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Collaborative Research Center 649 NL 2016 - 02, February
Newsletter CRC 649
Collaborative Research Center 649 „Economic Risk“
Prof. Dr. Wolfgang Härdle Coordinator of the CRC 649
Prof. Michael C. Burda, Ph.D. Deputy Coordinator of the CRC 649
Janine Tellinger-Rice, MBA Managing Director of the CRC 649
Alona Zharova Managing Director of the CRC 649
Phone: +49 (0)30 2093-5630 Fax: +49 (0)30 2093-5649 Email: [email protected]
Phone: +49 (0)30 2093-5650 Fax: +49 (0)30 2093-5696 Email: [email protected]
Phone: +49 (0)30 2093-1471 Fax: +49 (0)30 2093-5617 Email: [email protected]
Phone: +49 (0)30 2093-5708 Fax: +49 (0)30 2093-5617 Email: [email protected]
Sonderforschungsbereich 649 “Ökonomisches Risiko”
NL 02, February
Editorial:
sfb649.wiwi.hu-berlin.de
Collaborative Research Center 649: “Economic Risk” School of Business and Economics Humboldt-Universität zu Berlin Spandauer Straße 1 10178 Berlin – Germany
CRC 649 Office Raphael Reule Phone: +49 30 2093 5708 Fax: +49 30 2093 5617 E-Mail: [email protected] Office: Room 309 and 314
"There is no rain above the clouds"
Collaborative Research Center 649 NL 2016 - 02, February
REGULAR RESEARCH SEMINARS
Economic Risk Seminar Location: Spandauer Str. 1, room 23 Time: every Monday, 2.00 – 4.00 p.m. Schedule: Website
Schumpeter Seminar Location: Spandauer Str. 1, room 23 Time: every Tuesday, 4.00 – 6.00 p.m. Schedule: Website
WIAS Research Seminar Mathematical Statistics Location: Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstraße 39, 10117 Berlin Erhard-Schmidt-Hörsaal Time: every Wednesday, 10.00 – 12.00 a.m. Schedule: Website
An overview is available at:
sfb649.wiwi.hu-berlin.de/fedc/seminars.php
CURRENT EVENTS
More information can be found here:
sfb649.wiwi.hu-berlin.de/fedc/events_actual.php
17. February 2015 Bloomberg Workshop CRC 649 and Bloomberg Please consult the website of the event for further informations and signup.
Collaborative Research Center 649 NL 2016 - 02, February
CRC 649 NEWS 14-17. January 2016 “Econ Boot Camp“ workshop 2016
From the 14th to the 17th of January the CRC 649 “Economic Risk” hosted the ninth 3-day „Econ Boot Camp“ workshop. It was organized by Prof. Radosveta Ivanova-Stenzel (A6), Brigitte Essoun, Dominik Prugger, Hannah Thielcke (both Z) and Michel Tolksdorf. The EBC workshop is especially designed for high-school students from all parts of Germany interested in the field of economics.
29 pupils from nearly every state of Germany were invited out of 160 applications. After their arrival on Thursday evening, the official program began the next morning at the Technische Universität with a warm welcome by Prof. Ivanova-Stenzel. Afterwards, the participants attended the lectures „Introduction to Statistics“ by Prof. Axel Werwatz (B3), „Introduction to Macroeconomics“ by Dr. Steffen Ahrens (C10), and “Introduction to Microeconomics and Experimental Economics” by Prof. Radosveta Ivanova–Stenzel.
The lecture “A general Introduction to Behavioral Experiments” by Dr. Vera Angelova (A6) and Dr. Dietmar Fehr (A6) concluded this session.
On Saturday the participants visited Humboldt–Universität and were separated into two groups in which they designed and conducted a behavioral experiment, consisting of one “Ultimatum Game”, one “Dictator Game” and one variation of a “Cheap-talk Sender Receiver Game”.
Collaborative Research Center 649 NL 2016 - 02, February
Both groups had to solve all tasks, in which they were assisted by research assistants and members of the CRC 649. At the end of the day the groups presented their results in front of the plenum.
The end of the Econ Boot Camp was highlighted by a visit to the DDR-Museum. Two guided tours around the Museumsinsel were arranged, where the pupils could learn about the history of the city palace and other historical buildings, and also find out humorous and interesting facts about East Berlin.
The participants were very pleased with this annual program and the lectures’ topics. They enjoyed the nice atmosphere given by the CRC 649 members and valued the opportunity to ask the students about their lives as Economics students of at Humboldt-Universität zu Berlin and Technische Universität.
20. January 2016 Jour fixe Winter 2016
On the 20th of January the CRC 649 members met for the Jour fixe winter 2016 – marking it the last Jour fixe of the CRC 649. Many CRC members found their way to Spandauer Straße to listen to several interesting presentations.
In the beginning, news about the CRC 649 and RDC were presented. CRC guest Françoise Forges from Université Paris-Dauphine gave the plenary talk on "Bayesian infinitely repeated games". After the break which allowed for more discussions among the audience parallel sessions were given by CRC members of projects B5, C12 and C14 .
The meeting was concluded by the meeting of project heads.
Collaborative Research Center 649 NL 2016 - 02, February
26-30. January 2016 Haindorf Seminar 2016
The 15th Haindorf seminar hosted by the CRC649 took place from the 26th to the 30 of January in the center for spiritual rehabilitation, former monastery, in Hejnice in Czech Republic. This year 26 researchers from HU, Weierstraß Institute and Xiamen University presented and discussed their current research and future proposals.
Thetopics ranged frompractical questions ineconomic applications mainly focused on financialmarkets, portfolio selection to deepmathematical analyses of asymptoticproperties of experiments. To namesome examplesthere were talks onPhD topicssuch as clustering, academic rankings, sentiment analyses, energy risk modelling, FASTEC, TEDAS, DYTEC, CRIX and many other projects. The wide usage of Git repositories for current research cooperations and teaching were also presented and discussed.
The second half of the stay was assigned for a short course held by Prof. Oliver Linton from Cambridge University on interesting topics “CAPM, Multifactor Pricing Models and Volatility Modelling“ and “The Impact of Computer-Based Trading on Market Quality and Some Policy responses“.
Besides the insightful sessions there was also time for social activity. On Thursday morning, participants used the offers of the region such as skiing, hiking or went for a guided tour to the associated church and its crypt.
The stay in Haindorf provided the guests not only with adequate place for the sessions and dicsussions but also with delicious Czech cuisine and space for evening activities to get to know each other and create a very collegial and friendly atmosphere.
We think back on this successful Haindorf seminar and look forward to coming back to this beautiful place next year again.
Collaborative Research Center 649 NL 2016 - 02, February
NEWS OF THE PROJECTS
Wolfgang K. Härdle, together with Cathy Chen (both B1), accompanied his Statistics of Financial Market 1 students on the annual excursion to the Central European Bank in Frankfurt am Main. On the outward train journey the students were given their oral examination in SFM1. On 14th and 15th of January, Wolfgang Härdle attended the second meeting of professors and researchers to further develop the application for the new DEDA (Digital Economy & Decision Analytics) project in Grüneheide-Berlin. And finally, between 26th and 30th of January, Wolfgang Härdle, together with the majority of his Lehrstuhl, attended the annual SFB seminar in Haindorf (Hejnice, CZ). This year the event was fortunate enough to have Professor Oliver Linton (Cambridge University) attend and present a short course. Also Prof. Härdle was invited to be a member of the scientific committee and to organize an invited session with three speakers at the Financial Engineering and Risk Management International Symposium 2016 (FERM 2016), which will be hold on the 12th and 13th of June in Guangzhou (PRC).
Cathy Chen (B1) gave the opening talk of this years Haindorf Seminar with the title "Opinion herding of Analysts" on the 26th on January in Haindorf.
Xiu Xu (B1) presented "DYFIN - Dynamic Forward Intensity Curves" on the 26th on January in Haindorf.
Meng-Jou Lu (B1) presented "Spectral Risk Measurement" on the 27th on January in Haindorf.
Simon Trimborn (B1) presented "CRIX or evaluation blockchain based currencies" on the 28th on January in Haindorf.
Elisabeth Bommes (B1) presented "Distillation of News Flow into Analysis of Stock Reactions" on the 28th on January in Haindorf.
Petra Burdejová (B1) presented "DYTEC - Dynamic Tail Event Curves" on the 28th on January in Haindorf.
Alla Petukhina (B1) presented "TEDAS with τ-spine optimisation" on the 29th on January in Haindorf.
Anjei Koziuk (B5) presented "Inference for Weak Instruments" on the 20th on January in this years Jour Fixe of the CRC649.
Michael C. Burda (C7) attended at the Annual Meeting of the American Economic Association from the 3rd to the 5th of January in San Francisco. He held a lecture “Social Security Contributions and the Business Cycle” and participated as a discussant at the 2016 CESifo Area Conference on Public Sector Economics on the 21st of January in Munich. He also attended the International Scientific Symposium and Official Ceremony to Mark Hans-Werner Sinn’s Retirement and the 25th Anniversary of the Center for Economic Studies (CES) on the 22nd of January at the University of Munich. On the 28th of January he gave a talk on “The Development of the Labour Market and the Capital Market between 2000 - 2015” at the Annual Meeting 2016 of the Research Network Pensioners Security (FNA) in Berlin.
Shi Chen (C11) presented "A sparse analysis of energy price forecasting" on the 27th on January in Haindorf.
Martin Wahl (C12) presented "Non-asymptotic upper bounds for the reconstruction error of PCA" on the 20th on January in this years Jour Fixe of the CRC649.
Collaborative Research Center 649 NL 2016 - 02, February
Christopher Boortz (C14) presented "Irrational Exuberance and Herd Behavior in Financial Markets" on the 20th on January in this years Jour Fixe of the CRC649.
Helmut Luetkepohl (C15) has participated in the Conference for the 40th Anniversary of the European University Institute - Economics Department in Florence on the 15th of January and has presented a paper entitled: "Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction Between U.S. Montary Policy and the Stock Market". On the 27th and 28th of January he participated in the Kick-off Workshop of the DFG Project: Estimation and Inference Theory for Cointegrated Processes in the State Space Representation and gave a presentation on "The Sieve Approach to VAR Analysis".
Lukas Borke (RDC) presented "D3-3D-LSA for QuantNet 2.0 and GitHub" on the 26th on January in Haindorf.
Awdesch Melzer (RDC) presented "Wind Energy Risk Modelling" on the 27th on January in Haindorf.
Alona Zharova (Z) presented "Statistical Analysis of Handelsblatt, Google Scholar and RePEc Rankings" on the 26th on January in Haindorf.
AWARDS Jens Kolbe (B3) presented a Poster at the 26th (EC)² Conference „Theory and Practice of Spatial Econometrics“ at the Heriot-Watt University in Edinburgh, 18th to 19th of December. The poster with the title „Semiparametric Estimation of Land Values“ received the 1st price in the category „best poster presentation PhD“.
Thomas Meissner (C10) received his doctoral degree in economics. The title of his dissertation is “Essays in Experimental Macroeconomics“. Congratulations!
Daniel Neuhoff (Z) has successful defended his dissertation „Reversible Jump Markov Chain Monte Carlo – Some Applications to Macroeconometrics“ on the 7th of January. Felicitations!
CRC 649 STAFF Thomas Giebe (A6) has left the CRC for a permanent senior lecturer position at Linnaeus University, School of Business and Economics, in Växjö, Sweden.
Collaborative Research Center 649 NL 2016 - 02, February
GUESTS OF THE CRC 649 You find a summary of all guests here:
sfb649.wiwi.hu-berlin.de/fedc/guests_actual.php
01.08.2015 - 30.08.2016
01.08.2015 - 31.05.2016
02.09.2015 - 29.02.2016
Chen, Yi-Hsuan Cathy Chung-Hua University (TW)
Project: The integration of credit default swaps markets
Contact: Spandauer Str. 1 10178 Berlin Room: 406 Phone: 030-2093-5649
E-Mail: [email protected] Humboldt-Universität zu Berlin personal web page
Filipkov, Yuriy Odessa I.I. Mechnikov National University (UA)
Project: Management of scientific research and education and its societal modeling, financing and practical implementation of research and development
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Feijó, Ricardo University of São Paulo (BR)
Project: Numerical simulations on the dynamics and Stochastic General Equilibrium Approach: an exercise in MATLAB program.
Contact: Spandauer Str. 1 10178 Berlin Room: 318 Phone: 030-2093-5895 E-Mail: [email protected]
Collaborative Research Center 649 NL 2016 - 02, February
NEW DISCUSSION PAPERS
More detailed information is available here.
2016-002
"Uncertainty and Employment Dynamics in the Euro Area and the US" (File) by Aleksei Netsunajev and Katharina Glass, January 2016.
2016-003 "College Admissions with Entrance Exams: Centralized versus Decentralized" (File) by Isa E. Hafalir, Rustamdjan Hakimov, Dorothea Kübler and Morimitsu Kurino, January 2016.
10.01.2016 - 10.02.2016
29.01.2016- 01.07.2016
17.02.2016 - 19.02.2016
Fan, Qingliang Xiamen University (CN)
Project: High dimensional econometrics, microeconometrics, applied econometrics and statistics
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Ni, Xinwen Singapore Management University (SG)
Project: Tail Event Driven Asset Allocation
Contact: Spandauer Str. 1 10178 Berlin Room: 318 Phone: 030-2093-5895 E-Mail: [email protected]
Liebl, Dominik Universität Bonn (BRD)
Project: applied statistics, nonparametric and semiparametric statistics, functional data analysis
Contact: Spandauer Str. 1 10178 Berlin E-Mail: [email protected]
Collaborative Research Center 649 NL 2016 - 02, February
PUBLICATIONS Groll, A., López Cabrera, B. and Meyer-Brandis, T. A consistent two-factor model for pricing temperature derivatives Energy Economics DOI: 10.1016/j.eneco.2015.12.020 Chen, W. and Netsunajev, A. On the long-run neutrality of demand shocks Economics Letters DOI: 10.1016/j.econlet.2015.11.039 Krekel, C., Kolbe, J. and Wüstemann, H. The greener, the happier? The effect of urban land use on residential well-being. Ecological Economics DOI: 10.1016/j.ecolecon.2015.11.005 Yu, L. TENET: Tail-Event driven NETwork risk Journal of Econometrics DOI: 10.1016/j.jeconom.2016.02.013
BOOKS
Härdle, W., Klinke, S., Rönz, B. Introduction to Statistics (Using Interactive MM*Stat Elements) Ed. 1, Springer-Verlag Berlin Heidelberg, 2015 eBook ISBN 978-3-319-17704-5 Hardcover ISBN 978-3-319-17703-8 DOI 10.1007/978-3-319-17704-5
Quantlets
Volatility linkages between energy and agricultural commodity prices
Project: VolLinkages
In this project, they investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in Germany and study their dynamics over time. They propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact for investment and hedging strategies of market participants as well as for policy makers. Volatilities and their short and long run linkages are analyzed using an asymmetric dynamic conditional correlation GARCH model as well as a multivariate multiplicative volatility model. Their approach provides a flexible and accurate fitting procedure for volatility and correlation risk. They find that in the long run prices move together and preserve an equilibrium, while correlations are mostly positive with persistent market shocks.
Collaborative Research Center 649 NL 2016 - 02, February
The results reveal that concerns about biodiesel being the cause of high and volatile agricultural commodity prices are rather unjustified.
More details of results and methodology are described in the paper “Volatility Linkages between Energy and Agricultural Commodity Prices”.
All corresponding R codes can be found here in Quantnet on Github.
The Quantlet VolLinkagesSigma computes and plots nonparametric estimates of the unconditional variances and correlations of crude oil, biodiesel and rapeseed using kernel methods. The bandwidth is determined using a likelihood cross-validation criterion. Furthermore, pointwise confidence intervals are computed based on 200 bootstrap experiments.
Fig. 1 Unconditional variance and correlation estimates with 90% pointwise confidence intervals.
QUOTE OF THE MONTH
The best time to plant a tree was 20 years ago. The second best time is now.
植树的最佳时间是 20年前，仅次于它的最好时机就是现在。
Лучшее время, чтобы посадить дерево, было 20 лет назад. Следующее лучшее время – сегодня.
Please also note that the newsletter is published on the homepage of the CRC 649.
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The CRC 649 – Newsletter is published at the beginning of each month.
Editorial deadline for the Newsletter of March 2016 is 28.02.2016.
