Summer School on Modern Topics in Time Series Analysis

3^rd Klagenfurt-Bielefeld

Summer School on

Modern Topics in Time Series Analysis

Main Facts

Time September 12th-16th, 2022

Place University of Klagenfurt, Austria

Capacity 40 participants

Fee EUR 450.00 (PhD students); EUR 600.00 (others)

Target Audience

The summer school is primarily directed towards PhD students but is, subject to capacity, also open to post-doctoral researchers at universities as well as research staff from other research institutions or central banks. Participants are expected to have a strong mathematical and statistical background and good preliminary knowledge in time series analysis including the Box-Jenkins framework and the estimation and specification of vector autoregressive models.

Important Dates

May 30, 2022	Deadline for Application
June 1, 2022	Notification of Acceptance
June 15, 2022	Deadline for Registration

Cancellation until August 12th free of charge, up to September 4th 50% of the fee will be retained, after that no reimbursement possible.

The summer school will start on Monday, September 12^th at 9:00 and will close on Friday, September 16^th at around 16:00. Details will be communicated directly to the participants.

To apply please provide:

PhD students:

a motivation letter
an up-to-date CV listing all time series and statistics related courses taken so far
proof of enrolment in PhD studies

Others:

a motivation letter
an up-to-date CV listing all time series analysis related experience

Please pack all documents into a single PDF file (size limit 5MB). Applications are to be sent to vwl2 [at] aau [dot] at.

Program

The summer school provides a PhD-level introduction to a range of modern topics in time series analysis taught by a selection of top researchers in Europe.

Current planning involves the following topics (in alphabetical order):

Topic	Lecturer	Affiliation
ARCH, GARCH and Volatility Modelling	Anders Rahbek	University of Copenhagen
Bayesian Methods for (Macro and Financial) Time Series Analysis	Gregor Kastner	University of Klagenfurt
Bootstrap	Giuseppe Cavaliere	University of Bologna
Factor Models	Matteo Barigozzi	University of Bologna
Functional Cointegration	Massimo Franchi	Sapienza University of Rome
Functional Time Series	Hörmann Siegfried	Graz University of Technology
High Frequency Econometrics	Nikolaus Hautsch	University of Vienna
Introduction, Summary and Closing	Martin Wagner	University of Klagenfurt
Spectral Analysis	Uwe Hassler	Goethe University Frankfurt
State Space Modelling	Dietmar Bauer	Bielefeld University

Each topic will be covered in one half day (2 x 90min). Presentations will roughly follow a common layout introducing the main theory of the area, potentially providing examples and discussing software available and finally indicating relevant questions at the research frontier.

A preliminary schedule may be accessed here: schedule (under construction)

Lecture Material

The lecture material will be uploaded in due time and potentially updated in the course of (or after) the summer school. The access is password protected. The password(s) will be communicated separately.

Material by Matteo Barigozzi (version: xx.xx.2022)
Material by Dietmar Bauer (version: xx.xx.2022)
Material by Giuseppe Cavaliere (version: xx.xx.2022)
Material by Massimo Franchi (version: xx.xx.2022)
Material by Uwe Hassler (version: xx.xx.2022)
Material by Nikolaus Hautsch (version: xx.xx.2022)
Material by Siegfried Hörmann (version: xx.xx.2022)
Material by Gregor Kastner (version: xx.xx.2022)
Material by Anders Rahbek (version: xx.xx.2022)
Material by Martin Wagner (version: xx.xx.2022)

Venue

The summer school will take place either on the premises of the University of Klagenfurt (Universitätsstraße 65-67, 9020 Klagenfurt am Wörthersee) or at a nearby hotel.

Further Information

The registration desk will open at 08:30 on Monday Sep 12^th.
WLAN internet connection will be available.
Coffee breaks and lunches will be served in the vicinity of the lecture room.

The conference fee covers

Social Event

Wed, 14^th September 2022 in the afternoon and evening:
Visit to Infineon Technologies Austria, boat trip on lake Wörthersee (Velden – Klagenfurt www.woertherseeschifffahrt.at, weather permitting), dinner in Klagenfurt (tba).

Accomodation and transport

The fee does not include travel, accommodation and dinners.

Participants will have to arrange for their own travel and accommodation.

All relevant information on booking accommodation and public transport can be found at visitklagenfurt.at.

The closest airports are Klagenfurt and Ljubljana.