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

Research SeminarMay 2018

On June 01, the RTG 1953 "Statistical Modeling of Complex Systems" and HeiKaMEtrics organize a joint econometrics workshop: Stefan Wager (Stanford University) will give 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) will give a talk on "Double/De-Biased Machine Learning with Regularized Riesz Representers" in the HeiKaMEtrics-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 HeiKaMEtrics-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 HeiKaMEtrics-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 HeiKaMEtrics WorkshopJan 2018

On January 25, the 4th HeiKaMEtrics 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 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) gave 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) gave 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) gave 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 took 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 was celebrated with the HeiKaMEtrics 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

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 ...