Research Seminar

Winter Term 2019/20
Date and time Title Speaker Location
December 16, 2019, 13:30 - 14:30 Structural Interpretation of Vector Autoregressions with Incomplete Identification: Setting the Record Straight Christiane Baumeister (University of Notre Dame) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010
December 02, 2019, 13:30 - 14:30 Time-varying Vector Autoregressive Models with Structural Dynamic Factors Julia Schaumburg (Vrije Universiteit Amsterdam) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010
November 04, 2019, 16:15 - 17:15 Permutation Tests for Equality of Distributions of Functional Data Joel Horowitz (Northwestern University) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010
Summer Term 2019
Date and time Title Speaker Location
July 22, 2019, 13:30 - 14:30 Measuring Data Uncertainty: An Application using the Bank of England's `Fan Charts' for Historical GDP Growth Ana Galvao (Warwick Business School) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010
July 08, 2019, 13:30 - 14:30 Factors that Fit the Time Series and Cross-Section of Stock Returns Markus Pelger (Stanford University) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010
June 26, 2019, 13:30 - 14:30 Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings Anne Opschoor (Vrije Universiteit Amsterdam) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.028
May 23, 2019, 15:30 - 16:40 Hajo Holzmann (University of Marburg) University of Mannheim, L7, 3-5, Room S031
May 16, 2019, 15:30 - 16:40 Dmitry Arkhangelsky (CEMFI Madrid) University of Mannheim, L7, 3-5, Room S031
May 09, 2019, 15:30 - 16:40 Matt Masten (Duke University) University of Mannheim, L7, 3-5, Room S031
Winter Term 2018/19
Date and time Title Speaker Location
November 14, 2018, 17:00 - 18:00 Limits to Arbitrage in Markets with Stochastic Latency Stefan Voigt (Vienna Graduate School of Finance) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 01.030
November 07, 2018, 14:00 - 15:00 Employment Effects of Unconventional Monetary Policy: Evidence from QE Tom Zimmermann (University of Cologne) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 01.030
October 22, 2018, 13:30 - 14:30 Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors Elmar Mertens (Bank for International Settlements) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010
September 07, 2018, 15:00 - 16:00< Textual Sentiment, Option Characteristics, and Stock Return Predictability Wolfgang Haerdle (TU Berlin) KIT Campus B (Bdg. 09.21), Bluecherstr. 17, Room 320
Summer Term 2018
Date and time Title Speaker Location
July 09, 2018, 13:30 - 14:30 Community Detection in Partial Correlation Network Models Christian Brownlees (Universitat Pompeu Fabra) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010
June 01, 2018, 09:00 - 11:30 Econometrics Workshop Stefan Wager (Stanford University) Heidelberg University, Mathematikon, conference room, 5th floor
May 28, 2018, 11:15 - 12:15 Double/De-Biased Machine Learning with Regularized Riesz Representers Victor Chernozhukov (Massachusetts Institute of Technology) Heidelberg University, Mathematikon, Room SR C
April 26, 2018, 11:45 - 13:00 Risk endogeneity at the lender-/investor-of-last-resort Bernd Schwaab (European Central Bank) KIT Campus B (Bdg. 09.21), Bluecherstr. 17, Room 320
Winter Term 2017/18
Date and time Title Speaker Location
February 22, 2018, 16:20 - 17:00 Bootstrapping for Vector Autoregression Estimates in Generalized Dynamic Factor Models Alexander Braumann (TU Braunschweig) University of Mannheim, L7, 3-5, Room S 031
February 22, 2018, 15:30 - 16:10 Generalized Linear Dynamic Factor Models - A Structure Theory Manfred Deistler (TU Vienna) University of Mannheim, L7, 3-5, Room S 031
January 10, 2018, 17:00 - 18:00 Asymmetric Impulse Responses Joerg Breitung (University of Cologne) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 01.030
December 18, 2017, 13:30 - 14:30 Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns Roman Liesenfeld (University of Cologne) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010
November 27, 2017, 13:30 - 14:30 The Macroeconomic Impact of Money Market Freezes Marie Hoerova (European Central Bank) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010
October 25, 2017, 17:00 - 18:00 Predicting Long-Term Financial Returns: VAR vs. DSGE Model - A Horse-Race Michael Rockinger (University of Lausanne) Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 01.030
Summer Term 2017
Date and time Title Speaker Location
May 30, 2017, 12:00 - 13:00 Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso Anders Bredahl Kock (Aarhus University and CREATES) University of Mannheim, L9, 1-2, R002
April 25, 2017, 12:00 - 13:00 Detecting Granular Time Series in Large Panels Christian Brownlees (Universitat Pompeu Fabra) University of Mannheim, L9, 1-2, 002
March 21, 2017, 12:00 - 13:00 Cumulated Sum of Squares Statistics for Nonlinear Non-stationary Regressions Vanessa Berenguer-Rico (University of Oxford) University of Mannheim, L9, 1-2, R002
Winter Term 2016/17
Date and time Title Speaker Location
November 29, 2016, 12:00 - 13:30 Measuring Dynamic Connectedness with Bayessian VAR Models Kamil Yilmaz (Koc University) University of Mannheim, L7, 3-5, P043
November 22, 2016, 12:00 - 13:30 Semiparametric Analysis of Network Formation Koen Jochmans (SciencesPo) University of Mannheim, L7, 3-5, P043
November 14, 2016, 17:15 - 18:15 Tail event driven networks of SIFIs Yarema Okhrin joint with Cathy Chen and Wolfgang Härdle Heidelberg, AWI
October 4, 2016, 12:00 - 13:30 Some Extensions of Regression Based Cointegration Analysis: Theory for Applications Martin Wagner (TU Dortmund) University of Mannheim, L7, 3-5, P043
Summer Term 2016
Date and time Title Speaker Location
July 7, 2016, 11:45 - 13:00 Bank business models at zero interest rates Julia Schaumburg KIT, Bdg. 20.14. Room 103.1
May 27, 2016, 13:30 - 14:30 Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade-offs with Feasible GLS and VAR Approaches. Richard Baillie Heidelberg, AWI Room 01.034
May 19, 2016, 11:45 - 13:00 A Bootstrap Stationarity Test for Predictive Regression Invalidity Robert Taylor KIT, Bdg. 20.14 Room 103.1
April 28, 2016, 11:45 - 13:00 Revisiting the Stealth Trading Hypothesis - Does Time - Varying Liquidity Explain the Size Effect? Nikolaus Hautsch KIT, Bdg. 20.14 Room 103.1
March 22, 2016, 11:45 - 13:00 Factorisable Sparse Tail Event Curves Wolfgang Härdle KIT, Bdg. 20.14 Room 103.1