Workshop Statistics of Lévy-driven Models

The workshop takes place at Ulm University, Germany, from Thursday, March 15 to Friday, March 16, 2012 and is organised as a part of the DFG funded research project "Statistics of Lévy-driven Models".

The aim of the conference is to bring together a range of researchers in statistics of Lévy-driven models to present their work and exchange ideas.

There will be a registration fee of 50 EUR for all participants except invited speakers. While talks are on invitation only, there will be an open poster session on Thursday afternoon.

Organizers

Vicky Fasen, Jens-Peter Kreiß, Alexander Lindner and Robert Stelzer.

Registration

A registration form can be found here (pdf-file) or here (doc-file). If you wish to attend the workshop, please fill out the registration form and send it back to Eva Nacca via e-mail, fax (please use the fax number given in the form) or regular mail. In the form you can also specify whether or not you would like to present a poster within the designated session on Thursday afternoon. Please note that the conference fee is 50 EUR (except for invited speakers) and should be paid by March 1, 2012. In case of any queries regarding the registration or the workshop itself, please feel free to contact Eva Nacca.

If you want to apply to present a poster, you have to register by February 24th. Presumably on February 27th notifications about the accepted posters will be emailed.

Programme

Thursday, March 15, 2012

09:00-09:10Opening
09:10-09:50Thomas Mikosch (University of Copenhagen)
Precise large deviations for dependent heavy-tailed sequences
09:50-10:30Florian Fuchs (Munich University of Technology)
Limit Theory for the Periodogram of High-Frequency Sampled Stable CARMA Processes
10:30-11:00Coffee Break
11:00-11:40Alexander Aue (University of California, Davis)
Exploratory analysis and modeling of stock return data
11:40-12:20Thorsten Fink (Braunschweig University of Technology)
Bootstrap for random coefficient autoregressive models
12:20-14:00Lunch
14:00-14:40Magda Mroz (Ulm University)
Tests and power comparisons in time-dynamic copula models
14:40-15:20Serge Cohen (University Paul Sabatier Toulouse)
A central limit theorem for the sample autocorrelations of a Lévy driven moving average process
15:20-15:50Poster Session
15:50-16:30Marc Wittlinger (Ulm University)
A terminal wealth problem in an illiquid market under a drawdown constraint
16:30-17:10Paul Doukhan (University Cergy-Pontoise)
Dependent marked point processes
19:00Conference Dinner

Friday, March 16, 2012

09:00-09:40Michael Neumann (Friedrich Schiller University Jena)
Dependent wild bootstrap for degenerate U- and V-statistics
09:40-10:20Tobias Niebuhr (Braunschweig University of Technology)
Parameter Estimation and Bootstrap for Lévy-Driven Continuous-Time Autoregressive Processes
10:20-10:50Coffee Break
10:50-11:30Evgeny Spodarev (Ulm University)
Nonparametric estimation of the characteristics of stationary Lévy random fields
11:30-12:10René Schilling (Dresden University of Technology)
Some Path Properties of Lévy-Type Processes
12:10-13:30Lunch
13:30-14:10Gernot Müller (University of Munich)
Futures pricing in electricity markets based on stable CARMA spot models
14:10-14:50Peter Brockwell (Colorado State University)
Inference for Lévy-driven time series models based on high-frequency data

Travel information

A site plan of the campus and detailed travel information can be found here.

The conference will take place in the "Senatssaal", Helmholtzstraße 16. The room is situated in the basement of the administration building Helmholtzstraße 16 which can be found on that map as "Universitätsverwaltung" (the left one of the two blue buildings in Helmholtzstraße). The best way to get there is by bus line 3 (coming from city centre and central station). The stop is "Botanischer Garten". From there you walk approximately 5 minutes to Helmholtzstraße 16.