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 | |
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. |
| Lunch | ||
