News, Archive until 2014
November 2012
- Ruihong Huang visited Harvard University for a research stay from 25 October to 29 November 2012. He also participated in the 5th International Conference of the ERCIM Working Group on Computing Statistics and 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012) that took place in Oviedo, Spain, from 1 to 3 December.
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Following researchers are guests at the chair of econometrics in November:
-Maria Teresa Gonzales Perez, Professor, Colegio Universitario de Estudios Financieros
Interests: The effect of market microstructure in the statistical properties of the VIX
-Martin Gould, Ph.D. Student, University of Oxford
Interests: Modelling Foreign Exchange Limit Order Books
October 2012
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Nikolaus Hautsch gave a keynote talk on "The Merit of High-Frequency Data in Portfolio Application" at the Conference on Time Series and Financial Econometrics that took place from 12 to 14 October 2012 at the Southwestern University of Finance and Econometrics in Chengdu, China. He also held a seminar on Financial Econometrics at this university on 11 October 2012.
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Following researchers are guests at the chair of econometrics in October:
-Martin Gould, Ph.D. Student, University of Oxford
Interests: Modelling Foreign Exchange Limit Order Books
September 2012
- Nikolaus Hautsch was appointed as Associate Editor of Journal of Financial Econometrics.
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Nikolaus Hautsch gave a keynote talk entitled "On The Dark Side of the Market: Identifying and Analyzing Hidden Order Placements" at the Frontiers of Finance Conference that took place at Warwick Business School from 13 to 15 September 2012. He also participated in the Workshop "Predicting Rare Events: Evaluating Systemic and Indiosyncratic Risk" hosted by the Federal Reserve Bank of San Francisco on 28 and 29 September 2012 and gave a talk on "Financial Network Systemic Risk Contributions".
- Franziska Lottmann participated at the 24th Conference of the European Association of Labour Economists (EALE) in Bonn from 20 to 23 September 2012 and presented a poster entitled "Explaining regional unemployment differences in Germany: a spatial panel data analysis".
- Following researchers are guests at the chair of econometrics in September:
-Dr.Rodrigo Herrera Leiva, Assistant Professor, Universidad de Talca
Interests: High Frequency Time Series
-Martin Gould, Ph.D. Student, University of Oxford
Interests: Modelling Foreign Exchange Limit Order Books
August 2012
- Nikolaus Hautsch gave a talk on "Econometrics of Financial High-Frequency Data" at the Eurex in Frankfurt on August 20, 2012.
- Melanie Schienle gave a presentation on "semiparametric estimation with generated covariates" at the Econometric Society European Meeting 2012 that took place from 27 to 31 August in Malaga. Peter Malec (B8) also presented his paper "The Merit of High-Frequency Data in Portfolio Allocation" at this conference.
- Franziska Lottmann participated in the European Regional Science Association (ERSA) Congress from 21 to 25 August 2012 where she gave a presentation on "Regional Unemployment in Germany: a Spatial Panel Data Analysis".
- Following researchers are guests at the chair of econometrics in August:
-Dr.Rodrigo Herrera Leiva, Assistant Professor, Universidad de Talca
Interests: High Frequency Time Series
-Dr.Valérie Chavez-Demoulin, Assistant Professor, University of Lausanne
Interests: Quantitative Risk Management
-Martin Gould, Ph.D. Student, University of Oxford
Interests: Modelling Foreign Exchange Limit Order Books
July 2012
- Nikolaus Hautsch participated as a discussant in the Fifth Erasmus Liquidity Conference that took place from 5 to 6 July 2012 in Rotterdam.
- Franziska Lottmann presented her research on "Explaining spatial dependence on German labor markets using a higher-order spatial autoregressive model" at the "VI World Conference of the Spatial Econometric Association" that took place in Salvador, Brazil from 11 to 13 July 2012.
June 2012
- The entire team of the chair of econometrics participated in a doctoral workshop in Eutin together with the University of Aarhus and the University of Copenhagen from May 31 to June 2. In this context Julia Schaumburg gave a presentation on "Interactions of Extreme Market and Credit Spread Risks". Franziska Lottmann presented her research on "Explaining spatial dependence on German labor markets using a SARAR(p,q) model". Gustav Haitz explained his work on "Order book dynamics of high frequency asset price jumps". Peter Malec gave a presentation on "Asymptotically efficient local likelihood estimation of integrated covariance matrices". Ruihong Huang presented his research on "Identifiying and Analyzing Hidden Order Placements in an Opaque Limit Order Market".
- Nikolaus Hautsch was an invited speaker at he ECB Conference "Financial Stability: Methodological Advances and Policy Issues" that took place from 14 to 15 June 2012 in Frankfurt/Main and gave a talk on "Financial Network Systemic Risk Contributions".
- Nikolaus Hautsch participated in the "Fifth Annual SoFIE Conference" from 20 to 23 June 2012 in Oxford.
- Melanie Schienle presented her paper on "Semiparametric Estimation with General Covariates" at the "1st Conference of the International Society for NonParametric Statistics" that took place from 15 to 19 June in Chalkidiki, Greece.
Mai 2012
- Nikolaus Hautsch was invited to the Financial Econometrics Conference in Toulouse.
- Julia Schaumburg visited the Tilburg University for a research stay from 06 to 26 Mai.
- Gustav Haitz visited the University of Warwick, Convetry for a research stay from 14 to 17 Mai 2012.
- Melanie Schienle attented the 2012 International Symposium on Econometric Theory and Applications (SETA 2012, Shanghai) from 16 to 23 Mai 2012.
April 2012
- Gustav Haitz, Christian Gische, Gagandeep Singh, Cindy Lamm and Caroline Stiel participated in the Econometric Game 2012 that took place in Amsterdam from 17 to 19 April 2012.
- Melanie Schienle, Julia Schaumburg, Gustav Haitz and Peter Malec participated at the joint workshop of the Collaborative Research Center 649 "Economic Risk" and the Collaborative Research Center 823 "Statistical modelling of nonlinear dynamic processes" that took place from 29 April to 01 Mai at the "Kloster Drübeck" in the Harz.
March 2012
- Nikolaus Hautsch attended the SoFiE 2012 Conference at the Tinbergen Institute in Amsterdam from 26 to 27 March 2012and presented his paper "On the Dark Side of the Market: Identifying and Analysing Hidden Order Placement"
- Julia Schaumburg was invited to the research seminar of Deutsche Bundesbank (Frankfurt/Main), where she presented "Financial Network Systemic Risk Contributions" on March 5th
Feburary 2012
- LBB-Lecture in Econometric Forecasting "Der Prognose- und Anlageprozess in der Oldenburgischen Landesbank AG" von Diplom Volkswirt, Christoph Siebecke, CIIA, CEFA, Oldenburgische Landesbank AG, 14.02.2012 at 18:15 in R.23 click here for more information
- Melanie Schienle visited the University of Mannheim for a research stay form Feburary 6th to 8th.
January 2012
- Julia Schaumburg attended the Campus for Finance Research Conference at WHU Vallendar from January 11-12, where she gave a talk on "Financial Network Systemic Risk Contributions"
- Nikolaus Hautsch attended the Conference “Asset and Risk Management in the Aftermath of the Financial Crisis” in Lausanne in January 2011.
November 2011
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Melanie Schienle visited the University of Louvain-la-Neuve for a seminar of the
Center for Operations Research and Econometrics (CORE) on November 21th.
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Nikolaus Hautsch visited the University of Aarhus for a research stay from November 21th to 25th.
October 2011
- The first class of "Econometric Forecasting" takes place on 25.10.
- All students willing to write their thesis this term are asked to come to the first meeting of the Seminar for Bachelor, Master and PhD Students, on 21.10., SPA1, R21a, 16:00-18:00
September 2011
- The Chair welcomes our research guest Helena Chuliá Soler. Helena is a lecturer in Financial Econometrics at the University of Barcelona and will be our guest from September until December.
July 2011
- Melanie Schienle visited Mannheim University for a research stay with Enno Mammen and Kyusang Yu from July 25th to 27th.
- Franziska Lottmann attended the 5th World Conference of the Spatial Econometrics Association in Toulouse from July 6th to 8th, where she gave a talk on "Regional Unemployment in Germany"
- The latest version of the order-book generating online tool LOBster is now online. This joint project with the RDC gives users from all around the world easy access to level 2 data for any NASDAQ-traded equities. Currently, data for the period 2008-2010 is available. For full access please register on the LOBster page, if you have any questions contact us.
June 2011
- Nikolaus Hautsch and Melanie Schienle attended the 4th Annual Meeting of the Society for Financial Econometrics (SoFiE) in Chicago , June 15th-17th, where Nikolaus Hautsch gave a talk on "Quantifying Marginal Systemic Risk Contributions".
May 2011
- Nikolaus Hautsch gave 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 May 24th.
- Nikolaus Hautsch was invited as a participant and discutant ath the Nonlinear and Financial Econometrics Conference: A Tribute to A. Ronald Gallant at the Toulouse School of Economics from May 19th to 21st.
- On May 13th and 14th, the second Humboldt-Copenhagen Conference on Financial Econometrics took place in Copenhagen. Further information can be found here.
April 2011
- Melanie Schienle gave a 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 April 12th to 18th, 2011.
March 2011
- Nikolaus Hautsch and Ruihong Huang gave a talk entitled "On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements" at École Polytechnique Paris on March 14th, 2011
- Axel Gross-Klussmann gave a talk on 'Using Automated Text Analytics to Quantify High Frequency News Impacts' at Thomson Reuters in London on March 7th, 2011
- Nikolaus Hautsch gave a talk on "Estimating and Predicting Vast Dimensional Covariances" at University of Manchester on March 3rd, 2011