Archiv: Seminar «Quantitative Methoden» Hier finden Sie Informationen über vergangene Veranstaltungen in unserer Seminarreihe. Seminar "Quantitative Methoden" Herbstsemester 2017 Datum Zeit / Raum Sprecher Titel Gastgeber 25.09 18:00-19:00 01-308 Peter R. Hansen (University of North Carolina at Chapel Hill) Mind the Gap: An Early Empirical Analysis of SEC’s “Tick Size Pilot Program” Matthias Fengler 09.10 12:15-13:45 01-110 Chen Huang (Universität St. Gallen) Multivariate Factorizable Expectile Regression with Application to fMRI Data 23.10 12:15-13:45 01-110 Helmut Lütkepohl (DIW Berlin & Freie Universität Berlin) Inference in Partially Identified Heteroskedastic Simultaneous Equations Models Matthias Fengler 20.11 12:15-13:45 01-110 Martin Huber (Universität Fribourg) Direct and indirect effects based on difference-in-differences with an application to political preferences following the Vietnam draft lottery Michael Lechner 04.12 12:15-13:45 01-110 Jan Nimczik (Humboldt-Universität zu Berlin) Job Mobility Networks and Endogenous Labor Markets Anthony Strittmatter 18.12 12:15-13:45 01-110 Enrico De Giorgi (Universität St. Gallen) The Willingness to Pay for Editing Seminar "Quantitative Methoden" Frühlingssemester 2017 Datum Zeit / Raum Sprecher Titel Gastgeber 27.02 12:15-13:45 01-102 Amelie Wuppermann (Ludwig-Maximilians-Universität München) The housing crisis of the late 2000s and causal paths between health and socioeconomic status Christina Felfe 13.03 12:15-13:45 01-102 Stéphane Chrétien (National Physical Laboratory London) The LASSO when the design is not incoherent Juan-Pablo Ortega 27.03 12:15-13:45 01-102 Sylvia Frühwirth-Schnatter (Wirtschaftsuniversität Wien) Achieving Shrinkage in a Time-varying Parameter Framework Matthias Fengler 24.04 12:15-13:45 01-102 Anna-Lena Horlemann (Universität St. Gallen, HSG) Private Information Retrieval and Connections to Coding Theory Enrico De Giorgi 08.05 12:15-13:45 01-102 Christian Hafner (Université catholique de Louvain) Exponential-type GARCH models with linear-in-variance risk premium Matthias Fengler 22.05 12:15-13:45 01-102 Sara van de Geer (ETH Zürich) Adaptivity in high-dimensional statistics Anthony Strittmatter Seminar "Quantitative Methoden" Herbstsemester 2016 Datum Zeit / Raum Sprecher Titel Gastgeber 26.09 12:15-13:45 01-110 Eric Jondeau (Université de Lausanne) Does a Structural Macroeconomic Model Help Long-Term Portfolio Management? Ola Mahmoud 10.10 12:15-13:45 01-110 Andreas Dzemski (Universität Göteborg) Confidence set for group membership Anthony Strittmatter 24.10 12:15-13:45 01-110 kein Vortrag 21.11 12:15-13:45 01-110 Dick van Dijk (Erasmus Universität Rotterdam) Improving forecasts of the implied volatility surface of equity options by exploiting index information (ABGESAGT) Matthias Fengler 05.12 12:15-13:45 01-110 Kevin Sheppard (Universität Oxford) Comparing volatility models at multiple horizons Matthias Fengler 19.12 12:15-13:45 01-110 Florian Keusch (Universität Mannheim) Using Smartphones for Survey and Passive Mobile Data Collection Anthony Strittmatter Seminar "Quantitative Methoden" Frühlingssemester 2016 Datum Zeit / Raum Sprecher Titel Gastgeber 29.02 12:15-13:45 01-102 Yarema Okhrin (Universität Augsburg) A Multivariate Volatility Vine Copula Model Matthias Fengler 07.03 12:15-13:45 01-102 Giovanni Mellace (University of Southern Denmark) Can use of Electronic Health Records in General Practice improve quality of care for diabetes patients? Evidence from a natural experiment in Denmark. Lukas Schmid 21.03 12:15-13:45 01-102 Paolo Giordani (Sveriges Riksbank) Valuation ratios and shape predictability in stock returns Daniel Buncic 25.04 12:15-13:45 01-102 Michael Kupper (Universität Konstanz) Duality formulas for robust pricing and hedging in discrete time Ola Mahmoud 09.05 12:15-13:45 01-U126 Christop Breunig (Humboldt-Universität zu Berlin) Inference in High-Dimensional Instrumental Variable Models Anthony Strittmatter 23.05 12:15-13:45 01-102 David Veredas (Vlerick Business School) TailCoR Matthias Fengler Seminar "Quantitative Methods", fall semester 2015 Date Time Place Presenter Title Host 21.09 12:15-13:45 01-208 Andreas Fuest (LMU) Functional Liquidity Models Matthias Fengler 05.10 12:15-13:45 01-208 Thierry Post (Koc University) Stochastic Spanning Enrico De Giorgi 19.10 12:15-13:45 01-208 Francesco Ravazzolo (Norges Bank and BI Norwegian Business School) Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance Daniel Buncic 16.11 12:15-13:45 01-208 Paul Muller (VU University Amsterdam) Comparing methods to evaluate the effects of job search assistance Anthony Strittmatter 30.11 12:15-13:45 01-208 Jeroen V.K. Rombouts (ESSEC Business School) Sparse Change-Point Time Series Models Daniel Buncic 14.12 12:15-13:45 01-208 Viktor Todorov (Northwestern University) Jump Regressions Kameliya Filipova Seminar "Quantitative Methods", spring semester 2015 Date Time Place Presenter Title Host 23.02 12:15-13:45 01-208 Blaise Melly (Bern University) The evolution of the gender wage gap: 1968-2008 Anthony Strittmatter 09.03 12:15-13:45 01-208 Ying-Ying Lee (Oxford University) Efficient propensity score regression estimators of multi-valued treatment effects for the treated Michael Lechner 23.03 12:15-13:45 01-208 Olivier Scaillet (University of Geneva) A diagnostic criterion for approximate factor structure Matthias Fengler 13.04 12:15-13:45 01-208 Fulvio Pegoraro (Banque de France & CREST) Staying at Zero with Affine Processes Matthias Fengler 27.04 12:15-13:45 01-208 David Rapach (Saint Louis University) Short Interest and Aggregate Stock Returns Daniel Buncic 04.05 12:15-13:45 23-104 Santiago Moreno-Bromberg (UZH) Short Term Debt and Bank Liability Structure Enrico De Giorgi 11.05 12:15-13:45 01-208 Stefan Sperlich (University of Geneva) Fancy Non-(non-)linearities Anthony Strittmatter 18.05 12:15-13:45 01-307 Chia Ngee Choon (National University of Singapore) Using Stochastic Health State Function to Forecast Healthcare Demand and Healthcare Financing in the Absence of Micro-data: The Case of Singapore Monika Bütler Seminar "Quantitative Methods", fall semester 2014 Date Time Place Presenter Title Host 29.09 12:15-13:45 01-110 Michael Bauer (Federal Reserve Bank of San Francisco) Resolving the Spanning Puzzle in Macro-Finance Term Structure Models Daniel Buncic 20.10 12:15-13:45 01-208 Anselm Ivanovas (MS-HSG) Option data, missing tails, and the intraday variation of implied moments 17.11 12:15-13:45 01-208 Peter Mueser (University of Missouri-Columbia) Training Program Impacts and the Onset of the Great Recession Michael Lechner 01.12 12:15-13:45 01-208 Uta Pigorsch (University of Mannheim) Predicting Large Covariance Matrices Using a Characteristic-based Conditionally Heteroskedastic Factor Model Matthias Fengler 15.12 12:15-13:45 01-208 Aderonke Osikominu (University of Hohenheim) Are Sociocultural Factors Important for Studying a Science University Major? Anthony Strittmatter Seminar "Quantitative Methods", spring semester 2014 Date Time Place Presenter Title Host 24.02 12:15-13:45 01-208 Teppei Yamamoto (MIT) Identification and Estimation of Causal Mediation Effects with Treatment Noncompliance Martin Huber 10.03 12:15-13:45 01-208 Marc Hallin (Université libre de Bruxelles and Princeton University) Signal Detection in High Dimension: testing sphericity against spiked alternatives paper 1 paper 2 Davide La Vecchia 24.03 12:15-13:45 01-208 Nikolaus Hautsch (Uni Wien) Local Method of Moments Estimation of Integrated and Spot Covariation paper Matthias Fengler 14.04 12:15-13:45 01-208 Mancini Loriano (EPFL) Quadratic Variance Swap Models Davide La Vecchia 28.04 12:15-13:45 01-208 Christian Brownlees (UPF) Network Estimation For Time Series Daniel Buncic 12.05 12:15-13:45 01-208 Robert J. Hill (University of Graz) Hedonic Price-Rent Ratios, User Cost, and Departures from Equilibrium in the Housing Market Daniel Buncic Seminar "Quantitative Methods", fall semester 2013 Date Time Place Presenter Title Host 14.10 12:15-13:45 01-208 Valery Polkovnichenko (UT Dallas) Cautious Risk-Takers: Investor Preferences and Demand for Active Management Enrico De Giorgi 28.10 12:15-13:45 22-104 Sebastian Ebert (University of Bonn) Until the Bitter End: On Prospect Theory in a Dynamic Context Enrico De Giorgi 30.10 (Wed) 12:15-13:15 22-104 Kosuke Imai (Princeton University) (Joint with Brown Bag Seminar) Covariate Balancing Propensity Score paper 1 paper 2 Martin Huber 18.11 12:15-13:45 tba Sergio Firpo (Sao Paulo School of Economics) Semiparametric Estimation and Inference Using Doubly Robust Moment Conditions Michael Lechner 02.12 12:15-13:45 01-208 Davide La Vecchia (MS-HSG) Semiparametrically Efficient Rank-Based Estimation for Markov Processes 16.12 12:15-13:45 01-208 Michal Kolesár (Yale University) Estimation in an IV model with treatment effect heterogeneity Martin Huber Seminar "Quantitative Methods", spring semester 2013 Date Time Place Presenter Title Host 25.03 12:15-13:45 01-208 Clément de Chaisemartin (Paris School of Economics) All you need is LATE Martin Huber 15.04 12:15-13:45 01-208 Jean David Fermanian (CREST) Dynamic Correlation model based on instantaneous volatilities Matthias Fengler 22.04 12:15-13:45 01-208 Stefan Mittnik (LMU) Capital-Requirement Calibration in Solvency II: The Devil is Not in the Details Matthias Fengler 06.05 12:15-13:45 01-208 Taisuke Otsu (LSE) Robust inference for moment condition models paper 1 paper 2 paper 3 Lorenzo Camponovo Seminar "Quantitative Methods", fall semester 2012 Date Time Place Presenter Title Host 01.10 12:15-13:45 01-208 Martin Huber (SEW-HSG) Statistical verification of a natural "natural experiment'': Tests and sensitivity checks for the sibling sex ratio instrument 15.10 12:15-13:45 01-208 Christoph Weiss (University of Padova) Books are forever: Early life conditions, education and lifetime earnings in Europe Giovanni Mellace 29.10 12:15-13:45 01-103 Stefan Sperlich (University of Geneva) On the Choice of Regularization Parameters in Nonparametric Specification Tests of Econometric Models Matthias Fengler 12.11 12:15-13:45 01-208 Ani Guerdjikova (Université de Cergy-Pontoise) Ambiguity, Data and Preferences for Information: A Case-Based Approach Enrico De Giorgi 26.11 12:15-13:45 01-208 Toru Kitagawa (UCL) Covariates Selection and Model Averaging in Semiparametric Estimation of the Average Treatment Effects for Treated Martin Huber 11.12 14:15-15:45 09-112 Xavier D'Haultfoeuille (CREST) Fuzzy Change in Change Martin Huber Seminar "Quantitative Methods", spring semester 2012 Date Time Place Presenter Title Host 28.02. 14:15-15:45 01-010 Sergi Jimenez Universitat Pompeu Fabra Retirement incentives, individual heterogeneity and labour transitions of employed and unemployed workers Christina Felfe 13.03. 14:15-15:45 01-010 Christina Felfe SEW-HSG The tempest - Natural Disasters, Early Shocks and Children's Short and Long-Run Development 28.03. (Wed) 14:15-15:45 01-010 André Lucas VU University Amsterdam Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk Francesco Audrino 24.04. 14:15-15:45 01-010 Fabio Maccheroni Bocconi University Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis Enrico De Giorgi 15.05 (new) 14:45-16:15 01-010 Matthias Fengler MS-HSG Are classical option pricing models consistent with observed option second order moment characteristics? 21.05. (Mon) 14:15-15:45 01-010 Lorenzo Camponovo MS-HSG Predictive Regression and Robust Hypothesis Testing: Predictability Hidden by Anomalous Observations Seminar "Quantitative Methods", Fall semester 2011 Date Time Place Presenter Title Host 27.09. 14:15-15:45 01-010 Ralph dos Santos Silva University of Minas Gerais Bayesian estimation of general state space models by applying adaptive sampling and particle filter methods Daniel Buncic 11.10. 14:15-15:45 01-010 Claudia Neri MS-HSG First- and Second-order Subjective Expectations in Strategic Decision-Making: Experimental Evidence 25.10. 14:15-15:45 01-010 Daniel Buncic MS-HSG Some issues with Exponential STAR models for the modelling of exchange rate regimes 15.11. 14:15-15:45 01-010 Wolfgang Härdle HU Berlin Risk Patterns and Correlated Brain Activities Matthias Fengler 29.11. 14:15-15:45 01-010 Carol Alexander, Jacques Pézier Henley Business School at Reading Real Options and Private Investment Decisions (Appendix) and Rationalisation of Investment Preference Criteria: The Maximum Certainty Equivalent Excess Return Matthias Fengler 05.12 14:15-15:45 01-103 Yacine Aït-Sahalia Princeton University Risk management when all assets can fail together Francesco Audrino 06.12. 14:15-15:45 01-010 George Tauchen Duke University Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models paper Additional material / papers Francesco Audrino 13.12. 14:15-15:45 01-010 Stefan Boes Uni Bern Estimation of Causal Education Effects in Switzerland: A Regression Discontinuity Approach Martin Huber Seminar "Quantitative Methods", Spring Term 2011 Date Time Place Presenter Title Host 01.03. 14:15-15:45 01-010 Prof. Bernd Fitzenberger Universität Freiburg The Heterogeneous Effects of Training Incidence and Duration on Labor Market Transitions Conny Wunsch 15.03. 14:15-15:45 01-010 Wanfeng Yan ETH D-MTEC Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration (slides) Claudia Neri 29.03. 14:15-15:45 01-010 Prof. Sabrina Mulinacci Università di Bologna Convolution Based Copulas with Applications to Econometrics and Finance Matthias Fengler 19.04. 14:15-15:45 01-010 Christoph Becker Frankfurt School of Finance & Management Stressed correlations and volatilities: How to fulfill requirements of the Basel Committee Matthias Fengler 03.05. 14:15-15:45 01-010 Prof. Bo Honore Princeton University Testing for Unobserved Heterogeneity in Duration Analysis Using Time-Varying Explanatory Variables Conny Wunsch 24.05. 16:15-17:45 01-010 Fulvio Pegoraro CREST Asset Pricing with Second-Order Esscher Transforms Franceso Audrino