About HeiKaMEtrics

The HeiKaMEtrics network is a joint initiative of econometricians and statisticians from Heidelberg University, the Karlsruhe Institute of Technology and the University of Mannheim. The mission of HeiKaMEtrics is to promote and foster research in applied and theoretical econometrics. We aim at deepening existing research collaborations and stimulating and enhancing new projects among researchers from the three institutions and beyond. The network's activities include a joint research seminar, a regular workshop for PhD students and junior researchers and an international visitors program.

News

4th HeiKaMEtrics WorkshopJan 2018

On January 25, the 4th HeiKaMEtrics Workshop will take place in Karlsruhe. Location: KIT Campus B (Bdg. 09.21), Bluecherstr. 17. See into the program here.

Research SeminarJan 2018

On January 10, Jörg Breitung (University of Cologne) will give a talk on "Asymmetric Impulse Responses" in the HeiKaMEtrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 01.030.

Research SeminarDec 2017

On December 18, Roman Liesenfeld (University of Cologne) will give a talk on "Factor State-Space Models for High-Dimensional Realized Covariance Matrices of Asset Returns" in the HeiKaMEtrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010.

Research SeminarNov 2017

On November 27, Marie Hoerova (European Central Bank) will give a talk on "The Macroeconomic Impact of Money Market Freezes" in the HeiKaMEtrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010.

1st Prize for Onno Kleen and Christopher ZuberOct 2017

For their Whitepaper "Lykke Crypto Index 20", Onno Kleen and Christopher Zuber were awarded the 1st prize at a competition by Lykke marketplace. They proposed the Lykke Crypto Index 20 (LCI20) as a real-time measure of cryptocurrency market movements. Further information can be found here.

Research SeminarOct 2017

On October 25, Michael Rockinger (University of Lausanne) will give a talk on "Predicting Long-Term Financial Returns: VAR vs. DSGE Model - A Horse-Race" in the HeiKaMEtrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 01.030.

First HeiKaMEtrics Conference 2017Sep 2017

The inaugural conference of the HeiKaMEtrics network on Financial Econometrics will take place on September 14-15, 2017, at the International Academic Forum Heidelberg (Directions). Detailed program [pdf-download] and more Information here.

HeiKaMEtrics - Lecture in Memory of Emil J. GumbelSep 2017

The opening of the HeiKaMEtrics network will be celebrated with the HeiKaMEtrics Lecture in memory of Emil J. Gumbel held by Eric Ghysels (UNC Chapel Hill). The lecture will take place on Friday, September 15th at Alte Aula of Heidelberg University (Directions). More Information here.

Recent Publications

Modeling Heaped Duration Data: An Application to Neonatal Mortality

Arulampalam, W., Corradi ,V., Gutknecht, D. (2017) Journal of Econometrics, 200, 363-377 [link]

Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts

Clark, T.E , Krüger, F. and Ravazzolo, F. (2017) Journal of Business & Economic Statistics, 35, 470-485 [link]

Baxter's Inequality and Sieve Bootstrap for Random Fields

Meyer, M., Jentsch, C. and Kreiss, J.-P. (2017) Bernoulli 23, No. 4B, 2988-3020 [link]

More here ...