Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

Participation

Professor Wolfgang Karl Härdle, Speaker of the IRTG 1792, orgnized a minitrack on Crypto Currencies together with Vasile Alecsandru Strat, Academia de Studii Economice din Bucuresti, at the 12. International Conference on Business Intelligence at Bukarest, Romania on the 22.-23.03.2018.

Alla Petukhina gave a talk “Portfolio optimisation strategies with cryptocurrencies”.

Bruno Spilak gave a presentation on "Deep Neural Networks for Price Prediction in the Cryptocurrency Market".

Participation

Professor Wolfgang Karl Härdle, Speaker of the IRTG 1792, gave a talk on Textual Sentiment and Sector Specific Reaction at the Banca d’Italia at Rome on the 25.03.2018.

Participation

Professor Wolfgang Karl Härdle, Speaker of the IRTG 1792, gave a talk on the 08.05.2018 on the trends in the development of Cryptocurrencies at the Faculty of Economics and Business of the University of Rijeka.

The events' website can be reached here.

Dissertation: P. Burdejova completes PhD

28.03.2018. Petra Burdejova, PhD student, defended her PhD dissertation on "Trend Testing and Modeling of Dynamic Tail Event Curves". Congratulations and all the best for her future career in academia - we certainly have to expect more to come from this extraordinary young researcher!

Team

Raphael C. G. Reule has joined the team as the new IRTG Managing Director starting from 01.03.2018.

Alona N. Zharova has joined the team of Professor Lessmann, HUB, as PostDoc.

Publication

The paper "Network Quantile Autoregression" by Xuening Zhu, Weining Wang, Hangsheng Wang and Wolfgang Karl Härdle was accepted for publication in the Journal of Econometrics, with the appendix being accepted for web publication.

We look forward to see their article appear in a future issue of JoE.
The article will be based on the SFB 649 Discussion Paper 2016-50.
Our most recent discussion papers are available in our research results section.

Workshop: Energy Finance

For the sixth time the annual Energy Finance Workshop took place in the beautiful village of Stolberg in the Harz from April 11 - 12. 10 participants from the Ladislaus von Bortkiewicz Chair of Statistics, Humboldt-Universität zu Berlin, the Chair for Energy Trading and Finance, University of Duisburg-Essen and University of St. Gallen presented their on-going research in a friendly and inspiring atmosphere.

Energy markets are developing rapidly, with new marketplaces emerging globally for electricity, weather and emissions. The Energy Finance workshop Stolberg 2018 focused on recent trends in modelling and management of price risk due to increasing renewable in-feed. The topics included, but were not limited to wind energy, intraday pricing, battery storage, climatology and applied advanced statistical and forecasting methods.

Participation

Professor Wolfgang Karl Härdle, Speaker of the IRTG 1792, visited the Croatian Statistical Association at the Croatian Bureau of Statistics and discussed the digitalisation of economy, with the development of the cryptocurrency market in particular.

Tribute to an outstanding researcher

Professor Hans-Georg Müller, a long term colleague and guest of the CRC 649 and the IRTG 1792, will receive the Humboldt Research Award (Humboldt-Forschungspreis) from the Alexander von Humboldt-Stiftung.

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.

Academics from abroad, regardless of their discipline or nationality, may be nominated for a Humboldt Research Award. Award winners are invited to spend a period of up to one year cooperating on a long-term research project with specialist colleagues at a research institution in Germany. 

Professor Wolfgang Karl Härdle, Speaker of the IRTG 1792, will be given the honor to present the laudatio for this occasion.

Congratulations!

Publication

Professor Cathy Yi-Hsuan Chen's, Mercator Fellow of the IRTG 1792, paper "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries" is published in the Journal of Banking and Finance (Volume 93, August 2018, Pages 21-32). This paper is a joint research together with Professor Wolfgang Karl Härdle, speaker of the IRTG 1792, and Thomas C. Chiang from the Drexel University in the United States of America.

https://doi.org/10.1016/j.jbankfin.2018.05.012

We now look forward to seeing their article appear in a future issue of JoBaF.

The article is based on the SFB 649 Discussion Paper 2016-001.

Our most recent discussion papers are available in our research results section.

Participation

Professor Wolfgang Karl Härdle, Speaker of the IRTG 1792, and Alla Petukhina, procurator of the Computer Museum and PhD student, met with Gorch Pieken, leading curator of the Humboldt Laboratory, as well as staff from the Department of Historic Education, i.e. Dr. Kerrin Klinger, to discuss the future presentation of the local Computer Museum exhibits.

We thank every attendant for their wonderful input and are looking forward to a bright future of this collection!