C.A.S.E. Newsletter Nr. 3 – September 2010
C.A.S.E. - Center für Applied Statistics and Economics Humboldt-Universität zu Berlin Wirtschaftswissenschaftliche Fakultät Spandauerstr.1 10099 Berlin
Tel: Fax: Mail: URL:
+49(0)30-2093-5630 +49(0)30-2093-5649
[email protected] www.case.hu-berlin.de
C.A.S.E. Newsletter Nr. 3
September 2010
_____________________________________________________________________________________________________________________
CURRENT EVENTS
6-9 October 2010
Hermann Otto Hirschfeld Lecture Series 2010 Quantile Regession: Theory and Applications This year’s speaker was Roger Koenker who is a McKinley Professor of Economics and Professor of Statistics at the University of Illinois at UrbanaChampaign. His research focus is on econometric theory and application. Roger Koenker had dedicated a large amount of time to studying quantile regression at a number of high ranking universities.
28-29 January 2011
Distinguished Lecture Series 2011 The Econometrics of High Frequency Financial Data This interesting topic is right up-to-date, as accurate estimators of volatility become increasingly important in today’s financial markets. It is therefore a great pleasure to have two specialists in this field of research, Professor Per Mykland (The University of Chicago) and Professor Olivier Scaillet (HEC, Genève) as our invited speakers. Both of them will focus on topics relating to their research fields and present them as four lectures over a full day.
PREVIOUS EVENTS
20-23 July 2010
Chinese Week The Chinese Week, one of the HU’s top-level international conferences in 2010 took place at the School of Business and Economics in Berlin from 20–23 July 2010. It was part of the Humboldt-Universität zu Berlin 200th anniversary celebrations and was attended by Chinese and German researchers, students and alumni. Several visitors from WISE (Wang Yanan Institute for Studies in Economics) of Xiamen University attended including, Zongwu Cai, Yongmiao Hong, and Linlin Niu. Other guests attended from Taiwan, Hong Kong, and Singapore. The conference lasted for three days and comprised of a one-day general programme and a two-day scientific programme and provided an excellent platform for high-level academic exchange on a multitude of topics. Among others, lectures were held on traders’ behaviour in the Chinese stock market, “A New Semiparametric Conditional Capital Asset Pricing Model with Variable Selection,” “Modelling Realized Covariance by Constrained Factor Models,” and General Single-index Models: the EFM Approach”. During the course of the conference scientific contacts were developed, student exchange was promoted and the alumni network was strengthened.
2
C.A.S.E. Newsletter Nr. 3
September 2010
_____________________________________________________________________________________________________________________
NEWS Wolfgang Härdle participated in the following: On 1–3 July, a symposium on High Frequency Data in Empirical Finance at the Technische Universität Dortmund organised by SFB 823 "Statistical Modelling of Nonlinear Dynamic Processes," where he gave a presentation on "Localised Realised Volatility Modelling." On 7–15 July 2010, a meeting with Professor Yongmiao Hong and other colleagues at the Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, China to discuss and develop the joint German–Chinese International Research Training Group (IRTG) project entitled, "High Dimensional Non Stationery Time Series." On 6 July and 27–28 July 2010 he attended several committee meetings as a member of a Professorial Appointment Board (Berufungskommission) for a professorship at Universität Bayreuth, upon invitation of Professor Andreas Christmann. He gave a talk on 16 August at Universität Zürich, Institut für Schweizer Bankwesen, on "Risk patterns and correlated brain activities" and a talk on "Pricing Temperature around the Globe" at "Prague Stochastics" on 20 August 2010. He also participated in the Research in Pairs programme with Yaacov Ritov, which took place from 19 September to 1 October 2010, where they carried out research on improved Bootstrap Confidence Intervals of bounded influence estimators. He also gave a talk on "Pricing Chinese Rain" at the Potsdam Institute for Climate Impact Research (PIK) on 5 October 2010. Nikolaus Hautsch participated in the Symposium on High Frequency in Empirical Finance that took place in Witten from 1–2 July 2010 and gave a presentation on Forecasting High-Dimensional Covariance Matrices. Michael C. Burda participated in a roundtable discussion at the conference "Challenges ahead for economic policy in Sweden and Europe" in Gotland/Sweden on 5 July 2010. He presented a paper entitled "Payroll Taxes, Social Insurance and Business Cycle" (a joint project with Mark Weder) at the "2010 Annual Meeting of the Society for Economic Dynamics" in Montreal/Canada on 10 July 2010. He also attended the 25th Meeting of the European Economic Association from 23 to– 27 August 2010 in Glasgow where he again presented his paper "Payroll Taxes, Social Insurance and Business Cycles". He held a speech "After the crisis is before the crisis: How does it continue with the Euro? " at a meeting of the Wirtschaftsrat Deutschland on 1 September 2010 in Potsdam. He participated at the annual conference of the Verein für Socialpolitik from 7–10 September 2010 in Kiel and presented his paper "Payroll Taxes, Social Insurance and Business Cycle." Furthermore, Michael C. Burda attended a meeting as a member of the Scientific Advisory Board of the Institute for Employment Research from 20–21 September 2010 in Nürnberg. He also participated in the Cologne Workshop on Macroeconomics from 24–26 September 2010 and gave his lecture "Payroll Taxes, Social Insurance and Business Cycle." He presented the same paper in the CEMFI-seminar at the Center for Monetary and Financial Studies on 30 September 2010 in Madrid. Helmut Gründl presented the project "Life Care Annuities: Trick or Treat for Insurance Companies?" (jointly with Tian Zhou-Richter) at the World Risk and Insurance Economics Congress in Singapore on 27 July 2010. Finally, Helmut Gründl recently accepted an offer of a professorship for insurance science, insurance supervision and insurance regulation at Goethe-Universität Frankfurt/M and therefore resigned from C.A.S.E. with effect from the end of September 2010. We sincerely regret losing someone of his calibre but we wish him every success in his new position. Ostap Okhrin was a visiting researcher at the University of Augsburg from 16–23 August 2010, where he gave a talk about "Spatial copula-based models." He also gave a talk about "Branching Processes" at Lviv University during his research trip to Ukraine from 24 August to 5 September 2010. Joachim Gassen visited UW-Madision (USA) to give a doctoral workshop "Empirical Research in International Accounting" and to present his paper: "Accounting Objectives and Financial Accounting
3
C.A.S.E. Newsletter Nr. 3
September 2010
_____________________________________________________________________________________________________________________
Heterogeneity: Evidence of European Private Firms" (co-authored with Rolf Uwe Fülbier). He also attended the invitation-only conference "Global Issues in Accounting Conference" at the University of North Carolina. He gave a PhD class at the University of Berne and organised a doctoral seminar "Empirical Accounting Research" at Humboldt. Roland Strausz gave a talk on "The Political Economy of Regulatory Risk" at the annual meeting of the Verein für Socialpolitik in Kiel (7–10 September 2010). He also gave a talk on "Regulatory Risk under Optimal Incentive Regulation" in a seminar at University Carlos III in Madrid, Spain, on 21 September 2010. Axel Werwatz co-hosted the Young Statisticians Workshop of the German Statistical Association (DStatG), which was held in Nürnberg from 13–14 September 2010. Tim Adam gave a lecture on "The Use of Credit Default Swaps by U.S. Fixed-Income Mutual Funds" at Erasmus University Rotterdam on 17 August 2010. Furthermore, he was a discussant of "Hedging Policies, Incentives and Market Power" by David de Angelis and S. Abraham Ravid, at EFA Meeting in Frankfurt/Main, 26–28 August 2010. Lutz Hildebrandt has been appointed honorary professor of the University of Vienna. As co-editor Lutz Hildebrandt (B2) presented the journal "Marketing – Journal of Research and Management" (Marketing JRM) at the 4th German-French- Austrian (GFA) Conference on Quantitative Marketing 2010 in Vienna. Lutz Hildebrandt, Jana Diels and Nicole Wiebach (B2) attended the annual meeting of the research group "Konsum & Verhalten" from 23 to 25 September 2010 in Wuppertal and presented their research projects. Song Song presented his work "Partial Linear Quantile Regression and Bootstrap Confidence Bands" in the World Congress of Econometric Society 2010 from 17–21 August in Shanghai, together with the travel support from the Econometric Society. We are proud to announce that our former internship student Laurent Demeestere from Ensai, Bruz France provided us with a very impressive and comprehensive report about his internship at C.A.S.E..
PUBLICATIONS Fülbier, R. U., J. Gassen and E. Ott (2010): IFRS for SMEs für den europäischen Mittelstand? Einige theoretische und empirische Überlegungen," Der Betrieb 63:1357-1360. Gassen, J. and K. Schwedler (2010): The Decision Usefulness of Financial Accounting Measurement Concepts: Evidence from an Online Survey of Professional Investors and their Advisors, European Accounting Review 19: 495-509. DOI: 10.1080/09638180.2010.496548 Gassen, J., T. Eisenschink and M. Weil (2010): Das Konzept der rechnungslegenden Einheit nach ED/2010/2, Die Wirtschaftsprüfung 63: 805-810. Klinke, S., Mihoci, A. and Härdle, W. (2010): Exploratory factor analysis in Mplus, R and SPSS, ICOTS-8, Conference Proceedings on CD. Session 4F: Sensible use of multivariate software.
4
C.A.S.E. Newsletter Nr. 3
September 2010
_____________________________________________________________________________________________________________________
DISCUSSION PAPERS Discussion Papers can be found at: http://sfb649.wiwi.hu-berlin.de/fedc/discussionPapers_en.php Michael C. Burda and Mark Weder (2010): Payroll Taxes, Social Insurance and Business Cycles, available at: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-042.pdf Maria Grith and Volker Krätschmer (2010): Parametric estimation of risk neutral density functions, available at: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-045.pdf Wolfgang Karl Härdle, Rainer Schulz and Weining Wang (2010): Prognose mit nichtparametrischen Verfahren, available at: http://sfb649.wiwi.huberlin.de/papers/pdf/SFB649DP2010-041.pdf Nikolaus Hautsch and Mark Podolskij (2010): Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence, available at: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-038.pdf Matthias Ritter, Oliver Mußhoff and Martin Odening (2010):Meteorological forecasts and the pricing of weather derivatives, available at: http://sfb649.wiwi.huberlin.de/papers/pdf/SFB649DP2010-043.pdf Song Song, Wolfgang K. Härdle and Ya'acov Ritov (2010): High Dimensional Non-stationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model, available at: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-039.pdf
Please note that the CASE Newsletter is also published on the CASE homepage. The C.A.S.E. - Newsletter appears every three months. The deadline for the 4rthNewsletter of 2010 is 15 December 2010.
5
