Program

Monday, July 30th 2018

10:00

Welcome Coffee Break in room F208

Session 1 in room F420
10:30 – 11:15The Early Exercise Risk Premium
Adnan Gazi (University of Manchester)
11:15 – 12:00 Price Eciency in Blockchain-Based Markets
Stefan Voigt (University of Vienna)
12:00 – 12:45 Institutional Investors and Market Anomalies: Are Hedge Funds Smarter Arbitrageurs?
Xinyu Cui (University of Manchester)
13:0 – 14:00 Lunch Mensa K7
Keynote Speech in room F420
14:00 –15:30Patrik Guggenberger (Penn State University)
A More Powerful Subvector Anderson and Rubin Test in
Linear Instrumental Variables Regression
15:30 Coffee Break in room F208
Session 2 in room F420
16:00 – 16:45Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices
Maurizio Daniele (University of Konstanz)
16:45 – 17:30 Risky Oracles, Sparsity and Model Selection
Phillip Heiler (University of Konstanz)
19:00 Dinner at Cafe Turm

Tuesday, July 31st 2018

Session 3 in room F420
09:00 – 09:45 Asymptotic Theory for Renewal Based High-Frequency Volatility Estimation
Yifan Li (University of Manchester)
09:45 – 10:30 The Eciency Gap
Timo Dimitriadis (University of Konstanz)
10:30Coffee Break in room F208
Session 4 in room F420
11:00 – 11:45Volatility Forecasting for Low-Volatility Investing
Onno Kleen (Heidelberg University)
11:45 – 12:15An Integrated Approach to Currency Factor Timing
Ananthalakshmi Ranganathan (University of Lancaster)
12:30 – 13:30Lunch Mensa K7
Session 5 in room F420
13:30 – 14:15A Regularized Structural Factor Vector Autoregressive Model
Julie Schnaitmann (University of Konstanz)
14:15 – 15:00On Inference and Time Series Analysis with Articial Neural Networks
Gerhard Fechteler (University of Konstanz)
15:00Coffee Break in room F208
Session 6 in room F420
15:30 – 16:15Multivariate Generalized Hyperbolic Models for Risk and Portfolio Management
Patrick Walker (University of Zurich)
16:15 – 17:00Dynamic Portfolio Choice: Balancing Forecasting Risk
Ekaterina Kazak (University of Konstanz)
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