About HKMetrics

The HKMetrics 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 HKMetrics is to promote and foster research in applied and theoretical econometrics. The network's activities include a joint research seminar and a regular workshop for PhD students and junior researchers.

Upcoming Events and News

Causality and Autoencoders in the Light of Drug Repurposing for COVID-19, Gaul-Lecture 2021, Caroline Uhler (MIT) October 2021

The first lecture in the GAUL Lectures 2021 series at KIT Science Week by Caroline Uhler (MIT) on October 06, 17:00h via ZOOM [link], is aimed at a broad interested audience. Further information: [link].

Publication in SUERF, The European Money and Finance Forum. August 2021

A summary of the paper "The Role of Information and Experience for Households' Inflation Expectations" (by Christian Conrad, Zeno Enders and Alexander Glas) was published in SUERF, The European Money and Finance Forum [link].

Most downloaded article Journal of Applied Econometrics. March 2021

The paper "Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models" (https://doi.org/10.1002/jae.2742) by Christian Conrad and Onno Kleen was the most downloaded article published in the Journal of Applied Econometrics in 2019/2020.

Past Events

Research SeminarJune 2019

On June 26, Anne Opschoor (Vrije Universiteit Amsterdam) gave a talk on Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings. Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.028.

Research SeminarMay 2019

On May 23, Hajo Holzmann (University of Marburg) gave a talk. Location: University of Mannheim, L7, 3-5, Room S031.

Research SeminarMay 2019

On May 16, Dmitry Arkhangelsky (CEMFI Madrid) gave a talk. Location: University of Mannheim, L7, 3-5, Room S031.

Research SeminarMay 2019

On May 09, Matt Masten (Duke University) gave a talk. Location: University of Mannheim, L7, 3-5, Room S031.

Research SeminarNovember 2018

On November 14, Stefan Voigt (Vienna Graduate School of Finance) gave a talk on "Limits to Arbitrage in Markets with Stochastic Latency". Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 01.030.

Research SeminarNovember 2018

On November 07, Tom Zimmermann (University of Cologne) gave a talk on "Employment Effects of Unconventional Monetary Policy: Evidence from QE". Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 01.030.

Research SeminarOctober 2018

On October 22, Elmar Mertens (Bank for International Settlements) gave a talk on "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors". Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010.

5th HKMetrics WorkshopOct 2018

On October 04, the 5th HKMetrics Workshop took place in Heidelberg. Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 02.023. See into the program here.

Research SeminarSeptember 2018

On September 07, Wolfgang Haerdle (TU Berlin) gave a talk on "Textual Sentiment, Option Characteristics, and Stock Return Predictability". Location: KIT Campus B (Bdg. 09.21), Bluecherstr. 17, Room 320.

Research SeminarJuly 2018

On July 09, Christian Brownlees (Universitat Pompeu Fabra) gave a talk on "Community Detection in Partial Correlation Network Models". Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 00.010.

Research SeminarJune 2018

On June 01, the RTG 1953 "Statistical Modeling of Complex Systems" and HKMetrics organized a joint econometrics workshop: Stefan Wager (Stanford University) gave talks on "Optimized Regression Discontinuity Designs" and "Augmented Minimax Linear Estimation". Location: Heidelberg University, Mathematikon, conference room, 5th floor.

Research SeminarMay 2018

On May 28, Victor Chernozhukov (Massachusetts Institute of Technology) gave a talk on "Double/De-Biased Machine Learning with Regularized Riesz Representers" in the HKMetrics-Seminar. Location: Heidelberg University, Mathematikon, Room SR C.

Research SeminarApr 2018

On April 26, Bernd Schwaab (European Central Bank) gave a talk on "Risk endogeneity at the lender-/investor-of-last-resort" in the HKMetrics-Seminar. Location: KIT Campus B (Bdg. 09.21), Bluecherstr. 17, Room 320.

Research SeminarFeb 2018

On February 22, Manfred Deistler (TU Vienna) and Alexander Braumann (TU Braunschweig) gave a talk in the HKMetrics-Seminar. Manfred Deistler presented the paper "Generalized Linear Dynamic Factor Models - A Structure Theory" and Alexander Braumann the paper "Bootstrapping for Vector Autoregression Estimates in Generalized Dynamic Factor Models". Location: University of Mannheim, L7, 3-5, Room S 031.

4th HKMetrics WorkshopJan 2018

On January 25, the 4th HKMetrics Workshop took 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) gave a talk on "Asymmetric Impulse Responses" in the HKMetrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 01.030.

Research SeminarDec 2017

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

Research SeminarNov 2017

On November 27, Marie Hoerova (European Central Bank) gave a talk on "The Macroeconomic Impact of Money Market Freezes" in the HKMetrics-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) gave a talk on "Predicting Long-Term Financial Returns: VAR vs. DSGE Model - A Horse-Race" in the HKMetrics-Seminar. Location: Heidelberg University, Alfred-Weber-Institute, Bergheimer Str. 58, Room 01.030.

First HKMetrics Conference 2017Sep 2017

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

HKMetrics - Lecture in Memory of Emil J. GumbelSep 2017

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

Recent Publications

Regression Based Expected Shortfall Backtesting

Bayer, S., Dimitriadis, T. (2020) Journal of Financial Econometrics, forthcoming [link]

Two are Better than One: Volatility Forecasting using Multiplicative Component GARCH-MIDAS Models

Conrad, C., Kleen, O. (2020) Journal of Applied Econometrics, 35, 19-45 [link]

Generic Conditions for Forecast Dominance

Krüger, F., Ziegel, J.F. (2020) Journal of Business and Economic Statistics, forthcoming [link]

Estimating Derivatives of Function-Valued Parameters in a Class of Moment Condition Models

Rothe, C., Wied, D. (2020) Journal of Econometrics, 217, 1-19 [link]
More Publications