”High-Dimensional Data Analysis in Economics” Workshop

 

19 - 20 March 2010
Faculty of Economics and Business
University of Zagreb
Croatia

Dear Colleagues,

It is our pleasure to invite you to the ”High-Dimensional Data Analysis in Economics” Workshop, which will take place in Zagreb on 19th and 20th March, 2010. The Workshop is organized as a result of the academic bilateral cooperation between the Faculty of Economics and Business, University of Zagreb, and the Humboldt-Universität zu Berlin.

The main purpose of the Workshop is to provide a research platform among academics, postgraduate and doctoral students and non-academic practitioners from the field of finance and risk management.

The key linkage between all the mentioned groups is the indispensability of engaging in the wider field of statistics and financial econometrics in order to throw light upon complex economic phenomena. In that sense, this is a valuable opportunity to benefit from distinguished lecturers from the Humboldt Universität, as well as from respectable Croatian researchers. Moreover, the aim of this workshop is to encourage networking and the exchange of ideas between researchers in related economic fields, such as finance, statistics and financial mathematics.

Invited Speakers:

Bojan Basrak, Faculty of Science, University of Zagreb: ''Extreme values and dependence in financial time series"
Maria Grith, Humboldt-Universität zu Berlin: "Estimating Pricing Kernel via Series Methods"
Wolfgang Härdle, Humboldt-Universität zu Berlin: "Pricing of Asian Temperature Risk"
Ostap Okhrin, Humboldt-Universität zu Berlin: "Time Varying Hierarchical Archimedean Copulae (HALOC)"
Petra Posedel, Faculty of Economics and Business Zagreb: "Some results on inference for a class of stochastic volatility models with jumps using the martingale estimating function approach"
Weining Wang, Humboldt-Universität zu Berlin: "Uniform Confidence for Pricing Kernels"
Saša Žiković, Faculty of Economics Rijeka: ''Multivariate Extreme value theory approach to risk management''

Here you can download detailed Workshop Programme in PDF

Venue

The Workshop will take place at the following address:

Faculty of Economics and Business Zagreb
J.F.Kennedy 6
10 000 Zagreb
Croatia

Please note that the Workshop will be held in room No.7 at the Faculty of Economics and Business Zagreb (1st floor).

Organizing Committee:

Prof. dr. Nataša Erjavec
Faculty of Economics and Business Zagreb, Department of Statistics

Prof. dr. Vlasta Bahovec
Faculty of Economics and Business Zagreb, Department of Statistics

Saša Jakšić, Ph.D. student
Faculty of Economics and Business Zagreb, Department of Statistics

Petar Sorić, Ph.D. student
Faculty of Economics and Business Zagreb, Department of Statistics

Andrija Mihoci, Ph.D. student
Humboldt-Universität zu Berlin