Newsletter 01/2009

C.A.S.E. Newsletter
Nr. 1 – March 2009
C.A.S.E. - Center für Applied Statistics and Economics
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauerstr.1
10099 Berlin
Tel:
+49(0)30-2093-5630
Fax:
+49(0)30-2093-5649
Mail: [email protected]
URL: www.case.hu-berlin.de
C.A.S.E. Newsletter Nr. 1
March 2009
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CURRENT EVENTS
7-8 May 2009
Workshop on Marketing Metrics, Risk and Performance
Modelling
The aim of the workshop is to discuss different metrics to help
predict marketing performance. Special emphasis is being put on
the concept of modelling of risk in marketing.
4-6 Jun 2009
SFB 649 Conference
5th SFB-649 Conference in Motzen (Brandenburg)
13 Jun 2009
Lange Nacht der Wissenschaften
Over 60 universities of the applied sciences, research institutes
and private companies invite students and the public to the Ninth
“Lange Nacht” (Long Night) event in Berlin and Potsdam.
PREVIOUS EVENTS
8-11 Jan 2009
Econ Bootcamp 2009
The second SFB-649 / CASE economic workshop for high school
students was a great success. Organised by Prof. Burda, Dr.
Torsten Vogel and Elena Silyakova, this year they selected 30
students from a total of more than 160 applicants from all over
Germany.
The lucky 30 came to Berlin on the second weekend of January
2009 where they enjoyed a rare chance to spend a weekend in the
German capital and learn about the opportunities of studying at
the Humboldt-Universität. They were able to talk to professors,
work together on interesting projects and learn from their
supervisors and from each other.
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During just three days in Berlin, the students gained an insight
into modern applied economic research using databases and
statistical software packages. In randomly selected groups of six
each, the participants were given specific topics. Each group was
named after a famous economist and Nobel Prize winner and
supervised by one of the following HU professors / doctors: Prof.
Michael C. Burda, Prof. Axel Werwatz, Dr. Thorsten Vogel, Prof.
Helmut Gründl and Prof. Wolfgang Härdle. The topics of study
chosen by the professors came from varied areas ranging from
macroeconomics and finance to statistics and econometrics.
Beyond the scientific section of the workshop the students were
offered an exciting social programme which included excursions to
Berlin Town Hall (Rotes Rathaus) and the Bundestag.
On Sunday 11 January, the students presented the results of their
hard work in the Heilig-Geist-Kapelle.
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A specially invited jury consisting of Dr. Sibylle Schmerbach, Prof.
Dr. Uwe Küchler and Prof Irwin Collier awarded first prize to the
Solow team. The team members, Kanan Azizov (Hessen), Tobias
Hanspach (Schleswig-Holstein), Jochen Hartmann (Hamburg),
Niklas Reinhold (Nordrhein-Westfalen), Philipp Renner (Bayern)
and Patrick Ressemann (Nordrhein-Westfalen) received a
certificate and a present each.
The next Econ Boot Camp is scheduled for January 2010.
28 Jan 2009
Jour Fixe Winter 2009
On 28 January SFB-649 members met for Jour Fixe Winter 2009.
To open, the Chair of the SFB announced some general news of
the centre’s activities and handed over to the Vice-Chair Prof.
Burda to report on the success of the Econ Boot Camp 2009 two
weeks earlier.
This was followed by a report by Rainer Voß about the activities of
the RDC (Research Data Centre), the renamed FEDC (Financial
and Economic Data Centre), and the department responsible for
handing the powerful data relied on by SFB / CASE colleagues.
Following this Prof. Tim Adam gave an SFB admission lecture
entitled “Corporate Speculation with Derivatives?” for a new
potential SFB project. Markus Reiss from Group C then gave a talk
about “Inference for jump models and nonlinear inverse
problems”.
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Prof. Burda and Prof. Härdle
Later that day delegates had the possibility to hear talks from
other SFB members in the panel session of the event. Three talks
each from a different area of the SFB-649’s activities were
presented. Tijmen R. Daniels (C10) presented his paper
“Defending against Speculative Attacks” a joint work with Henk
Jager and Franc Klaassen. From project B1, Andrija Mihoci gave a
talk about “Modelling and Forecasting Liquidity Supply using
Semiparametric Factor Dynamics”. Finally, Erik Fasten presented
work on “Two-sided Certification: The Market for Rating Agencies”
a joint work with Dirk Hofmann.
The day concluded with a project leaders meeting where Prof.
Wolfgang Härdle was re-elected as head (coordinator) of SFB-649
and Prof. Michael Burda as deputy head (deputy coordinator).
12-15 Feb 2009
Haindorf-Seminar 2009
The Haindorf Seminar took place between 12 and 15 February
2009 in Haindorf in the Czech Republic. Participating researchers /
scientists came from: Humboldt-Universität zu Berlin, Weierstrass
Institute of Applied Analysis and Stochastics, Technical University
of Berlin, The Hebrew University of Jerusalem and Charles
University Prague. Most of the attendees presented their current
research topics along with their latest results. The presentations
always provoked lively discussions and debates.
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Prof. Härdle holding a lecture
On Thursday the seminar started with a presentation by Prof. Dr.
Ya’acov Ritov (Hebrew University of Jerusalem) on "The Bootstrap
of Conditional Quantiles and Some Empirical Bayes". After further
presentations by Prof. Wolfgang Härdle, Dr. Denis Belomestny and
Prof. Ostap Okhrin the day ended with dinner. The first half of the
next day was taken up by sporting activities; some participants
used the opportunity to go cross-country skiing.
Sixteen further presentations took place throughout Friday and
Saturday; the coordinator Prof. Härdle concluded that the event
had been a success and looks forward to another successful
Haindorf Seminar next year.
REGULAR RESEARCH SEMINARS
Economic Risk Seminar
Place: Spandauer Str. 1, Room 22
Time: Monday 14:00 - 16:00 hrs
20.04.2009
Jeremy Large, Oxford-Man Institute of Quantitative finance
Title: Pro-Rata Matching in One-Tick Markets
27.04.2009
Thierry Foucault, HEC, School of Management
Title: Liquidity Cycles and Make-Take Fee in Electronic Markets
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4.05.2009
Christian Thomann, Leibniz Universität Hannover
Title: TBA
18.05.2009
Andrew Patton, University of Oxford
Title: TBA
25.05.2009
Winfried Pohlmeier, Universität Konstanz
Title: TBA
8.06.2009
Melanie Schienle, Humboldt-Universität zu Berlin
Axel Werwatz, TU Berlin
Title: TBA
15.06.2009
Jens Hilscher
Title: TBA
22.06.2009
Vasyl Golosnoy, Christian-Albrechts-Universität zu Kiel
Title: TBA
29.06.09
Florian Heiss
Title: TBA
06.07.09
Erik Eyster
Title: TBA
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Schumpeter Seminar
Place: Spandauer Str. 1, Room 125
Time: Tuesday 16:00 - 18:00 hrs
WIAS Research Seminar Mathematical Statistics
Place: Weierstraß-Institut für Angewandte Analysis und Stochastik
Mohrenstraße 39
10117 Berlin
Erhard-Schmidt-Hörsaal
Time: Wednesday 10:00 - 12:00 hrs
08.07.09
Rodney Strachen, School of Economics, University of
Queensland, Australia
Title: TBA
NEWS
Wolfgang Härdle attended the first Singapore Conference on Quantitative Finance
on 23 February 2009. Ying Chen presented the joint paper (with Wolfgang Härdle
and Uta Pigorsch) on localised realised volatility modelling. The conference was
jointly organized by the SAW foundation and the Institute for Mathematical Sciences
of the National University of Singapore. With the help of Brenda Lopez-Cabrera,
Wolfgang Härdle took his Statistics of Financial Markets 1 students to the Frankfurtam-Main Stock Exchange (Deutsche Börse) on 19 January 2009.
On 28 January 2009 Wolfgang Härdle gave a talk about “Sind CDO’s zu zähmen?” in
the lecture series “Die internationale Banken-, Kredit- und Finanzkrise: Analyse,
Ursachen, Lösungen“ at the WiWi-Faculty.
Nikolaus Hautsch participated in the IASC 2008 in Yokohama, Japan from 5-8
December 2008 and gave a talk about “Modelling and Forecasting Liquidity Supply
Using Semiparametric Factor Dynamics”. From 5-7 March 2009 Nikolaus Hautsch
also attended the meeting of Ökonometrischen Ausschusses des Vereins für
Socialpolitik (Econometric Commission of the Union for Social Policy) in
Rauischholzhausen.
Michael Burda and Prof. Helge Berger (Freie Universität Berlin) gave a talk on
“World economic crisis 2.0? Causes and politico-economic consequences” at the John
F. Kennedy-Institute for North American Studies at the Freie Universität Berlin on 27
January 2009.
At the invitation of the “Verein der Ausländischen Presse in Deutschland e.V.”
Michael Burda answered questions put by journalists from foreign press agencies.
The topic was the economic situation in Germany in the year of a national
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(Bundestag) election. The meeting took place in the Magnus-Haus at Kupfergraben
on 8 January 2009.
Michael Burda participated at the meeting of the committee "Bevölkerungsökonomie"
of the Verein für Socialpolitik in Rauischholzhausen from 12-14 February 2009 and
gave a lecture on "Total Work, Gender, and Social Norms".
Invited by the Industrie- und Handelskammer (IHK) zu Berlin, Professor Burda gave
a lecture on the "Views on Continued Global Economic Development" at a meeting
by the IHK Committee on Economic Policy about the topic "The Current Economic
Situation in Germany and Berlin" in Berlin on 24 February 2009.
Between 16-17 March 2009 Prof. Burda participated in the 18th meeting of the
Wissenschaftlichen Beirat des Instituts für Arbeitsmarkt- und Berufsforschung (IAB)
in Nürnberg.
From 19-21 March 2009 Prof. Burda was a guest at the Department of Economics,
Universidad de Alicante, Spain and gave a presentation covering the topic „Solow
Residuals without Capital Stock“.
Helmut Gründl gave a presentation on the topic “Credit Default Swaps Grundlagen und Bewertung” at the SFB-649 Econ Boot Camp 2009.
Prof. Richard D. Philips, Georgia State University, was invited to Berlin by Helmut
Gründl to give a guest lecture on the topic “Capital Management for Insurers and the
cost of Allocated Capital”.
In January 2009 Prof. Dr. Gründl gave a presentation on the topic “Default Risk,
Demand for Insurance, and Optimal Corporate Risk Strategy for Insurance
Companies” in the research colloquium and the seminar for PhD students.
In the lecture series entitled, “Die internationale Banken-, Kredit- und Finanzkrise:
Analyse, Ursachen, Lösungen” in January 2009 Prof. Dr. Gründl gave a presentation
on the topic “Finanzkrise und Versicherungswirtschaft”.
Joachim Gassen attended the Annual Conference of ASVHB and IAAER in Munich
from 5-7 February 2009 to present his paper "The decision-usefulness of financial
accounting measurement concepts: Evidence from an online survey of professional
investors and their advisors" (joint work with Kristina Schwedler).
He participated at the Meeting of the AAA Mid-Year International Accounting Section
in St. Pete Beach, Florida, USA from 12-14 February and presented his paper "Do
harmonised accounting standards lead to harmonised accounting? German-Italian
Evidence" (joint work with Stefano Cascino).
On 7 January 2009 Joachim Gassen gave a talk about “Accounting for the Financial
Crisis” in the lecture series “Die internationale Banken-, Kredit- und Finanzkrise:
Analyse, Ursachen, Lösungen” at the WiWi-Faculty.
Martin Odening moderated a workshop entitled "Impact of shocks on the
vulnerability to poverty: consequences for development of emerging Southeast Asian
economics" in Hue City, Vietnam from 22-26 February 2009.
Thomas Post gave a presentation about "The Impact of Individual Investment
Behaviour for Retirement Welfare: Evidence from the United States and Germany" at
the Chinese University of Hong Kong on 4 February and at the University of
Waterloo, Canada on 19 February 2009.
Prof. Mark J. Browne, director of the Gerald D. Stephens CPCU Chair in Risk
Management & Insurance at the Wisconsin School of Business (University of
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Wisconsin-Madison), attended a research stay at the chair for Insurance and Risk
Management (Prof. Helmut Gründl) from 2-20 March 2009.
Thomas Post gave a presentation at the Annual Meeting of the American Economic
Association in San Francisco (3-5 January 2009) on the topic “The Impact of genderspecific Investment Behaviour for Retirement Welfare - Evidence from the U.S. and
Germany”.
Christian Kirchner gave a presentation entitled “Anforderungen an eine ‚kluge
Regulierung’ der internationalen Finanzmärkte“ in the lecture series called “Die
internationale Banken-, Kredit- und Finanzkrise: Analyse, Ursachen, Lösungen“ at
the WiWi-Faculty.
PUBLICATIONS
Post, Th./Hanewald, K./Gründl, H.: “Stochastic Mortality, Macroeconomic Risks,
and Life Insurer Solvency”, working paper, Humboldt-Universität zu Berlin,
February 2009, 22 p.
Post, Th./Gründl, H.: “Transparency trough Financial Claims with Fingrprints – A
Free Market Mechanism for Preventing Mortgage Securitization Induced Financial
Crises”, working paper Humboldt-Universität zu Berlin, March 2009, 11 p.
Schade, C./Burmeister, K. (2009): Experiments on entrepreneurial decision
making: A different lens through which to look at entrepreneurship. /Foundations
and Trends in Entrepreneurship/, Jg. 5(2), 81--134.
Zimmer, A./Schade, C./Gründl, H. (2009): Is default risk acceptable when
purchasing insurance? Experimental evidence for different probability
representations, reasons for default, and framings. /Journal of Economic
Psychology/, Vol. 30, Issue 1, 11-23.
DISCUSSION PAPERS
Discussion Papers can be found at:
http://sfb649.wiwi.hu-berlin.de/fedc/discussionPapers_en.php
Deniz Dilan Karaman Örsal, Bernd Droge
"On the Existence of the Moments of the Asymptotic Trace Statistic"
Bernd Droge, Deniz Dilan Karaman Örsal
"Panel Cointegration Testing in the Presence of a Time Trend"
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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 2nd Newsletter of 2009 is 15 June 2009.
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