SFB 649 Workshops

Factor Identification
in High Dimensional Time Series

CASE-Logo
SFB-Logo

December 9 - 10, 2005

Scientific Comittee

Prof. Dr. Wolfgang Härdle
Prof. Dr. Vladimir Spokoiny
Szymon Borak, M.Sc.
Ying Chen, M.Sc.

Location

Erhard-Schmidt Lecture Room (ground floor)
Weierstrass Institute for Applied Analysis and Stochastics (WIAS)
Mohrenstrasse 39
D-10117 Berlin
Germany

Topics


This workshop is an introduction to theoretical, numerical and empirical aspects of factor identification in high dimensional time series. We will discuss and review different modern solutions.


1. Nonparametric additive models for panels of time series, Enno Mammen (joint work with Bard Stove and Dag Tjostheim)

2. GHICA - Risk Analysis with GH Distributions and Independent Components, Wolfgang Härdle

3. Some new tests for the parametric form of the volatiltiy, Holger Dette

4. GHICA meets SPA- The Use of Saddlepoint Approximations in VaR Forecasting, Simon Broda

5. Independent Component Analysis and Blind Source Separation, Aapo Hyvarinen

6. VAR Modeling of Factor Loading Series from a Dynamic Semiparametric Model for Implied Volatility String Dynamics, Carsten Trenkler & Ralf Brüggemann

Schedule

Friday, December 09, 2005

Saturday, December 10, 2005


9.55-10.00
10.00-11.00
11.30-12.30
12.30-14.00
14.00-15.00
15.30-16.00


Official welcome
Enno Mammen
Wolfgang Härdle
Lunch break
Holger Dette
Simon Broda


9.00-10.00
10.30-11.30
11.30-13.00
13.00-14.00


Aapo Hyvarinen (1)
Aapo Hyvarinen (2)
Lunch break
Carsten Trenkler & Ralf Brueggemann

Enrollment

We ask anyone wishing to participate to detach the reservation part from the leaflet and send it to us by fax. The participation is free. The workshop materials can be found here .


CASE - Center for Applied Statistics and Economics
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauer Str. 1
10178 Berlin


Tel: +49(0)30-2093-5721
Fax: +49(0)30-2093-5649
borak@wiwi.hu-berlin.de