Humboldt-Universität zu Berlin Collaborative Research Center 649

Spandauer Straße 1 10178 Berlin – Germany

Editorial: CRC 649 Office

Phone: +49 (0) 30 2093 5708 Fax: +49 (0) 30 2093 5617

E-Mail: sfb649@wiwi.hu-berlin.de

Office: Room 309

http://sfb649.wiwi.hu-berlin.de

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No. 6 3 June 2011

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CURRENT EVENTS

More information can be found here: http://sfb649.wiwi.hu-berlin.de/fedc/events_en.php

17 – 18 June 2011 Workshop: "Cheap Talk and Signaling"

Location: Social Science Research Center Berlin Reichpietschufer 50

The WZB will stage its 19th conference on Markets and Politics on June 17–18, 2011, in Berlin. At this conference, researchers of international reputation in economics, sociology and biology, and young economists, will present and discuss their new theoretical, experimental and empirical work on communication and signaling. The objective is to promote interaction between researchers in these fields and to inspire participants with new ideas of how to combine theoretical, experimental and empirical methods to investigate information transmission in different settings.

20 - 21 June 2011 Workshop: "A Benchmark Approach to

Quantitative Finance"

Location: Faculty of Business and Economics Spandauer Str. 1, Room 112

This workshop introduces into the benchmark approach, which provides a general framework for financial market modelling. It allows for a unified treatment of derivative pricing, portfolio optimization and risk management. It extends beyond the classical asset pricing theories, with significant differences emerging for long dated derivative products and risk measures. The Law of the Minimal Price will be presented for derivative pricing. A Diversification Theorem allows forming a proxy for the numeraire portfolio. The richer modelling framework of the benchmark approach leads to the derivation of tractable, realistic models under the real world probability measure. It will be explained how the approach differs from the classical risk neutral approach. Examples on long term and extreme maturity derivatives demonstrate the important fact that a range of contracts can be less expensively priced and hedged than suggested by classical theory.

30 June - 2 July 2011 CRC 649 Conference

Location: Motzen

The program can be found here.

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REGULAR RESEARCH SEMINARS

An overview is available at: http://sfb649.wiwi.hu-berlin.de/fedc/seminars.php

ECONOMIC RISK SEMINAR Location: Spandauer Str. 1, room 23 Time: every Monday, 2 – 4 p.m. 6 June 2011 Tobias Klein

(Tilburg University) "Estimating heterogeneity in risk preferences from trading data"

SCHUMPETER SEMINAR Location: Spandauer Str. 1, room 23 Time: every Tuesday, 4 – 6 p.m. 7 June 2011 Jochen Mankart (University of St. Gallen) "Household Search and the Aggregate Labor Market" 14 June 2011 Eve Caroli (Paris School of Economics) "Working in family firms: less paid but more secure?

Evidence from French matched employer-employee data"

WIAS RESEARCH SEMINAR MATHEMATICAL STATISTICS Location: Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstraße 39, 10117 Berlin Erhard-Schmidt-Hörsaal Time: every Wednesday, 10 a.m. 1 June 2011 Valentin Patilea (Université de Rennes) "Adaptive Estimation of Var with Time-Varying Variance:

Application to Testing Linear Causality in Mean and Var Order"

8 June 2011 Xiaohong Chen (Yale University) "On Inference of PSMD Estimators of Semi/Nonpara-

metric Conditional Moment Models"

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REVIEW ABOUT CRC 649 EVENTS 5 - 6 May 2011 Third Workshop on Marketing Metrics, Risk and

Performance Modelling The third time after 2009 and 2010 the CRC B2 project (on Marketing, Branding and Risks) organized a one and a half day workshop focused on the topics marketing metrics, risks and performance modelling. In the recent economic condition these issues have become a particular practical and scientific relevance. A special emphasis of the third workshop therefore was put on the concept of economic risk. The keynote talks were given by Kalyan Raman (Northwestern University Evanston) on "The Geometric Brownian Law of Halving" and Amir Heiman (The Hebrew University Rehovot) on "Competition, money back guarantees and returns". The workshop brought more than 12 researchers from different countries together. In their research presentations they documented how various forms of marketing metrics, and especially different measures considering risks, can be used to predict economic performance and enrich the knowledge. Some studies combined empirical and quantitative modeling approaches from Marketing and Finance others had ties to consumer psychology. The program committee Lutz Hildebrandt, Wolfgang Härdle and Joachim Gassen put together a very interesting program of 9 presentations. In the course of the third workshop on "Marketing Metrics, Risk and Performance Modelling" Nicole Wiebach and Jana Diels (B2) presented their working paper "Do promotion-induced phantom positions in out-of-stock situations alleviate the similarity substitution hypothesis? ". Lutz Hildebrandt and Sven Tischer (B2) gave a talk on "Measuring the impact of critical incidents on Brand Equity". (JD)

Talk of Prof. Hildebrandt (B2) at the workshop

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13 - 14 May 2011 2nd Humboldt-Copenhagen Conference on Financial Econometrics

On 13 and 14May 2011, the 2nd "Humboldt-Copenhagen Conference on Financial Econometrics" took place in Copenhagen. It was the second meeting in a conference series which was started by Nikolaus Hautsch and Anders Rahbek (Copenhagen) with an initial meeting two years ago in Berlin. It is organized every two years, is alternating between Berlin and Copenhagen and is a joint initiative of CASE, the CRC 649 and the Department of Economics at the University of Copenhagen. For the 2nd Humboldt-Copenhagen ("HUKU") conference, also the Center of Research in Econometric Analysis of Time Series (CREATES) at Aarhus University 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 have been received and have been evaluated by an international program committee consisting of leading econometricians in Europe and the U.S. The resulting program was of very high quality covering all major fields in current financial econometric research, including the estimation and modeling of volatility and correlation, high-frequency finance, asset pricing, term structure modeling, systemic risk as well as methodological contributions in non-linear time series analysis, factor models and copula modeling. 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 have been the invited talks by Nour Meddahi (Toulouse School of Economics) and Stephen Taylor (Lancaster Business School). Unfortunately, the third invited speaker Bas Werker (Tilburg University) had to cancel his participation because of family reasons. Very positive feedback from the conference participants indicate that the conference was a great success and the HUKU conference series seems to establish as one of the regular meeting points of top international researchers in this field. (NH)

NEWS OF THE PROJECTS Roland Strausz (A8) 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". Further, Prof. Strausz gave a talk about "Sequential Screening and Ex Post Participation" at the UBC Vancouver on 18 May 2011. Wolfgang Härdle (B1) gave a talk about "Risk Patterns and Correlated Brain Activities" at the Universität Zürich on 4 May 2011. Prof. Härdle gave a talk entitled "Highdimensional nonstationary factor models" at the University of Macau on 13 May 2011. Further, Prof. Härdle gave a talk on "Localising Temperature Risk" at the Universität Duisburg-Essen on 18 May 2011.

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Maria Grith (B1) gave a talk on "A Microeconomic Explanation of the EPK Paradox" at the Swiss Banking Institute at the Universität Zürich on 5 May 2011. Lutz Hildebrandt (B2) gave a presentation with the title "Untersuchungen zu Out-of-Stock im Handel" at the University of Vienna on 20 May 2011. From 22 to 27 May Lutz Hildebrandt, Jana Diels and Sven Tischer (B2) participated at the "40th EMAC Conference", Ljubljana, Slovenia. In the course of the EMAC Doctoral Colloquium talks were given by Jana Diels on "Customer Reactions to Changing Context at the POS" and by Sven Tischer on "The Impact of Critical Incidents on Customer-Based Brand Equity". Martin Wersing (B3) successfully defended his Ph.D. thesis "Real Estate Valuation and Investment" on 25 May 2011. Nikolaus Hautsch (B8) was invited as a participant and discussant at the "Nonlinear and Financial Econometrics Conference: A Tribute to A. Ronald Gallant" taking place from 19 to 21 May at the Toulouse School of Economics. Furthermore, he was invited at the "Conference on Macro and Financial Economics: Theory and Applications" organized on 24 May at Brunel University. He gave a talk titled "Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Models". Michael C. Burda (C7) 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 on the 10th IZA/SOLE Transatlantic Meeting of Labor Economists in Buch/Ammersee and held a lecture on "Payroll Taxes, Social Insurance and Business Cycles". Markus Bibinger (C12) gave a talk entitled "Covariance Estimation for Asynchronous Noisy High-Frequency Data" at the Humboldt-Copenhagen Conference on Financial Econometrics in Copenhagen from 13 to 14 May 2011 Gunda-Alexandra Detmers (C14) gave a talk about "Information Content of Central Bank Interest Rate Projections: Evidence from New Zealand" at the conference "Forecasting Financial Markets 2011" in Marseille from 25 to 27 May 2011. Lars Winkelmann (C14) presented his paper "The Norges Bank's key rate projections and the news element of monetary policy: a wavelet based jump detection approach" at the conference "Forecasting Financial Markets" in Marseille from 25 to 27 May 2011.

NEWSLETTER NEWSLETTER NEWSLETTER Till Strohsal (C14) attended the Humboldt-Copenhagen Conference on Financial Econometrics in Copenhagen from 13 to 14 May 2011 and presented his paper on "Mean-Variance Cointegration and the Expectations Hypothesis". He also presented this paper at the conference "Forecasting Financial Markets" in Marseille from 25 to 27 May.

GUESTS OF THE CRC 649

You find a summary about all guests here:

http://sfb649.wiwi.hu-berlin.de/fedc/guests_en.php

Current Guests of the CRC 649 "Economic Risk":

23.05.2011 - 30.08.2011

Julian Dragendorf Freie Universität Berlin Project: An Empirical Analysis in Accounting Conservatism and Insider Trading – Evidence From Germany Spandauer Straße 1, room 318, phone 2093 5895

16.05.2011 - 30.12.2011

Tobias Vetter Hochschule für Ökonomie und Management Project: Performance- und Kostenvergleich zwischen Portfolios mit aktiv gemanageten Investementfonds und passiven Indexfonds (ETF's) Spandauer Straße 1, room 318, phone 2093 5895

12.05.2011 - 25.06.2011

Alexander Lohse HWR Berlin Project: Portfoliooptimierung mit Rohstoff-investments Spandauer Straße 1, room 318, phone 2093 5895

09.05.2011 - 09.08.2011

Thomas Schäfer Freie Universität Berlin Project: Bestimmung der Insolvenzwahr-scheinlichkeit - Eine Prognoseeignungsstudie Spandauer Straße 1, room 318, phone 2093 5895

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Anastasia Kraft Freie Universität Berlin Project: An inter-country comparison of lease disclosures in the assessment of equity risk Evidence from UK and Germany Spandauer Straße 1, room 318, phone 2093 5895

26.04.2011 - 10.09.2011

Timotej Jagrič University of Maribor Project: banking sector integration among EU countries Spandauer Straße 1, room 318, phone 2093 5895

23.04.2011 - 23.09.2011

Hai Yen Ngo Freie Universität Berlin Project: Determinaten des Prüferwechsels - eine empirische Untersuchung Spandauer Straße 1, room 318, phone 2093 5895

12.04.2011 - 15.07.2011

Rohit Deo New York University Project: Areas of time series and econometrics Spandauer Straße 1, room 400, phone 2093 5721

01.04.2011 - 30.06.2011

Robert Mülhaupt Universität Potsdam Project: The impact of the information environment on stock market efficiency Spandauer Straße 1, room 318, phone 2093 5895

01.03.2011 - 08.06.2011

Christian Hattendorff Freie Universität Berlin Project: Does a resource-oriented export structure weaken a country? Spandauer Straße 1, room 318, phone 2093 5895

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NEWSLETTER NEWSLETTER NEWSLETTER 15.02.2011 - 15.08.2011

Falko-Alexander Schulz Project: Estimation of high-dimensional conditional covariances Spandauer Straße 1, room 318, phone 2093 5895

17.01.2011 - 17.01.2012

Aleksandra Rzeznik Europa Universität Viadrina Project: Estimation of abnormal returns arisen as a result of new joint venture announcements Spandauer Straße 1, room 318, phone 2093 5895

23.08.2010 – 30.06.2011

Johannes Schmidt-Hieber Universität Göttingen Project: high-frequency data, volatility, microstructure noise Rudower Chaussee 25, room 1.2.17

02.07.2010 – 30.07.2011

Alexander Vasa DIW Berlin Project: Compare demand & supply of investment volumes across sectors and regions. Ultimate question: what policy instruments needed to facilitate finance needed for low carbon development? Spandauer Straße 1, room 318, phone 2093 5895

21.06.2010 – 31.12.2012

Magdalena Tchikov Freie Universität Berlin Project: Empirical analysis of CDS pricings; Consistency to prevalent pricing models Spandauer Straße 1, room 318, phone 2093 5895

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NEW DISCUSSION PAPERS

You find all discussion papers here: http://sfb649.wiwi.hu-berlin.de/fedc/discussionPapers_en.php

2011-022 Rodrigo Herrera, Bernhard Schipp

"Extreme value models in a conditional duration intensity framework"

2011-023 Russ Moro, Wolfgang Härdle, Saeideh Aliakbari, Linda Hoffmann "Forecasting Corporate Distress in the Asian and Pacific Region"

2011-024 Juliane Scheffel "Identifying the Effect of Temporal Work Flexibility on Parental Time with Children"

2011-025 Juliane Scheffel "How do Unusual Working Schedules Affect Social Life?"

2011-026 Juliane Scheffel "Compensation of Unusual Working Schedules"

2011-027 Johanna Kappus, Markus Reiß "Estimation of the characteristics of a Lévy process observed at arbitrary frequency"

2011-028 Markus Reiß "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise"

2011-029 Markus Reiß, Yves Rozenholc, Charles A. Cuenod "Pointwise adaptive estimation for quantile regression"

2011-030 Sigbert Klinke "Developing web-based tools for the teaching of statistics: Our Wikis and the German Wikipedia"

PUBLICATIONS

J. Gassen, J. Pierk und M. Weil (2011) Pensionsrückstellungen nach dem BilMoG - Erste empirische Evidenz, in: Der Betrieb, 64. Jg. (2011), S. 1061-1067.

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. Doi: 10.1016/j.jet.2011.05.005

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QUOTE OF THE MONTH

"It is easier to cope with a bad conscience than with a bad reputation."

Friedrich Wilhelm Nietzsche (1844-1900)

Please also note that the newsletter is published on the homepage of the CRC 649. --------------------

The CRC 649 – Newsletter is published at the beginning of each month. Editorial deadline for the seventh Newsletter 2011 is 30.06.2011.