Program

Thursday, April 30th 2015

Arrival
19:30Dinner Restaurant Brauhaus, Konradigasse 2, 78462 Konstanz

Friday, May 1st 2015, Lecture Room F425

08:30 – 10:00

Invited Guest Lecture of Peter Robinson: “Panel Nonparametric Regression with Fixed Effects”

10:00 – 10:30Coffee Break
10:30 – 12:45 Session 1               Risk Measurement I
10:30 – 11:05 Sebastian Bayer: “Combining VaR Forecasts using Lasso Quantile Regression”
11:05 – 11:40 Florian Walla: “Minimizing Regulatory Capital Requirements via Regularization”
11:40 – 12:15 Xi Fu:” Risk-Neutral Systematic Risk and Asset Returns”
12:15 – 13:15 Lunch
13:15 -15:00Session 2               Volatility Measurement
13:15 – 13:50Yifan Li: “Point process, conditional intensity and informed trading”
13:50 – 14:25 Xiaolu Zhao: “Duration-based volatility estimator and forecast evaluation”
14:25 – 15:00 Aygul Zagidullina: “A latent factor model for the panels of realized volatilities”
15:00 – 15:30Coffee Break
15:30 – 17:15Session 3               Macroeconometrics
15:30 – 16:05Jing Zeng: “Combining country-specific forecasts when forecasting Euro area macroeconomic aggregates
16:05 – 16:40Chenyu Zhang: “Model free expectation of international volatility”
16:40 – 17:15 Sandra Stankiewicz: “Forecasting Euro-Zone Macroeconomic Time Series with Bayesian Adaptive Elastic Net
19:00 Dinner Restaurant Brigantinus, Reichenaustr.15, 78467 Konstanz

Saturday, May 2nd 2015, Lecture Room F42

08:30 – 10:15 Session 4              Corporate Finance
08:30 – 09:05 Matthias Draheim: “The Impact of Foundations on Firm Performance: Do Foundations Induce Underperformance?"
09:05 – 09:40 Qifan Zhai: “The determinants of cash dynamic”
09:40 – 10:15 Shushu Liao: “Indirect inference estimation on investment model”
10:15 – 10:45Coffee Break
10:45 -12:30Session 5               Risk Measurement II
10:45 – 11:20Tristan Linke: ”Asymmetric Risks in Volatility and Correlations”
11:20 – 11:55Wen Li: “Using structure models to estimate credit risk of financial institutions”
11:55 – 12:30 Yuan Xu: ”The Price of Correlation Risk: Evidence from Commodity Options”
12:30 – 13:30Lunch
13:30 – 15:15Session 6               Shrinkage Estimation
13:30 – 14:05Jana Mareckova: “Do Personality Traits Play a Role in a Female Labor Participation?”
14:05 – 14:40Phillip Heiler: “Revisiting Smoothing Methods for Discrete Data”
14:40 – 15:15Christoph Frey: “Bayesian Regularization of Portfolio Weights”
15:15End of Conference
15:30 Debriefing in the beer garden of the St. Katharinen monastery

Sunday, May 3rd 2015

Sightseeing
09:00Meeting at the University, bicycle tour to Meersburg, Unteruhldingen and Birnau
11:15Guided Tour “Pfahlbauten Unteruhldingen”

Monday, May 4th 2015

Departure