Workshop on Extreme Value and Time Series Analysis
Workshop on Extreme Value and Time Series Analysis
Workshop on Extreme Value and Time Series Analysis
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Program

Program

 
 Download Abstracts: Booklet.pdf

 

Monday, March 21, 2016

13:00 - 14:00  Registration and Welcome Coffee

14:00 - 14:05  Welcome Words

14:05 - 15:50

  • Samorodnitsky Functional Central Limit Theorem for Heavy Tailed Stationary Infinitely Divisible Processes Generated by Conservative Flows
  • Roy Branching Random Walks, Stable Point Processes and Regular Variation
  • Cohen What happens to a random walk of chained particles when the chain is very long?

15:50 - 16:20  Coffee Break

16:20 - 18:05

  • Veraart Modelling multivariate serially correlated count data in continuous time
  • Rosenbaum The microscopic foundations of volatility statistical properties
  • Kreiss A Model Specification Test for GARCH(1,1) Processes

 

Tuesday, March 22, 2016

09:30 - 10:40

  • Brockwell CARMA Random Fields on
  • Scholz Estimation of Cointegrated MCARMA Processes

10:40 - 11:15 Coffee Break

11:15 - 13:00

  • Das Risk contagion: marginal expectations under asymptotic independence
  • Francq Joint inference on market and estimation risks in dynamic portfolios
  • Embrechts Quantile-based risk sharing

13:00 - 14:15 Lunch Break

14:15 - 15:25

  • Dombry Full likelihood inference for multivariate extreme value distributions count data in continuous time
  • Segers Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series

15:25 - 15:55 Introduction to Posters

15:55 - 17:00 Poster Session with coffee break

17:00 - 18:15

  • Einmahl A continuous updating weighted least squares estimator of tail dependence in high dimensions
  • Rootzén Multivariate peaks over thresholds modelling and likelihood inference

18:15 - open end Conference Dinner

A short (10-15 mins) walk will take us to the location of our conference dinner at the Badische Weinstuben .

 

Wednesday, March 23, 2016

09:30 - 10:40

  • Doukhan An approach to extreme value theory without limit
  • Falk An Offspring of Multivariate Extreme Value Theory: D-Norms

10:40 - 11:15 Coffee Break

11:15 - 13:00

  • Klüppelberg Max-linear models on graphs
  • Davis On Consistency/Inconsistency of MDL Model Selection for Piecewise Autoregression
  • Resnick Multivariate Regular Variation of In- and Out-Degree in a Network Growth Model

13:00 - 14:00 Lunch