Plenary Talks. ITISE
Prof. Per Bjarte Solibakke
Position: Professor and Associate Dean for Education, Faculty of Economics, Norwegian University of Science and Technology | NTNU · Department of International Business.
Vice Dean for Education, Faculty of Ecdonomics and Management, Department of International Business, +47 70161427 +4790035606, Kunnskapsparken, KP-229, Ålesund, Larsgårdsveien 2
Academic disciplines: Business, Econometrics, Economics
Subjects: Dervatives: Forward/Futures and Options, Energy policy of the Europan Union, Energy Markets, Econometrics of Financial Markets, Financial economics, General financial markets, Corporate finance and governance, International finance, Casflows and Net Present values, Risk analysis, Risk management, Corporate finance, Volatility Indices,
- 01.01.2004 - 01.06.2006 PEDUP ved NTNU Norwegian University of Science and Technology Pedagogisk utviklingsprogram for vitenskapelig personale ved NTNU. Seksjon for Universitetspedagogikk, NTNU
- 01.08.1997 - 31.12.2001 Doktorprogram ved NHH i Bergen Norwegian School of Economics Dr.oecon graden godkjent desember 2001. Avhandling: Essays on Changing Volatility in Thinly Traded Equity Markets.
- 01.08.1995 - 31.12.1996 Høyere avdelings eksamen (HAE) ved NHH i Bergen Norwegian School of Economics Høyere avdeling eksamen desember 1996. Oppgave: Two Essays on Asset Volatility in the Norwegian Equity Market for the period 1983 to 1994.
- 01.01.1988 - 31.12.1990 Doktorprogram ved NTNU i Trondheim Norwegian University of Science and Technology Avlagt eksamener tilsvarende faglige krav ved doktorgrad, NTNU (68 belastningstimer).
- 01.01.1984 - 31.12.1987 Hospitant Sivilingeniør NTNU i Trondheim Norwegian University of Science and Technology Hospitant ved Norges Teknisk Naturvitenskapelige Universitet i Trondheim. Fagportefølje: Kvantitaiv økonomi (operasjonsanalyse 1 og 2), matematikk og statistikk (pålitelighetsanalyse), datafag innen systmering, databaser og ekspertsystmer (programming logic).
- 01.08.1979 - 01.06.1983 Siviløkonom Norwegian School of Economics Siviløkonom med fordypning økonomisk styring
- 01.08.1974 - 01.06.1977 Generell Studiekompetanse (videreg. skole) Florø
Prof. Thorsten LEHNERT. Luxembourg School of Finance (LSF)
Position: Full professor of Finance. Luxembourg School of Finance (LSF)
Research Topics Investments, Derivatives, Credit Risk, Market Volatility, Investor Psychology
Faculty or Centre Faculty of Law, Economics and Finance. Research Unit Luxembourg School of Finance (LSF). Postal Address Campus Kirchberg, Université du Luxembourg 6, rue Richard Coudenhove-Kalergi L-1359 Luxembourg. Campus Office F 210 .
Education: Maastricht University, School of Business and Economics: Ph.D. in Finance, December 2002 University of Bonn, Faculty of Law and Economics: Diplom in Economics (dipl. rer. pol.), December 1998.
Employment: University of Luxembourg, Luxembourg School of Finance: Professor of Finance, 2009-present Maastricht University, School of Business and Economics: Associate Professor of Finance, 2008-2009 Assistant Professor of Finance, 2003-2007 Maastricht Research School of Economics of Technology and Organizations, Maastricht, Netherlands: Senior research fellow, 2004-2009. Radboud University Nijmegen, Nijmegen Center for Economics: Adjunct Associate Professor of Finance, 2006-2008.
Selected Media Exposure: Art World Prepares for a Challenging Year - New York Times - Jan 28th 2016 A Widespread Chill in Art Sales - Wall Street Journal - Jan 29th 2016 Les ventes d'art coincées dans leur bulle – Le Figaro – Jan 27th 2016 Art bubble Brewing? – CNBC – Jan 20th 2016 Academics Say the Art Market Bubble Is About to Burst, Are They Right? – Artnet News – Jan 19th 2016 Art market in 'mania phase' and risks bursting of the bubble, report says - The Guardian – Jan 17th 2016.
Other professional activities: Director, Master of Banking and Finance, University of Luxembourg, 2016-present. Founding Head of the Doctoral School of Economics and Finance, University of Luxembourg, 2011-2016. Guest Editor, Journal of Empirical Finance, Special Issue: Alternative Investments, 2017. Organizer of the Alternative Investments conference, June 2016, Monte Carlo, Monaco. Guest Editor, Journal of Empirical Finance, Special Issue: European Sovereign Debt Crisis, 2016. Organizer of the European Sovereign Debt Crisis conference, March 2015, Monte Carlo, Monaco. Organizer of the Pierre Werner PhD Workshop, October 2014, Luxembourg. Organizer of the Financial Management Association Meeting, June 2013, Luxembourg. Organizer of the Liege-Luxembourg-Maastricht PhD Workshop, April 2013, Luxembourg. Organizer of the Conference “Financial Stability, Bank Risk and Regulation in the Light of the Crisis”, Luxembourg, November 2012. Director, MPhil program Economic and Financial Research, Faculty of Economics and Business Administration, Maastricht University, 2008- 2009. Board Member, Research School METEOR, 2008-2009. Academic Advisor to the Dutch Ministry of Finance. 2007-2008.
Prof. Dieter Nautz
Position: Freie Universität Berlin. Fachbereich Wirtschaftswissenschaft. Chair of Econometrics. Professor
Boltzmannstr. 20, Raum 300, 14195 Berlin
Prof. Dr. Dieter Nautz holds the Chair of Econometrics at the Free University Berlin. His research interests focus on applied time series econometrics, empirical macroeconomics and monetary policy.
- Apr 2009. Professor of Econometrics at the Institut für Statistik und Ökonometrie, Freie Universität Berlin
- Oct 2000 - Mar 2009 Professor of Applied Macroeconomics, Johann Wolfgang Goethe-Universität Frankfurt am Main 1999 - 2000 Guest Professor at the Institut für Wirtschaftstheorie III, Humboldt-Universität Berlin
- Jul 1999 Habilitation at the Department of Business and Economics, Freie Universität Berlin
- 1994 - 1999 Research Fellow at the DFG-Project C3 Stability of Money Demand Stability, Humboldt-Universität Berlin
- 1992 - 1997 Assistant Professor at the Institut für Statistik und Ökonometrie, Freie Universität Berlin
- Nov 1993 Ph.D. at the Department of Business and Economics, Freie Universität Berlin
- 1990 - 1993 Ph.D. Program Applied Microeconomics, Freie Universität Berlin Volkswagen Foundation scholar
- 1984 - 1990 Mathematics degree at the University of Heidelberg
- Research Committee Econometrics Verein für Socialpolitik
- Research Committee Monetary Economics Verein für Socialpolitik
- Research Committee Macroeconomics Verein für Socialpolitik
- Editorial Board International Economics and Economic Policy
- Scientific Advisory Board Deutsches Institut für Wirtschaftsforschung (DIW) (2005-2015)
- Research Fellow Center for Financial Studies
- Collaborative Research Centre 649 "Economic Risk", project C14 "Expectations management of central banks"
- The Anchoring of Inflation Expectationss in the Short and in the Long Run, Macroeconomic Dynamics (forthcoming). PDF (with Netsunajew, A. & Strohsal, T.)
- Central Bank Communication and the Perception of Monetary Policy by Financial Market Experts, Journal of Money, Credit, and Banking, 2012, 44(2-3), 323-340. link (with Schmidt, S.)
- Inflation, Price Dispersion and Market Integration through the Lens of a Monetary Search Model. European Economic Review, 56(2012), 624-634. link (with Becker, S)
- Does the Euro follow the German Mark? Evidence from the Monetary Model of the Exchange Rate, European Economic Review, June 2006, 50(5): 1279-1295. (with Offermanns, C.J.)
- Overbidding in Fixed Rate Tenders – An Empirical Assessment of Alternative Explanations, European Economic Review, April 2006, 50(3): 631-646. (with Oechssler J.)
- Banks' Demand for Reserves When Future Monetary Policy is Uncertain. Journal of Monetary Economics, 1998, 42(1): 161-83.
- How Auctions Reveal Information: A Case Study on German REPO Rates. Journal of Money, Credit, and Banking, 1997, 29(1): 17-25.
Professor Dr. Stephan Schlüter
Position: Professor. Faculty of Mathematics, Natural and Economic Sciences University of Applied Sciences Ulm Prittwitzstr. 10 89075 Ulm
- Institute of Energy and Drive Technology
- Institute of Applied Research
- Multivariate time series analysis
- Statistical analysis of energy commodities
- Complex energy products (swing options, gas storages, batteries)
- Time series forecasting
- Schlüter S, Kresoja M. Two Preprocessing Algorithms for Climate Time Series. Working Paper, 2019.
- Schlüter S. A sine-based Model for the Volatility of Daily Photovoltaic Production. Working Paper, 2017.
- Hanfeld M, Schlüter S. Operating a Swing Option on Today's Gas Markets - How Least Squares Monte Carlo Works and Why it is Beneficial. Zeitschrift für Energiewirtschaft, 2:137-145, 2017.
- Herwartz H, Schlüter S. On the Predictive Information of Futures' Price - a Wavelet Based Assessment. Journal of Forecasting, 2016.
- Schlüter S, Deuschle C. Wavelet-Based Forecasting of ARIMA Time Series - an Empirical Comparison of Different Methods. Managerial Economics, 15(1):107-131, 2015.
Prof. J. Hinaunye Eita
Position: Professor and Head of Academics School of Economics College of Business and Economics . University of Johannesburg
Contact Details : D Ring 230, +27 (0)11 559 2105, Auckland Park Campus. University of Johannesburg
J. Hinaunye Eita is an economist and econometrician who holds a PhD in Economics from the University of Pretoria (South Africa). He is currently a Professor and Head of Academics, at the School of Economics, University of Johannesburg (South Africa). He held various positions including among others, Research Professor for the Faculty of Commerce and Administration at North-West University (South Africa), Professor of economics at North-West University (South Africa), Associate Professor of economics at Monash University (Australia and South Africa), Lecturer at the University of Namibia (Namibia). He holds a C rating from the National Research Foundation (NRF) of South Africa as an established researcher. His research areas are economic modelling (time series econometrics, panel data econometrics, macro-econometric modelling), international trade, international finance, financial markets. He has experience in building macro-econometric models. He worked on the following projects:
- Development of a macroeconomic model of the state owned companies under the Department of Public Enterprise (DPE) portfolio. Eita was a project leader and technical lead for this research project. This research project was commissioned and funded by the Department of Public Enterprises (Government of the Republic of South Africa). This project developed a macroeconomic model that can be used to evaluate the socio-economic impact of state-owned companies. One of the key component was the labour sector. This model estimated the effect of capital investment expenditure in state owned companies on employment, unemployment in various sectors of the South African economy, poverty and inequality. It also investigated the effect of key macroeconomic variables on employment, unemployment, inequality and poverty. This project was conducted for the period March 2017 to January 2018.
- The effect of Transnet on the South African economy. This project was commissioned and funded by the Department of Public Enterprises (Government of the Republic of South Africa). Eita was a project leader and researcher on this research project. This project was on the macroeconomic impact of Transnet on employment, international trade, logistic costs and investment in various sectors of the South African economy. This project was undertaken for the period March 2017 to March 2018.
- Macro-econometric model for the Namibian Economy, 2012. Eita was sole researcher who developed a macro-econometric model of the Namibian economy. The research was completed in 2012. The client for this project is First National Bank of Namibia. One of the main components of this macro-econometric model is labour. This model estimates the responsiveness of employment or labour to several macroeconomic variables. This is a macro-econometric model has the supply and demand sides of the economy. It can be used for forecasting. This project had a significant component of capacity building. Eita trained the staff of First National Bank of Namibia in macro-econometric modelling.
- Investigating the Macroeconomic Impact of the Proposed National Pension Fund in Namibia”. This research project was commissioned and funded by the Social Security Commission of Namibia. Eita was part of the team that prepared the economic section on the impact of the proposed impact National Pension Fund on employment and economic growth. This research project was undertaken for the period 2008 to 2012
- Supply side and demand macroeconomic model of the Namibian economy. This project was commissioned and funded by the National Planning Commission – Office of the President, Government of the Republic of Namibia, September 2013 – January 2015. Eita developed a macroeconomic model of the Namibian economy that can be used to investigate the effect of demand and supply variables on employment, unemployment and wage. This project had a significant component of capacity building, and Eita trained of the National Planning Commission on how to build macroeconomic model.
- Poverty and Social Impact Analysis of VAT Zero Rating of Basic Commodities on Poor Households and Government Revenue in Namibia”, 2008 -2009. This project was commissioned and funded by the National Planning Commission of Namibia (Government of the Republic of Namibia). Eita was part of the research team that prepared the report for this research project. This project was undertaken and completed in 2009.
- Determinants of unemployment in Namibia. Eita was the sole researcher for this research project. This research project was financed by UNDP Namibia on behalf of the Government of the Republic of Namibia. This research project developed a model that can be used to forecast unemployment in Namibia. This project was undertaken and completed in 2008.
He successfully supervised Masters and PhD students in the areas of macroeconomic model, international trade and finance and, financial markets. He published research papers in leading scientific journals, on the South African, Namibian and Botswana economies. His publications appeared in (among others), South African Journal of Economics; South African Journal of Economic and Management Sciences; African Finance Journal; Journal for Studies in Economics and Econometrics, Journal of Economic and Financial Sciences, Journal of Developing Areas, Economia Internazionale, Agrekon, Journal of Developing Areas, International Journal of the Sustainable Economy, Development Southern Africa, Cogent Economics and Finance.
5th International conference on Time Series and Forecasting (ITISE)
|Prof. Dr. Peter M Robinson|
Prof. Dr. Peter M Robinson
Current Positions :
Peter M Robinson has been Tooke Professor of Economic Science and Statistics in the Economics Department of the London School of Economics, University of London, since 1995. Between 1998 and 2003 he held a Leverhulme Trust Personal Research Professorship. From 1984 to 1995 he was Professor of Econometrics at the London School of Economics; before that he was a Professor in the Mathematics Department of the University of Surrey, and previously held teaching positions at the University of British Columbia, Harvard University and the London School of Economics. He received his PhD degree from the Australian National University and batchelors and masters degrees from the University of London, and an honorary doctorate from Universidad Carlos III, Madrid.
He has served as Co-Editor of the journals Econometrica, Econometric Theory, the Journal of Econometrics, and the Journal of Time Series Analysis . He is currently Associate Editor of the journals Annals of Statistics and Statistical Inference for Stochastic Processes. He was previously Associate Editor of various economic and statistical journals. He currently serves on the Executive Council of the Journal of Econometrics , on the Advisory Board of Econometric Theory, and as an Advisory Editor of the Journal of Time Series Analysis.
He has published numerous articles in journals including the Annals of Statistics and Econometrica, as well as in books, and has one edited and one co-edited book. He has held research grants from the National Science Foundation in the USA, from the Economic and Social Research Council, the Science Research Council and the Leverhulme Trust in the United Kingdom, and from the European Commission.
He is a Fellow of the British Academy, a Fellow of the Econometric Society, a Fellow of the Institute of Mathematical Statistics, and an elected Member of the International Statistical Institute.(for details see the web page).
|Prof Andrew C. Harvey|
Prof Andrew C. Harvey
Andrew Harvey is Emeritus Professor of Econometrics in the Faculty of Economics, University of Cambridge, and a Fellow of Corpus Christi College. Prior to that he was Professor of Econometrics at the London School of Economics. He is a Fellow of the Econometric Society and a Fellow of the British Academy (FBA). He has published over one hundred articles in journals and edited volumes. He is the author of two textbooks, The Econometric Analysis of Time Series and Time Series Models, and two research monographs, Forecasting, Structural Time Series Models and the Kalman Filter (1989) and, most recently, Dynamic Models for Volatility and Heavy Tails (2013). He is one of the developers of the STAMP package.
Score-driven models (known as DCS or GAS) provide a unified frame- work for handling changing volatility that is particularly attractive when the conditional distribution of an observation is heavy-tailed. When imple- mented in an EGARCH model, analytic expressions may be derived for un- conditional moments, autocorrelations and moments of multi-step forecasts. Furthermore a full asymptotic distribution theory for maximum likelihood estimators can be developed, including an analytic expression for the as- ymptotic covariance matrix of the estimators in the basic case. Not only do these new models have more attractive statistical properties than standard GARCH models, but there is increasing evidence that they fit better. The approach extends naturally to EGARCH-M and changing correlation. Fur- ther details can be found on the websites - http://www.econ.cam.ac.uk/DCS and http://www.gasmodel.com. This talk will focus on score-driven models for realized variance (RV). It is shown that a GB2 conditional distribution provides important insights into the structure of series which, like RV, are instrinsically positive.
|Prof. Salah BOURENNANE|
Prof. Salah BOURENNANE
Full Professor and he held also the position of the Dean of Research at the Ecole Centrale de Marseille, France. He is also the head of the Multidimensional Signals Group at Institut Fresnel, Marseille.
Salah Bourennane is currently a full Professor and he held also the position of the Dean of Research at the Ecole Centrale de Marseille, France. He is also the head of the Multidimensional Signals Group at Institut Fresnel, Marseille. He has over 30 years of research experience in the field of signal and image processing. His current research interests include statistical signal processing, array processing, image processing, remote sensing, tensor signal processing, and performance analysis. He authored over 350 research papers in various top-tier international journals and conferences, and edited many books and served as a guest editor of several special issues. He served on the editorial boards of many international journals and proceedings including the International Journal of Signal Processing, Image Processing and Pattern Recognition, The International Journal of Image and Signal Systems Engineering, Journal of Remote Sensing and Technology, among others. He has served on the technical program committees for numerous premier conferences and workshops including Advanced Concepts for Intelligent Vision Systems, International conference on latent variable analysis and signal separation, International Conference on Vision, Image and Signal Processing, and many others. He was an organizer of several international conferences such as the 6th European Workshop on Visual Information Processing at Marseille, 2016. He received a Ph.D. degree from Institut National Polytechnique de Grenoble, France, in signal processing.
TITLE: Time Series Analysis: Bearing and Range of Buried Objects Estimation in Underwater Acoustics
Abstract: Non-invasive range and bearing estimation of buried objects in the underwater acoustic environment, has received considerable attention. A model-based parameter estimation problem using either a horizontal or vertical array has been studied in underwater acoustics. Many interesting studies have been recently developed. Some of them use acoustic scattering to localize objects by analyzing acoustic resonance in the time-frequency domain, other techniques based on signal processing such as time reversal technic, have been also developed. The emphasis of the talk is on techniques that estimate simultaneous range and bearing using wideband and fully correlated signals scattered from near field and far field buried objects in a noisy environment. The final part of the lecture deals with the performance of the different algorithms using experimental data recorded during underwater acoustic experiments.
|Dr Karsten Webel|
Dr Karsten Webel
Deutsche Bundesbank, Central Office, Directorate General Statistics, Wilhelm-Epstein-Straße 14,60431 Frankfurt am MainResearch Interests:
TITLE: An overall seasonality test based on recursive feature elimination in conditional random forests
Abstract: To check an observed time series for presence of seasonality, different statistical tests tailored to particular manifestations of seasonality have been developed over recent decades. We suggest a generic scheme to construct an overall seasonality test from a given set of candidate tests. The main building blocks are (1) a recursive feature elimination algorithm in conditional random forests to identify the most informative candidate tests and (2) a final classification rule derived from a single pruned conditional inference tree based on the identified tests. Using a broad set of simulated ARIMA processes that is representative of the Bundesbank's time series database, we identify the modified QS and Friedman tests as being most informative when computed on the residuals obtained from fitting a non-seasonal ARIMA model to the original input series. The resulting classification rule has low type I and type II misclassification rates whilst avoiding excessive complexity.
|Univ. Prof. Dr. Robert Kunst|
Univ. Prof. Dr. Robert Kunst
TITLE: Simulation-based selection of prediction models
Abstract:We target an assessment of the potential benefits of basing model selection decisions in a forecasting context on simulations that fuse data information and the structure hypothesized by tentative rival models. These procedures can be applied to any empirical forecasting problems. Our main focus is, however, on macro-economic forecasting. Our procedure aims at choosing among a small number of tentative forecast models in the presence of data. From models fitted to the data, pseudo-data are generated. Again, the models are applied to the pseudodata and their out-of-sample performance is evaluated. The ultimate choice of the forecasting model is based on the relative performance of rival models in predicting ‘their own data’ and those of the rival model.
(for details see the web page).
|Prof. Dr. Uwe Hassler|
Prof. Dr. Uwe Hassler
Professor of Statistics and Econometric Methods Goethe University Frankfurt. Fachbereich Wirtschaftswissenschaften Besucheradresse: Campus Westend Theodor-W.-Adorno-Platz 4 60323 Frankfurt am Main Postadresse: 60629 Frankfurt am MainPrevious Positions:
TITLE: Discontinuity of Fully Extended (Local) Whittle Estimation
Abstract:We consider the fully extended local Whittle estimator of the fractional order of integration d proposed by Abadir, Distaso and Giraitis (2007), and the extended parametric Whittle estimator suggested by Shao (2010). They are valid under stationarity as well as nonstationarity: a priori knowledge whether the true d < 1/2 or not is not required. Experimentally, we observe a lack of continuity of the objective functions at d = 1/2 that has not been reported before. It results in a pile-up of the estimates at d = 1/2 when the true value is in a neighbourhood to this half point. Consequently, studentized test statistics may be heavily oversized.
(for details see the web page).
Plenary Talks. Previous edition ITISE
|Prof. Dr. Fredj JAWADI|
Prof. Dr. Fredj JAWADI
Associate Professor of Economics (MCF-HDR) at the University of Evry, and a Researcher Fellow at EconomiX-CNRS (University of Paris West) in France. Also, He is a Deputy Director for CAC (Cliometrics and Complexity Team at IXXI Complex Systems Institute, http://www.ixxi.fr/?p=3219) in France. In addition, he is an Officer of the Society for Economic Measurement in the U.S. (http://sem.society.cmu.edu/home.html ), and a Research Fellow at the Economic Research Forum (ERF).
His research focuses on Financial Economics (Financial Markets, Empirical Finance, Market Microstructure, Islamic Finance, Monetary Policy, Macroeconomics), & Applied Econometrics (Time Series, Nonlinear Dynamics, Macroeconometrics,Panel Data).
He has over seventy papers published in various International Journals and co-authored and co-edited several books and book chapters.
He has also served as an Associate Editor or a Subject Editor in several Journal and Chairman of two International Conferences: The first one covers topics on Computational Economics (International Symposium in Computational Economics and Finance (www.iscef.com ), while the second one looks at the recent developments in financial and nonlinear econometrics: International Workshop on Financial Markets and Nonlinear Dynamics (www.fmnd.fr).
(for details see the web page).
|Prof. Dr. Joerg Breitung|
Prof. Dr. Joerg Breitung
Institut für Ökonometrie und Statistik. Universität zu Köln
(for details see the web page).
|Dr. Travis J. Berge|
Senior Economis, Dr. Travis J. Berge
Current Macroeconomic Conditions Section. Research and Statistics. Senior Economist, Board of Governors of the Federal Reserve System (2015-present)
(for details see the web page).
|Dr. Anna Korzeniewska|
Dr. Anna Korzeniewska
Talk Title: Event Related Causality analysis of electrocorticographic (ECoG) time series as diagnostic tool for epileptic surgery
|Dr. Joan Paredes|
Senior Scientist, Dr. Joan Paredes
Dr. Joan Paredes, Economist,
(for details see the web page).
|Dr. Pekka Koponen|
Senior Scientist, Dr. Pekka Koponen
Dr. Veli Pekka Koponen is a senior scientist at VTT Technical Research Centre of Finland. He joined VTT in 1988 and has there developed various issues related to the customer connections of energy networks and markets, such as demand side management, demand response, aggregation of distributed energy resources (DER) for the markets, distributed ancillary service provision, smart metering requirements, modelling, forecasting and optimization of the operation of DER comprising consumption, storages, generation and micro-grids, energy management, requirements and measurement methods for power quality monitoring, electromagnetic compatibility, grid connection requirements, requirements for communication with DER and related cyber security and data privacy issues. He has received the following degrees: in 2002 Doctor of Technology in Power Engineering from Tampere University of Technology, in 1986 Licentiate of Technology in Control Engineering and in 1981 M.Sc. Tech. in Control Engineering both from Helsinki University of Technology, which is now Aalto University. He has participated in the International Energy Agency Demand Side Management Implementing Agreement (IEA DSM IA) as a national expert both in its tasks and Executive Committee. Now he represents VTT in the national subcommittee of the IEC TC8 on system aspects of power systems.
He has contributed in several projects regarding forecasting and optimization of the control responses of the demand. In his first projects at VTT the focus was on the energy management and trading of large base metal companies but in 1996 his main focus shifted to enabling the use of aggregated flexibilities of small residential electricity consumers for the electricity markets and grids. Now he works in the project “Improved Modelling of Electric Loads for Enabling Demand Response by Applying Physical and Data-Driven Models” (RESPONSE) that spans 2015 – 2018 and is funded by the Academy of Finland . He alsoparticipates in an EU H2020 project SmartNet that studies future TSO-DSO interaction schemes, market architectures and ICT solutions for the integration of power system ancillary services (provision of flexibility and fast reserves) from the demand side management and distributed generation.
|Prof. Dr. Philipp Sibbertsen|
Prof. Dr. Philipp Sibbertsen
|Prof. Dr. Gerhard Rünstler|
Prof. Dr. Gerhard Rünstler
|Prof. Dr. Michael Graff|
Prof. Dr. Michael Graff
My research is directed to various fields of Economics with emphasis on macroeconomic topis related to economic performance and growth. I am engaged in comparative analyses of educational, financial political and socioeconomic systems and their effects on economic performance. Recently I have extended this research programme to the significance of different legal traditions in shaping the monetary and financial system.
Moreover, I am working on monetary policy, trade policy, international business cycles, and economic forecasting.
|Prof. Dr. Kalle Saastamoinen|
Prof. Dr. Kalle Saastamoinen
Currently working as a senior lecturer in National Defence University,
Helsinki. Ph.D. of applied mathematics since 2008 from Lappeenranta
University of Technology. My research interests are computational
logic and its applications, AI based expert systems, data classification,
military technology research, teaching technology and its usage. Recent
years I have concentrated in my teaching tasks in Defence University and
tutoring of military research related to operational analysis, mathematical
modelling and simulation.
|Prof. Dr. Rebecca Killick|
Dr. Rebecca Killick
Lecturer in Statistics at Lancaster University. Her research interests include:
nonstationary time series,
multiscale methods in statistics,
applications of wavelets in time series analysis and
time series that arise from energy applications.
|Prof. Daniel Peña Sanchez De Rivera.|
Prof. Daniel Peña Sanchez De Rivera.
Title of the Talk: Dimension reduction and forecasting in large data sets of time series
Daniel Peña was born in Madrid in 1948. He received his PhD in Industrial Engineering from the Polytechnic University of Madrid, Bachelor’s Degrees in Sociology and Statistics from the Complutense University of Madrid and Business Administration ITP from Harvard. President of Carlos III University of Madrid in the period 2007- 2011 and re-elected in March 2011. He was Director of the Management Committee (1993-2000) and Vice Rector of the Carlos III University of Madrid (1992- 1995), where he is Full Professor of the Department of Statistics. He has also been Full Professor at the Polytechnic University of Madrid, the University of Wisconsin- Madison and the University of Chicago. He is Founding Director of the Quantitative Methods Department of the EOI Business School, of the Statistics Laboratory of the ETSII-UPM (the Higher Technical School for Industrial Engineering at the Polytechnic University of Madrid), as well as the Department of Economics and Statistics and Econometrics of the Carlos III University of Madrid. He has been Director of the “Revista Estadística Española” and President of the Spanish Society of Statistics and Operative Research (Sociedad Española de Estadística e Investigación Operativa).
In the same field, he stands out as the Founding President of the Statistical Methods Committee of the Spanish Association for Quality and member of the State High Council of Statistics, Vice President of the Inter-American Institute of Statistics and President of European Courses in Advanced Statistics.
He has published thirteen books and more than 190 research articles on Statistics, Quality and its Applications. He is Associate Editor of several international journals and has received national and international awards for research. In 2006 he received the Youden Award for the best article published in “Technometrics”.
He is an honorary member of prestigious international associations such as the Institute of Mathematical Statistics and the American Statistical Association.
|Prof. Siem Jan Koopman|
Prof. Siem Jan Koopman
SJK is Professor of Econometrics at the Vrije Universiteit Amsterdam and research fellow at the Tinbergen Institute, both since 1999. Furthermore, he is a long-term Visiting Professor at CREATES, University of Aarhus and a Visiting Researcher at the European Central Bank, Financial Research. Since 2013, he is a Journal of Applied Econometrics Distinguished Author. He held positions at the London School of Economics between 1992 and 1997 and at the CentER (Tilburg University) between 1997 and 1999. In 2002 he visited the US Bureau of the Census in Washington DC as an ASA / NSF / US Census / BLS Research Fellow.
Furthermore, he was a Fernand Braudel Senior Fellow at the Department of Economics, European University Institute, Florence, Italy, in 2010. His Ph.D. is from the LSE and dates back to 1992.
The monograph Time Series Analysis by State Space Methods is written by J. Durbin and SJK. The book originally appeared in 2001. The Second Edition is recently published by Oxford University Press, in May 2012. The Durbin & Koopman 2012 book consists of 368 pages. The book An Introduction to State Space Time Series Analysis appeared in 2007 and is written by J.J.F. Commandeur and SJK. His other books (co-authored, software and editorial) are listed here
The research interests of SJK cover topics in statistical analysis of time series, financial econometrics, simulation-based estimation, Kalman filter, economic forecasting and, more generally, time series econometrics. His number of publications in refereed journals since 1992 is 75 while his work includes 29 entries in books and discussions. His current citation h-index at Thomson Reuters is 18 and at Google Scholar is 37.
He fullfills editorial duties at the Journal of Applied Econometrics and the Journal of Forecasting. Finally he is an OxMetrics software developer and is actively engaged in the development of the time series software packages STAMP and SsfPack.
|Prof. DI Dr. Manfred DEISTLER|
Em.O.Univ.Prof. DI Dr. Manfred DEISTLER.
Title of the Talk: Regular and Singular AR and ARMA Models, The Single and The Mixed Frequency Case: A Structure Theory.
em.O.Univ.Prof. DI Dr. Manfred DEISTLER is Professor at the Vienna University of Technology, in the Institute of Statistics and Mathematical Methods in Economics. The Unit is: Econometrics and System Theory, in Wiedner Hauptstrasse 8-10, A-1040 Vienna, AUSTRIA.
Identification of linear dynamical systems in ARMA and state space representation, structure and estimation, in particular in the multivariate case, data driven local coordinates, subspace identification
Identification of linear dynamical factor- and errors-in-variables models, in particular structure theory
Analysis and prediction of financial time series
Analysis and prediction of business and market data
Analysis of load and price time series for electricity markets
Principal investigator of the FWF project P-17065 Identification of multivariate Dynamic Systems
Teamleader of the team TUWIEN of the european research project ERNSI
Co-initiator of and group leader at the industrial mathematics competence center, IMCC, Linz
Member of the austrian academy of sciences
Fellow of the econometric society
Fellow of the Journal of Econometrics