Conference Agenda

Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).

Session Overview
SF3: Statistics in Finance III
Wednesday, 20/Mar/2019:
5:00pm - 6:20pm

Session Chair: Markus Bibinger
Location: E 004
Verfügbar: Di-Fr, je 7-23 Uhr Plätze: 191 Technikausstattung: BE, DIA, DVD, MF, MP, V Bestuhlung: fest Grüne Tafel: ja

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5:00pm - 5:20pm

Goodness-of-fit tests for centralized Wishart processes

Gustav Alfelt, Taras Bodnar, Joanna Tyrcha

Stockholm University, Sweden

5:20pm - 5:40pm

Matrixvariate Factor Model for Realized Covariances

Eugen Ivanov, Yarema Okhrin

Universität Augsburg, Germany

5:40pm - 6:00pm

Dynamic Modeling of the Global Minimum Variance Portfolio weights

Fabian Krüger1, Roman Liesenfeld2, Laura Reh2

1Heidelberg University, Germany; 2University of Cologne, Germany

6:00pm - 6:20pm

Detecting a hidden component in high-frequency yield curves using rank tests for the covolatility process

Lars Winkelmann

Freie Universität Berlin, Germany

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