Where are the nuggets ?

1. Where are the nuggets ? • Wolfgang Karl Härdle

2. future research • energy & real estate • time varying stat • brain and behavior • dynamic curves • demography • social networks • default intensities

3. Energy & real estate • Electricity demand • Real estate t = monthly temperature x1, x2, = linear effect x3- x13 = mont dummy This needs to be done 1. for different cities, locations 2. for different tail curves Hae Rit Son (2012) is not sufficient here

4. time varying stat SIM = single Index Models, they can be penalized as well in a Lasso or SCAD context. Applications to CoVar The parameter \lambda varies with time it corresponds to the relative size of nonzero to zero coefficients • time varying Lasso • SIMs in high dim

5. Brain and behavior • RPID tasks • behavior location • activity identification • cross sections cross section of probands recording of actions FPCA

6. Dynamic Curves • implied corr smile • RC < MFIC realized correlation RHO_t Model free Implied Corr MFIX RHO_WIGGLE_t Sell RV of Basket buy RV of constituents

7. Demography many stat questions significance trend? economic model • growth and population • adaptivity • bootstrap • China • Asia Figure 2 presents the scatterplot of initial size of each age group against its change in the period 1960-1990, together with a regression line. The negative slope of all estimated lines implies convergence within each age group across EU-15 countries. Those countries that started with low proportions of a given age group tended to increase the size of that group, while the opposite is true for countries that started with a high proportion, thus leading to a homogeneisation of the demographic structure across European nations.

8. default intensities Lehmann Brothers Default Proba • How many firms belly up? • RMI Cooperation • adaptive techniques • data bases

9. Social Networks • Quantlet topography • Which code helps me? • visualisation • minimal spanning tree

10. Goldrush