Program
Thursday, April 30th 2015
Arrival | |
19:30 | Dinner Restaurant Brauhaus, Konradigasse 2, 78462 Konstanz |
Friday, May 1st 2015, Lecture Room F425
08:30 – 10:00 | Invited Guest Lecture of Peter Robinson: “Panel Nonparametric Regression with Fixed Effects” |
10:00 – 10:30 | Coffee Break |
10:30 – 12:45 | Session 1 Risk Measurement I |
10:30 – 11:05 | Sebastian Bayer: “Combining VaR Forecasts using Lasso Quantile Regression” |
11:05 – 11:40 | Florian Walla: “Minimizing Regulatory Capital Requirements via Regularization” |
11:40 – 12:15 | Xi Fu:” Risk-Neutral Systematic Risk and Asset Returns” |
12:15 – 13:15 | Lunch |
13:15 -15:00 | Session 2 Volatility Measurement |
13:15 – 13:50 | Yifan Li: “Point process, conditional intensity and informed trading” |
13:50 – 14:25 | Xiaolu Zhao: “Duration-based volatility estimator and forecast evaluation” |
14:25 – 15:00 | Aygul Zagidullina: “A latent factor model for the panels of realized volatilities” |
15:00 – 15:30 | Coffee Break |
15:30 – 17:15 | Session 3 Macroeconometrics |
15:30 – 16:05 | Jing Zeng: “Combining country-specific forecasts when forecasting Euro area macroeconomic aggregates |
16:05 – 16:40 | Chenyu Zhang: “Model free expectation of international volatility” |
16:40 – 17:15 | Sandra Stankiewicz: “Forecasting Euro-Zone Macroeconomic Time Series with Bayesian Adaptive Elastic Net |
19:00 | Dinner Restaurant Brigantinus, Reichenaustr.15, 78467 Konstanz |
Saturday, May 2nd 2015, Lecture Room F42
08:30 – 10:15 | Session 4 Corporate Finance |
08:30 – 09:05 | Matthias Draheim: “The Impact of Foundations on Firm Performance: Do Foundations Induce Underperformance?" |
09:05 – 09:40 | Qifan Zhai: “The determinants of cash dynamic” |
09:40 – 10:15 | Shushu Liao: “Indirect inference estimation on investment model” |
10:15 – 10:45 | Coffee Break |
10:45 -12:30 | Session 5 Risk Measurement II |
10:45 – 11:20 | Tristan Linke: ”Asymmetric Risks in Volatility and Correlations” |
11:20 – 11:55 | Wen Li: “Using structure models to estimate credit risk of financial institutions” |
11:55 – 12:30 | Yuan Xu: ”The Price of Correlation Risk: Evidence from Commodity Options” |
12:30 – 13:30 | Lunch |
13:30 – 15:15 | Session 6 Shrinkage Estimation |
13:30 – 14:05 | Jana Mareckova: “Do Personality Traits Play a Role in a Female Labor Participation?” |
14:05 – 14:40 | Phillip Heiler: “Revisiting Smoothing Methods for Discrete Data” |
14:40 – 15:15 | Christoph Frey: “Bayesian Regularization of Portfolio Weights” |
15:15 | End of Conference |
15:30 | Debriefing in the beer garden of the St. Katharinen monastery |
Sunday, May 3rd 2015
Sightseeing | |
09:00 | Meeting at the University, bicycle tour to Meersburg, Unteruhldingen and Birnau |
11:15 | Guided Tour “Pfahlbauten Unteruhldingen” |
Monday, May 4th 2015
Departure |