CRC 649 NL 08, August - hu-berlin.desfb649.wiwi.hu-berlin.de/newsletter/NL_2016-008.pdf · Oliver...
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Collaborative Research Center 649 NL 2016 - 08, August Newsletter CRC 649 Collaborative Research Center 649 „Economic Risk“ Prof. Dr. Wolfgang Härdle Coordinator of the CRC 649 Prof. Michael C. Burda, Ph.D. Deputy Coordinator of the CRC 649 Janine Tellinger-Rice, MBA Managing Director of the CRC 649 Alona Zharova Managing Director of the CRC 649 Phone: +49 (0)30 2093-5630 Fax: +49 (0)30 2093-5649 Email: [email protected]-berlin.de Phone: +49 (0)30 2093-5650 Fax: +49 (0)30 2093-5696 Email: [email protected] Phone: +49 (0)30 2093-1471 Fax: +49 (0)30 2093-5617 Email: [email protected] Phone: +49 (0)30 2093-5708 Fax: +49 (0)30 2093-5617 Email: [email protected] Sonderforschungsbereich 649 “Ökonomisches Risiko” NL 08, August Editorial: sfb649.wiwi.hu-berlin.de Collaborative Research Center 649: “Economic Risk” School of Business and Economics Humboldt-Universität zu Berlin Spandauer Straße 1 10178 Berlin – Germany CRC 649 Office Raphael Reule Phone: +49 30 2093 5708 Fax: +49 30 2093 5617 E-Mail: [email protected] Office: Rooms 309 and 315 "There is no rain above the clouds"
Transcript of CRC 649 NL 08, August - hu-berlin.desfb649.wiwi.hu-berlin.de/newsletter/NL_2016-008.pdf · Oliver...
Collaborative Research Center 649 NL 2016 - 08, August
Newsletter CRC 649
Collaborative Research Center 649 „Economic Risk“
Prof. Dr. Wolfgang Härdle Coordinator of the CRC 649
Prof. Michael C. Burda, Ph.D. Deputy Coordinator of the CRC 649
Janine Tellinger-Rice, MBA Managing Director of the CRC 649
Alona Zharova Managing Director of the CRC 649
Phone: +49 (0)30 2093-5630 Fax: +49 (0)30 2093-5649 Email: [email protected]
Phone: +49 (0)30 2093-5650 Fax: +49 (0)30 2093-5696 Email: [email protected]
Phone: +49 (0)30 2093-1471 Fax: +49 (0)30 2093-5617 Email: [email protected]
Phone: +49 (0)30 2093-5708 Fax: +49 (0)30 2093-5617 Email: [email protected]
Sonderforschungsbereich 649 “Ökonomisches Risiko”
NL 08, August
Editorial:
sfb649.wiwi.hu-berlin.de
Collaborative Research Center 649: “Economic Risk” School of Business and Economics Humboldt-Universität zu Berlin Spandauer Straße 1 10178 Berlin – Germany
CRC 649 Office Raphael Reule Phone: +49 30 2093 5708 Fax: +49 30 2093 5617 E-Mail: [email protected] Office: Rooms 309 and 315
"There is no rain above the clouds"
Collaborative Research Center 649 NL 2016 - 08, August
NEWS OF THE CRC
7. – 9. July 2016 CRC 649 Conference 2016 in Motzen
From the 7th to the 9th of July the CRC 649 Conference took place at the "Residenz am Motzener See". The CRC members presented recent advances of their research projects in an open inspiring atmosphere and discussed perspectives for future developments and collaborations. In our established system, talks were summarized by discussants who also pointed out further ideas from their views. Our invited guests Max Klimm, Yoshiro Yamamoto, Shiyi Chen, Jin Lu, Pui Sun Tam, Florentine Schwark, Oliver Linton, Hanna Krasnova, Oh Hee-Seok and Jürgen Symanzik enriched the event by presenting innovative research and discussing the findings with the CRC members which received great feedback and was very inspiring for the researchers. Further informations on the program are available at the events’ website.
The last Motzen Conference of the CRC 649.
In order to indicate the time of maturity of the CRC 649 the Sigma_T has a capital T at the lower right part.
Alexander von Humboldt research award guest at CRC 649
Prof. Barry J. Barnett, Mississippi State University, will visit the CRC 649 and the Department of Agricultural Economics from September 2016 until June 2017. He is endowed with a Alexander von Humboldt research award and will work on the implementation of weather risk insurance schemes in agriculture.
Collaborative Research Center 649 NL 2016 - 08, August
The award is granted in recognition of a researcher's entire achievements to date to academics whose fundamental discoveries, new theories, or insights have had a significant impact on their own discipline and who are expected to continue producing cutting-edge achievements in the future.
NEWS OF THE PROJECTS
Dorothea Kübler (A6) presented "Clean up your own mess: An experimental study of moral standards and efficiency" with Frank Heinemann (C10) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July. She will be on sabbatical during the winter term 2016/17. She will be a visiting professor at Stanford University.
Helmut Lütkepohl (A15) presented "Structural Vector Autoregressions with Heteroskedasticity: A Review of Different Volatility Models" with Vladimir Spokoiny (B5) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Wolfgang Karl Härdle (B1) participated in the Summer Research Workshop: Quantitative Methods in Economics at Cottbus from 10th to 11th of July 2016.
Ya Qian (B1) presented "On the Connectedness of Different Industries in G20 Economies" with Martin Odening (C11) as discussant at the Motzen Conference of CRC 649, 7th to the 9th of July.
Alla Petukhina (B1) presented "Risk profile clustering strategy in portfolio diversification" at the Motzen Conference of CRC 649, 7th to 9th of July.
Xiu Xu (B1) presented "Dynamic Default Intensity in a network topology – DDI Network" with Oliver Linton (Guest) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Axel Werwatz (B3) presented "What can we learn from online listings data about home values?" with Martin Wahl (C12) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Collaborative Research Center 649 NL 2016 - 08, August
Raphael Schöttler (B3) presented "German industry location since 1895" with Cathy Chen (B1) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Michael Burda (C7) presented "No Role for the Hartz Reforms? Demand and Supply Factors in the German Labor Market, 1993 - 2014" with Pui Sun Tam (Guest) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Maren Brede (C7) presented "Budget-neutral fiscal rules targeting inflation differentials" with Florentine Schwark (Guest) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Grzgegorz Dlugoszek (C7) presented "Solving Assymetric DSGE Models with Portfolio Choice" with Yoshiro Yamamoto (Guest) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Anna Almosova (C7) presented "Social Security Contributions and the Business Cycle" with Elisabeth Bommes (B1) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Philipp Pfeiffer (C10) presented "I Want to Know it Now: Measuring Preferences Over the Temporal Resolution of Consumption Uncertainty" with Gunda-Alexandra Detmers (C14) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Zhiwei Shen (C11) presented "Local adaptive estimation of crop yields" with Jin Lu (Guest) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Dieter Nautz (C14) presented "The Anchoring of Inflation Expectation in the Short and Long Run" with Michael Burda (C7) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Lars Winkelmann (C14) presented "Jump dependencies of Stock Returns and Volatility" with Wolfgang Karl Härdle (B1) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Simon Jurkatis (C14) presented "A noise-robust trade classification algorithm" with Shi Chen (IRTG) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Awdesch Melzer (INF) presented "Pricing Green Energy Products" with Ulrich Horst (A11) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Lukas Borke (INF) participated in the Summer Research Workshop: Quantitative Methods in Economics at Cottbus from 10th to 11th of July 2016.
Alona Zharova (Z) participated in the Motzen Conference of CRC 649 where she presented "Evaluating Research Performance of the Collaborative Research Center 649” together with Janine Tellinger-Rice (Z), from 7th to 9th of July. From 10th to 11th of July she took part in the Summer Research Workshop: Quantitative Methods in Economics at Cottbus and presented her work "Academic Ranking Scales in Economics: Prediction and Imputation".
Matthias Ritter (T1) presented "Jump dependencies of Stock Returns and Volatility" with Chen Huang (IRTG) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Lining Yu (IRTG) presented "Dynamic Expectile Factor Models" with Alexandra Suvorikova (B5) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Collaborative Research Center 649 NL 2016 - 08, August
Max Klimm (Guest, Technische Universität Berlin) presented "Optimal Impartial Selection" at the Motzen Conference of CRC 649, 7th to 9th of July.
Yoshiro Yamamoto (Guest, Tokai University, Japan) presented "Visualization of cross tabulation for multiple-choice questions by ages and gender" at the Motzen Conference of CRC 649, 7th to 9th of July.
Shiyi Chen (Guest, Fudan University, China) presented "The Impact of Shadow Banking System on Risk and Effiency of Traditional Banks" with Nikolaus Wolf (B3) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Hanna Krasnova (Guest, Universität Potsdam) presented "Social Media and Smartphones: The Bright, the Dark and the Ugly" with Radosveta Ivanova-Stenzel (A6) as discussant at the Motzen Conference of CRC 649, 7th to 9th of July.
Jürgen Symanzik (Guest, Utah State University) presented "Deceptive Statistical Graphics in the News and in Science" at the Motzen Conference of CRC 649, 7th to the 9th of July. Furthermore he participated in the Summer Research Workshop: Quantitative Methods in Economics at Cottbus from 10th to 11th of July 2016.
GUESTS OF THE CRC 649 You find a summary of all guests here:
sfb649.wiwi.hu-berlin.de/fedc/guests_actual.php
01.08.2015 - 30.08.2016
04.04.2016 - 15.09.2016
Chen, Yi-Hsuan Cathy Chung-Hua University (TW)
Project: The integration of credit default swaps markets
Contact: Spandauer Str. 1 10178 Berlin Room: 406 Phone: 030-2093-5649
E-Mail: [email protected] Humboldt-Universität zu Berlin personal web page
Yamamoto, Yoshiro Tokai University (JP)
Project: Computational statistics (data visualisation, data analysis system, statistical education)
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Collaborative Research Center 649 NL 2016 - 08, August
05.04.2016 - 28.02.2017
03.06.2016 - 30.08.2016
01.07.2016 - 15.08.2016
01.07.2016 - 31.08.2016
Karahanoglu, Ilhami Development Bank of Turkey (TR)
Project: Copula Based Models for Financial Time Series Including the Credit and Market Risk - Portfolio VaR
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Lu, Jin University of Shanghai for Science and Technology (CN)
Project: Dependence modelling in financial markets, Financial risk management
Contact: Spandauer Str. 1 10178 Berlin Room: 318 Phone: 030-2093-5895 E-Mail: [email protected]
Linton, Marco York University (GB)
Project: Machine Learning and Applications, Natural Language Processing, Text Mining
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Chen, Xiaoyu Fudan University (CN)
Project: MATLAB
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Collaborative Research Center 649 NL 2016 - 08, August
01.07.2016 - 31.08.2016
01.07.2016 - 31.08.2016
01.07.2016 - 15.09.2016
19.07.2016 - 19.08.2016
Chen, Dengke Fudan University (CN)
Project: Applied Econometrics, Chinese Economy
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Ji, Xiaohao Fudan University (CN)
Project: MATLAB / R
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Chen, Shiyi Fudan University (CN)
Project: Air pollution reduction, related health problem, and economic sustainable development
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Chen, Haiqiang Xiamen University (CN)
Project: Nonlinier non-stationary time series; Financial econometrics; Empirical finance
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Collaborative Research Center 649 NL 2016 - 08, August
NEW DISCUSSION PAPERS More detailed information is available here.
2016-024 "Simultaneous Inference for the Partially Linear Model with a Multivariate Unknown Function when the Covariates are Measured with Errors" (File) by Kun Ho Kim, Shih-Kang Chao and Wolfgang K. Härdle, August 2016.
2016-025 "Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional AutoRegressive Dynamics" (File) by Ying Chen, Wee Song Chua and Wolfgang K. Härdle, August 2016.
PUBLICATIONS Härdle, W. and Silyakova, E. Implied basket Correlation Dynamics Statistics and Risk Modeling DOI: 10.1515/strm-2014-1176
19.07.2016 - 19.08.2016
20.08.2016 - 21.08.2017
Li, Yingxing Xiamen University (CN)
Project: Non-parametric functional data analysis; Dimension reduction
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Zhu, Leo Jun Nanjing University of Finance and Economics (CN)
Project: DSGE and Bayesian Methods, Dynamic Fiscal Policy, Chinese Economy
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Collaborative Research Center 649 NL 2016 - 08, August
Härdle, W. K., Huang, C. and Chao, S. K. Factorisable Sparse Tail Event Curves with Expectiles Oberwolfach Report No. 12/2016: New Developments in Functional and Highly Multivariate Statistical Methodology DOI: 10.4171/OWR/2016/12 Härdle, W. K. and Huang, C. Discussion on "Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings" by Werner Ehm, Tilmann Gneiting, Alexander Jordan and Fabian Krüger. Journal of the Royal Statistical Society: Series B Statistical Methodology DOI: 10.1111/rssb.12154
Quantlets Simultaneous Inference for the Partially Linear Model with a Multivariate Unknown Function when the Covariates are Measured with Errors
Project: EIV_UCS
This research project analyzes the nonparametric part of a partially linear model when the covariates in parametric and non-parametric parts are subject to measurement errors. Based on a two-stage semi-parametric estimate, we construct a uniform confidence surface of the multivariate function for simultaneous inference. The developed methodology is applied to perform inference for the U.S. gasoline demand where the income and price variables are measured with errors. The empirical results strongly suggest that the linearity of the U.S. gasoline demand is rejected.
More details of results and methodology are described in the recent discussion paper Kun Ho Kim, Shih-Kang Chao and Wolfgang K. Härdle (2016) “Simultaneous Inference for the Partially Linear Model with a Multivariate Unknown Function when the Covariates are Measured with Errors”, SFB 649 DP 2016-024.
All corresponding R codes can be found here in Quantnet on Github.
The Quantlet EIV_UCS performs bivariate kernel smoothed regression and bootstrapped confidence bands for gasoline demand on personal income and gasoline price (see Fig. 1).
Collaborative Research Center 649 NL 2016 - 08, August
Fig. 1 U.S. gasoline demand in income and price
Collaborative Research Center 649 NL 2016 - 08, August
CRypto IndeX
Please visit the projects’ website for further informations: http://crix.hu-berlin.de/
Figure. 2 CRyptocurrency IndeX showing past three months’ progress.
Collaborative Research Center 649 NL 2016 - 08, August
financialriskmeter Please visit the projects’ website for further informations: http://sfb649.wiwi.hu-berlin.de/frm/
Figure. 3 Linear CoVaR Time series. Interactive moving time window available online.
Collaborative Research Center 649 NL 2016 - 08, August
QUOTE OF THE MONTH
“Judge a man by his questions rather than his answers.”
François-Marie “Voltaire” Arouet (21. November 1694 – 30. May 1778).
Please also note that the newsletter is published on the homepage of the CRC 649.
Editorial deadline for the Newsletter of August 2016 is 29.08.2016.
