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
| 09:00-09:10 | Opening |
| 09:10-09:50 | Thomas Mikosch (University of Copenhagen) |
| Precise large deviations for dependent heavy-tailed sequences | |
| 09:50-10:30 | Florian Fuchs (Munich University of Technology) |
| Limit Theory for the Periodogram of High-Frequency Sampled Stable CARMA Processes | |
| 10:30-11:00 | Coffee Break |
| 11:00-11:40 | Alexander Aue (University of California, Davis) |
| Exploratory analysis and modeling of stock return data | |
| 11:40-12:20 | Thorsten Fink (Braunschweig University of Technology) |
| Bootstrap for random coefficient autoregressive models | |
| 12:20-14:00 | Lunch |
| 14:00-14:40 | Magda Mroz (Ulm University) |
| Tests and power comparisons in time-dynamic copula models | |
| 14:40-15:20 | Serge Cohen (University Paul Sabatier Toulouse) |
| A central limit theorem for the sample autocorrelations of a Lévy driven moving average process | |
| 15:20-15:50 | Poster Session |
| 15:50-16:30 | Marc Wittlinger (Ulm University) |
| A terminal wealth problem in an illiquid market under a drawdown constraint | |
| 16:30-17:10 | Paul Doukhan (University Cergy-Pontoise) |
| Dependent marked point processes | |
| 19:00 | Conference Dinner |
Friday, March 16, 2012
| 09:00-09:40 | Michael Neumann (Friedrich Schiller University Jena) |
| Dependent wild bootstrap for degenerate U- and V-statistics | |
| 09:40-10:20 | Tobias Niebuhr (Braunschweig University of Technology) |
| Parameter Estimation and Bootstrap for Lévy-Driven Continuous-Time Autoregressive Processes | |
| 10:20-10:50 | Coffee Break |
| 10:50-11:30 | Evgeny Spodarev (Ulm University) |
| Nonparametric estimation of the characteristics of stationary Lévy random fields | |
| 11:30-12:10 | René Schilling (Dresden University of Technology) |
| Some Path Properties of Lévy-Type Processes | |
| 12:10-13:30 | Lunch |
| 13:30-14:10 | Gernot Müller (University of Munich) |
| Futures pricing in electricity markets based on stable CARMA spot models | |
| 14:10-14:50 | Peter 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.