CASE Newsletter - Center for Applied Statistics and Economics

C.A.S.E. Newsletter
Nr. 2 – June 2011
C.A.S.E. - Center für Applied Statistics and Economics
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauerstr.1
10099 Berlin
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www.case.hu-berlin.de
C.A.S.E. Newsletter Nr. 2
June 2011
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PREVIOUS EVENTS
13-14 May 2011
2nd Humboldt-Copenhagen Conference on Financial Econometrics
On May 13th and 14th, the 2nd “Humboldt-Copenhagen Conference on Financial
Econometrics” took place in Copenhagen. It was the second meeting in a
conference series initiated by Nikolaus Hautsch and Anders Rahbek (University of
Copenhagen) with the inaugural meeting having taken place two years ago in
Berlin.
The biennial event alternates between Berlin and Copenhagen and is a joint
initiative between C.A.S.E., the CRC 649 and the Department of Economics at the
University of Copenhagen. For this 2nd Humboldt-Copenhagen (“HUKU”)
conference, the Center of Research in Econometric Analysis of Time Series
(CREATES) at Aarhus University also joined as a sponsor. The aim of the
conference is to regularly bring together leading financial econometricians and to
push forward financial econometric research in Europe.
For this year’s conference, a high number of submissions were received and were
assessed by an international programme committee consisting of leading
econometricians from Europe and the U.S. The resulting programme was of a very
high quality and covered all major fields in current financial econometric research,
including the estimation and modelling of volatility and correlation, highfrequency finance, asset pricing, term structure modelling, systemic risk as well as
methodological contributions in non-linear time series analysis, factor models and
copula modelling. The conference took place on the campus of the University of
Copenhagen and brought together approximately 70 researchers from Europe and
the U.S. Besides contributed sessions and a poster session, the two highlights were
the invited talks by Nour Meddahi (Toulouse School of Economics) and Stephen
Taylor (Lancaster Business School). Unfortunately, the third invited speaker
planned, Bas Werker (Tilburg University) had to cancel his participation because
of family reasons.
The very positive feedback from the participants indicates that the event was a
great success and suggests that the HUKU conference series is establishing itself
as one of the regular meeting points of top international researchers in this field.
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NEWS
Wolfgang Härdle gave a talk on "Pricing Asian temperature Risk" at New York University on 1 April
2011 and gave two further talks entitled "Localising temperature risk" at The New School, New York on
5 April and "Flexible Quantile and Expectile regression with confidence bands and temperature shifts" at
Rutgers University, New Jersey on 6 April 2011.
Nikolaus Hautsch was involved in the organisation of the second Humboldt-Copenhagen Conference on
Financial Econometrics on May 13 and 14 in Copenhagen; full details of this can be found above.
Nikolaus Hautsch’s second commitment of this quarter was a talk entitled "Capturing the Zero: A New
Class of Zero-Augmented Distributions and Multiplicative Error Models" at the Conference on Macro
and Financial Economics: Theory and Applications at Brunel University on 24 May. He was also invited
to be a participant and discussant at the Nonlinear and Financial Econometrics Conference: A Tribute to
A. Ronald Gallant at the Toulouse School of Economics from 19 to 21 May, and finally he gave a talk at
the 4th Annual Meeting of the Society for Financial Econometrics (SoFiE) in Chicago, 15-17 June on
"Quantifying Marginal Systemic Risk Contributions".
Melanie Schienle gave a talk on "Nonparametric Regression with Generated Covariates" at the
Symposium on Econometric Theory and Applications that took place at Monash University Melbourne
from 12 to 18 April 2011. Melanie Schienle also attended the Conference on Macro and Financial
Economics: Theory and Applications at Brunel University on 24 May and co-authored the paper which
Nikolaus Hautsch presented there.
Michael C. Burda attended the commemoration ceremony for Detlef Carsten Rohwedder and
participated in a podiums discussion about "Balances on the Trust Institution: Economy and
employment" on 1 April 2011 at the Federal Ministry of Economics and Technology in Berlin. He held a
lecture entitled "Payroll Taxes, Social Insurance and Business Cycles" in the research seminar at the
Center for Macroeconomic Research at the University of Cologne on 27 April 2011. Michael C. Burda
gave a talk entitled "What Explains the German Labor Market Miracle in the Great Recession?" in the
CAWM Colloquium at the Westfälische Wilhelms-Universtität Münster on 5 May 2011. He participated
in the podium discussion "Growth and Sustainability – a discrepance?" at the Humboldt- Forum
Wirtschaft on 11 May 2011. Prof. Burda held a lecture on "Payroll Taxes, Social Insurance and Business
Cycles" at the CPB seminar at the Netherlands Bureau for Economic Policy Analysis in The Hague on 12
May 2011. On the same day he gave a talk about "Paying for Social Security in the Long and the Short
Run" at the Ministry of Social Affairs in The Hague. Within the SPEA Overseas Education Programs
Prof. Burda gave a lecture on "Contemporary Policy Debate in Germany and Europe" at the Hertie
School of Governance in Berlin on 19 May 2011. From 26 to 28 May 2011 Prof. Burda participated at the
10th IZA/SOLE Transatlantic Meeting of Labor Economists in Buch/Ammersee and held a lecture on
"Payroll Taxes, Social Insurance and Business Cycles".
Joachim Gassen published the 8th edition of the textbook "Internationale Rechnungslegung" in coauthorship with Bernhard Pellens, Rolf-Uwe Fülbier and Thorsten Sellhorn on 15 April 2011.
Furthermore he attended the annual congress of the European Accounting Association (EAA) in Rome
from 20 to 22 April where he gave a talk entitled "The Contracting Role of Income Smoothing: Evidence
of European Private Firms" (joint work with Rolf Uwe Fülbier).
Furthermore Joachim Gassen and Tim Adam (Institute of Corporate Finance, Humboldt University
Berlin) hosted a PhD-level “Accounting and Finance Seminar” in the summer term of 2011. On April 15
Hermann Elender (University Vienna) gave a talk entitled “Re-mapping Credit Ratings”. On May 6 Jens
Jackwerth (University Konstanz) gave a talk entitled “Recovering Delisting Returns of Hedge Funds”.
On May 27 Gunter Löffler (University Ulm) gave a talk entitled “Can corporate credit ratings be
explained by simple decision heuristics?” On June 10 Markus Wiemann gave a talk entitled “Accountingbased versus rating-based performance pricing in bank loan contracts”. On June 23 Jochen Bigus (FU
Berlin) gave a talk entitled “Income smoothing with unlimited liability firms”.
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Tim Adam was a visiting researcher at the Hong Kong University of Science and Technology from 17 to
23 April 2011. He gave a talk about “The Use of Credit Default Swaps by U.S. Fixed-Income Mutual
Funds”, at the University of Cologne on 5 May 2011. In June, Tim Adam gave talks on “The Use of
Credit Default Swaps by U.S. Fixed-Income Mutual Funds” at the 2011 FIRS Conference, in Sydney,
Australia and "Managerial Biases and Corporate Risk Management" at the International Risk
Management Conference in Amsterdam.
Markus Reiß and Markus Bibinger gave talks about "Inference on the volatility in diffusion models with
noise and Le Cam theory" and "Covariance estimation for non-synchronous noisy high-frequency
observations" at the workshop "Asymptotical Statistics of Stochastic Processes VIII" in Le Mans from
16 to 20 March 2011.
Thorsten Dickhaus gave a talk on "Multiple testing under structural assumptions" at the "Structural
Inference Day" at the University Hamburg on 18 April 2011. Prof Dickhaus gave a talk on
“Neurophysiological Predictor of SMR-based BCI Performance” at the "BIT’s 2nd Annual World
Congress of NeuroTalk - 2011" in the World EXPO Center, Dalian, China from 21 to May.2011.
On 23 June Prof. Dickhaus participated at the 12th annual workshop for the "Adaptive Designs and
Multiple Testing Procedures in Lancaster, UK, which is a joint working group of the Austrian-Swiss
(ROeS) <http://www.meduniwien.ac.at/roes/> and German (DR) <http://www.biometrischegesellschaft.de/> regions of the International Biometric Society (IBS) <http://tibs.org/Interior.aspx>.
His talk was on "Binary classification with pFDR-pFNR losses".
Bengt-Arne Wickström participated at “Tagung des Ausschusses für Bevölkerungsökonomik” in
Feburary 2011 in Mannheim. He organised and gave a talk on the 9th International Workshop on
Operations Research: Operations Research for Medicine and Environment in Havanna, March 2011, on
"Dynamic models of language use: An overview". Prof. Wickström participated at the 2011 Meeting of
the European Public Choice Society, Rennes in April and May 2011. Prof. Wickstöm became a member of
the “Kommission zur Auswahl von Kandidat(inn)en für das MEMS Program in Economics and
Management Science, Moscow” in April 2011 and a member of the “Kommission zur Auswahl von
Kandidat(inn)en für das Internationale Parlaments-Stipendium des Deutschen Bundestages und der
Assemblée” in May 2011
Bengt-Arne Wickström taught at the International Summer School in Economics and Management
(ISSEM), Havanna, in September and October 2010. He also held a lecture at Freie Universität Bozen on
“Public Economics” from October 2010 to December 2010 and a lecture on “Finanzwissenschaft” from
February to April 2011.
Christian Schade was invited by the Psychology Dept. of Columbia University, New York to present his
paper “Holding on for too long? – An experimental study on inertia in entrepreneurs' and nonentrepreneurs' disinvestment choices” (co-authored by Serena Sandri, Oliver Mußhoff and Martin
Odening) at their Laboratory Seminar on 7 April 2011. He also presented the same paper at the invitation
of the Ausschuß für Unternehmenstheorie und -politik of the Verein für Socialpolitik at their General
Meeting in Bendorf on 14 April 2011 as well as at the invitation of the Johann Wolfgang GoetheUniversität Frankfurt on 1 June 2011. On 15 June 2011 Christian Schade held a Pre-Conference
Workshop on the “Methodology of Experimental Research” during the Annual Meeting of the “Verband
der Hochschullehrer für Betriebswirtschaft” in Kaiserslautern.
Roland Strausz was on a research stay at the University of Washington, Seattle from 2 to 12 May 2011
and at the Simon Fraser University, Vancouver from 13 May to 1 June 2011. Prof. Strausz gave a talk
on" Hierarchical Structures and Dynamic Incentives" at the University of Washington on 6 May and at
the Simon Fraser University on 26 May. He participated in the Canadian Economic Theory Conference
at UBC Vancouver from 13 to 15 May and gave a talk entitled "The Political Economy of Regulatory
Risk". Finally, Roland Strausz gave a talk about "Sequential Screening and Ex Post Participation" at the
UBC Vancouver on 18 May 2011.
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We are sad to announce that Roland Strausz leaves CASE at the end of this quarter after a long
association. We wish him all the best with his future endeavours.
PUBLICATIONS
Progrebna, G./Krantz, D./Schade, C./Keser, C. (2011): “Words versus Actions as a Means to
influence Cooperation in Social Dilemma Situations”, online and accepted for publication in Theory and
Decision 2011, DOI: 10.1007/s11238-9248-5
B.-A. Wickström (2010): Finanzpolitik und Schattenwirtschaft/(Reihe: Schriften des Vereins für
Socialpolitik. Neue Folge, Band 324) (Herausgeber). Berlin: Duncker & Humblot (2010). 196 Seiten.
B.-A. Wickström (2010): Finanzpolitik und Unternehmensentscheidung/(Reihe: Schriften des Vereins
für Socialpolitik. Neue Folge, Band 325) (Herausgeber). Berlin: Duncker & Humblot (2010). 260 Seiten.
B.-A. Wickström (2010): Lingvaj rajtoj kaj lingva justeco. /La arto labori kune: Festlibro por
Humphrey Tonkin /(Detlev Blanke und Ulrich Lins, Herausgeber). Rotterdam: UEA (2010) 97 – 103.
B.-A. Wickström (2011): Öffentliche Finanzen, Fiskalwettbewerb, Nachhaltigkeit und soziale
Wohlfahrt/(Reihe: Schriften des Vereins für Socialpolitik. Neue Folge, Band 330) (Herausgeber). Berlin:
Duncker & Humblot (2011). 239 Seiten.
B.-A. Wickström (2011): Die Sprache als erneuerbare Ressource: Die Kapazität verschiedener
Sprachen, fremde Elemente zu nostrifizieren. /Florilegium interlinguisticum: Festschrift für Detlev
Blanke zum 70. Geburtstag/ (Cyril Brosch und Sabine Fiedler, Herausgeber). Frankfurt am Main: Peter
Lang (2011) 193 – 208.
Steven Lemm, Benjamin Blankertz, Thorsten Dickhaus, Klaus-Robert Müller (2011):
„Introduction to Machine Learning for Brain Imaging“, NeuroImage, Vol. 56, No. 2 (2011), 387-399.
Karaman-Örsal, D. and Droge, B. (2011): Corrigendum to "Likelihood-Based Cointegration Tests in
Heterogeneous Panels", Econometrics Journal, 14, 121-125
Nikolaus Hautsch, Dieter Hess and David Veredas (2011): “The Impact of Macroeconomic News on
Quote Adjustments, Noise, and Informational Volatility”, Journal of Banking and Finance, in press
Axel Groß-Klußmann and Nikolaus Hautsch (2011): "When machines Read the News: Using
Automated Text Analytics to Quantify High Frequency News-Implied Market Reactions", Journal of
Empirical Finance, 18 (2), 321-340.
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R. Strausz, D. Krähmer (2011): “Corrigendum to Correlated information, mechanism design and
informational rents” [Journal of Economic Theory 123 (2005) [210-217], Journal of Economic Theory,
2011.
Pellens, B., R. U. Fülbier, J. Gassen und T. Sellhorn (2011): Internationale
Rechnungslegung, 8. Auflage. Schäffer-Poeschel, Stuttgart.
J. Gassen, J. Pierk und M. Weil (2011): Pensionsrückstellungen nach dem BilMoG - Erste
empirische Evidenz, in: Der Betrieb, 64. Jg. (2011), S. 1061-1067.
Härdle, W., Simar, L. (2011): 应用多元统计分析, 第二版,, Chinese translation of Applied Multivariate
Statistical Analysis. Peking University Press. ISBN: 978-7-301-16772-4/F-2670
Rainer Schulz and Axel Werwatz (2011): "Is there an equilibrating relationship between house prices
and replacement cost? Empirical evidence from Berlin", Journal of Urban Economics, Volume 69, Issue
3, May 2011, Pages 288-302.
DISCUSSION PAPERS
Discussion Papers can be found at:
http://sfb649.wiwi.hu-berlin.de/fedc/discussionPapers_en.php
James E. Gentle, Wolfgang Karl Härdle, Yuichi Mori (2011): "How Computational Statistics
Became the Backbone of Modern Data Science", available at: http://sfb649.wiwi.huberlin.de/papers/pdf/SFB649DP2011-020.pdf
Russ Moro, Wolfgang Härdle, Saeideh Aliakbari, Linda Hoffmann (2011): ”Forecasting Corporate
Distress in the Asian and Pacific Region”, available at: http://sfb649.wiwi.huberlin.de/papers/pdf/SFB649DP2011-023.pdf
C. Burda, Jennifer Hunt (2011): ”What Explains the German Labor Market Miracle in the Great
Recession?”, available at: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-031.pdf
Markus Reiß, Yves Rozenholc, Charles A. Cuenod (2011): ”Pointwise adaptive estimation for
quantile regression”, available at: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-029.pdf
Markus Reiß (2011): ”Asymptotic equivalence and sufficiency for volatility estimation under
microstructure noise”, available at: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-028.pdf
Johanna Kappus, Markus Reiß (2011): ”Estimation of the characteristics of a Lévy process observed at
arbitrary frequency”, available at: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-027.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 3ndNewsletter of 2011 is 15 September 2011.
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