Wednesday 13 October

at the Department of Mathematical Sciences, Aarhus University, Building 1530, Ny Munkegade, DK-8000 Aarhus C.

The lectures take place in Auditorium G 1 (bulding 1532).

Registration takes place in front of the canteen from 11:45 to 12:15 (building 1536)

12:15 Lunch
13:30-14:10 Fred Espen Benth Ambit fields and SPDEs
14:10-14:50 Robert Stelzer On strong solutions of positive definite jump diffusions
14:50-15:30 Andreas Basse-O'Connor Integration and semimartingale issues for a class of ambit processes
Coffee break
16:00-16:40 Jürgen Schmiegel Ambit processes and ambit fields
16:40-17:20 Emil Hedevang Intermittent fingerprints in wind-turbine interactions
17:20-18:00 Steen Thorbjørnsen The Cauchy transform in classical and quantum probability
19:00 Conference Dinner

Thursday 14 October

The program on Thursday 14 October is hosted by CREATES, School of Economics and Management.

The lectures start at 08:30 and take place in Building 1252, room 204 (the Eduard Biermann Auditorium).

08:30-09:10 Neil Shephard Econometrics analysis of low latency data: discrete-valued volatility clustering and statistical leverage (joint with Holger Fink).
09:10-09:50 José Manuel Corcuera Valverde Multipower variation for Brownian semistationary processes.
09:50-10:30 Mark Podolskij Estimation of scaling parameter for continuous models.

Coffee break.
11:00-11:40 Almut Veraart Modelling electricity forward markets by ambit fields.
11:40-12:20 Peter Reinhard Hansen A winner's curse for econometric models: On the distribution of in-sample fit and out-of-sample fit and its implications for model selection.
12:20-13:00 Asger Lunde Realized Beta GARCH: A multivariate GARCH model with large realized measures of volatility and co-volatility.