): Pensionsrückstellungen nach dem BilMoG - Erste empirische Evidenz, in: Der Betrieb, 64. Jg. (2011), S Härdle, W., Simar, L. (2011): 应用多元统计分析, 第二版,, Chinese translation of Applied Multivariate Statistical Analysis. Peking University Press. ISBN: /F-2670 Rainer Schulz and Axel Werwatz (2011): "Is there an equilibrating relationship between house prices and replacement cost? Empirical evidence from Berlin", Journal of Urban Economics, Volume 69, Issue 3, May 2011, Pages DISCUSSION PAPERS Discussion Papers can be found at: James E. Gentle, Wolfgang Karl Härdle, Yuichi Mori (2011): "How Computational Statistics Became the Backbone of Modern Data Science", available at: Russ Moro, Wolfgang Härdle, Saeideh Aliakbari, Linda Hoffmann (2011): Forecasting Corporate Distress in the Asian and Pacific Region, available at: C. Burda, Jennifer Hunt (2011): What Explains the German Labor Market Miracle in the Great Recession?, available at: Markus Reiß, Yves Rozenholc, Charles A. Cuenod (2011): Pointwise adaptive estimation for quantile regression, available at: Markus Reiß (2011): Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise, available at: Johanna Kappus, Markus Reiß (2011): Estimation of the characteristics of a Lévy process observed at arbitrary frequency, available at: 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 3 nd Newsletter of 2011 is 15 September

C.A.S.E. Newsletter. Nr. 3 September 2013

C.A.S.E. Newsletter. Nr. 3 September 2013 C.A.S.E. Newsletter Nr. 3 September 2013 C.A.S.E. - Center für Applied Statistics and Economics Tel: +49(0)30-2093-5630 Humboldt-Universität zu Berlin Fax: +49(0)30-2093-5649 Wirtschaftswissenschaftliche