Kick-off meeting of the ERCIM Working Group on "Computing & Statistics", and
International Workshop on Computational and Financial Econometrics
Department of Econometrics, University of Geneva, Switzerland, April 20-22, 2007



Plenary talk 1Friday, 20/04/200712:45-13:35 Room: MR380
Applying stochastic programming models to improve the performance of global hedge funds
Speaker: John Mulvey Chair: Berc Rustem
Plenary talk 2Friday, 20/04/200717:40 - 18:30Room: MR380
Algorithms for robust multivariate statistics
Speaker: Peter Rousseeuw Chair: Erricos John Kontoghiorghes
Plenary talk 3Saturday, 21/04/200709:45 - 10:35Room: MR380
Very large systems of linear equations: approximate solution and applications in dynamic programming
Speaker: Dimitri Bertsekas Chair: Anna Nagurney
Plenary talk 4Saturday, 21/04/200716:00 - 16:50Room: MR380
Operator methods and long dated structured products
Speaker: Claudio Albanese Chair: Manfred Gilli
Plenary talk 5Sunday, 22/04/200712:30 - 13:20Room: MR380
Bootstrap testing
Speaker: James MacKinnon Chair: Russell Davidson


Parallel session AFriday, 20/04/200713:40 - 15:20

Session 13Room: MR380
Signal extraction and filtering - 1Chair: Tommaso Proietti
#49: Growth accounting for the Euro area: a structural approach
Authors: T. Proietti, A. Musso
#123: State space models for time series with patches of unusual observations
Authors: J. Penzer
#113: The performance of subspace algorithm cointegration analysis
Authors: M. Wagner, D. Bauer
#65: The Dutch business cycle: a finite sample approximation of selected indicators
Authors: A. Den Reijer
Session 02Room: MR080
Model averaging, term structure and option evaluationChair: Herman K. Van Dijk
#28: Economic and statistical gains from classical and Bayesian forecast combinations
Authors: F. Ravazzolo, H. Van Dijk, M. Verbeek
#32: A component GARCH model with time varying weights
Authors: G. Storti, L. Bauwens
#66: Improved option pricing: combining parametric and non-parametric methods
Authors: L. Hoogerheide, H. Van Dijk
#38: On the practice of Bayesian near-boundary analysis in basic models for macro-economic time series
Authors: H. Van Dijk, M. De Pooter, R. Segers
Session 43Room: MR160
Issues in econometric modelling and testingChair: James MacKinnon
#98: Two-step versus simultaneous estimation of survey-non-sampling error and true value components of small area sample estimators
Authors: S. Paravastu, T. Zimmerman, J. Mehta
#160: Testing for serial correlation: generalized Andrews-Ploberger tests
Authors: J. Nankervis, G. Savin
#139: Generalized maximum entropy estimation of dynamic spatial panel data models
Authors: R. Bernardini Papalia
#56: The efficiency of seemingly unrelated regression estimator in econometric production models
Authors: M. Kaya, M. Uysal, S. Aktas
Session 05Room: MR030
Nonlinear time series analysis & financial econometricsChair: Christian Francq
#19: Simulating term structure of interest rates with arbitrary marginals
Authors: A. Consiglio
#14: EIS for the estimation of SCD models
Authors: F. Galli, L. Bauwens
#209: Statistical properties of threshold ARMA models
Authors: M. Niglio, A. Amendola, C. Vitale
#130: Combining parametric and nonparametric approaches for time series prediction
Authors: C. Francq, S. Dabo-niang, J. Zakoian
Session 29Room: MR150
Matrix computations and statistics - 1Chair: Nickolay Trendafilov
#147: Computing a low-rank approximation of a tensor by optimization on a manifold
Authors: L. Elden, B. Savas
#143: Some optimization problems in multivariate statistics
Authors: T. Rapcsak
#192: Geometric optimization methods for the analysis of gene expression data
Authors: P. Absil, M. Journee, A. Teschendorff, S. Tavare, R. Sepulchre
#53: Continuous-time approach to common principal components estimation
Authors: N. Trendafilov

Parallel session BFriday, 20/04/200715:50 - 17:30

Session 18Room: MR380
Nonlinear time series analysisChair: Alessandra Luati
#157: An empirical strategy to distinguish structural breaks from long memory: a simulation study
Authors: F. Di Iorio, C. Cappelli
#144: Robust LM tests in time series analysis
Authors: F. Laurini, L. Grossi
#92: Sequential Monte Carlo methods for stochastic volatility models with jumps
Authors: D. Raggi, S. Bordignon
#195: Local polynomial trend-cycle predictors for current economic analysis
Authors: S. Bianconcini, E. Bee Dagum
Session 45Room: MR080
Computational intensive methods in econometricsChair: Peter Winker
#15: Dynamic and structure of the 30 largest North American companies
Authors: J. Brida, W. Risso
#80: Studying interactions without multivariate modelling
Authors: G. Cubadda, A. Hecq, F. Palm
#204: Computational issues in the estimation of higher-order panel vector autoregressions
Authors: J. Mutl, M. Binder, M. Pesaran
#169: Estimation of multivariate probit models by exact maximum likelihood: a new computational approach
Authors: J. Huguenin, A. Holly, F. Pelgrin
Session 37Room: MR160
Bootstrap and applicationsChair: James MacKinnon
#146: Testing for restricted stochastic dominance: some further results
Authors: R. Davidson
#124: Small area estimation under Fay-Herriot models with nonparametric estimation of heteroscedasticity
Authors: D. Morales, W. Gonzalez-manteiga, M. Lombardia, I. Molina, L. Santamaria
#55: Testing for stochastic dominance efficiency
Authors: N. Topaloglou, O. Scaillet
#165: Optimal bootstrap block length for unknown data generating processes: an empirical assessment for exchange rate data
Authors: V. Jeleskovic
Session 12Room: MR030
High-frequency data in financeChair: Giovanni De Luca
#62: Modelling dynamic demand and supply curves of electronic markets
Authors: W. Ng
#100: Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
Authors: S. Centanni, M. Minozzo
#134: Time series forecasting using shrinkage techniques and focused selection criteria
Authors: C. Brownlees, G. Gallo
#162: Persistence and seasonality in intradaily volatilities of stock index futures
Authors: E. Rossi, D. Fantazzini
Session 10Room: MR150
RobustnessChair: Christophe Croux
#104: Robust PCA for flat data
Authors: P. Filzmoser
#101: Robust subsampling
Authors: O. Scaillet, L. Camponovo, F. Trojani
#102: Robust bootstrap model selection for MM-estimators
Authors: S. Van Aelst, M. Salibian-barrera
#45: Robust estimation of a general bivariate GARCH volatility model
Authors: K. Boudt, C. Croux

Parallel session CFriday, 20/04/200718:35 - 19:50

Session 41Room: MR380
Bayesian modellingChair: Alessandra Amendola
#120: Bayesian estimation of the Markov-switching GARCH(1,1) model with Student-t innovations
Authors: D. Ardia
#203: Electricity spot price forecasting with sparse Bayesian recurrent neural networks
Authors: D. Mirikitani, M. Daoudi
Session 27Room: MR080
Modelling financial time series Chair: Jaya Krishnakumar
#33: Econometric asset pricing modelling
Authors: F. Pegoraro, H. Bertholon, A. Monfort
#215: Estimation and testing in threshold cointegrated systems using reduced rank regression
Authors: J. Krishnakumar, D. Neto
#27: The impact of news on higher moments
Authors: E. Jondeau, M. Rockinger
Session 30Room: MR160
Simulation based inferenceChair: Domingo Morales
#117: Indirect inference and efficient method of moments: practical issues and finite sample comparison
Authors: V. Czellar, E. Zivot
#40: An objective function for simulation based inference on exchange rate data
Authors: P. Winker, M. Gilli, V. Jeleskovic
#180: Assessing the predictive ability of broker-dealers using a multivariate multinomial logit (MNL) with latent factors
Authors: M. Victoria-Feser, O. Scaillet, P. Huber
Session 22Room: MR030
Business cycle analysis and optimal policyChair: Michel Juillard
#90: Selecting factors with bootstrap tests in approximate factor models empirical applications
Authors: D. Grenouilleau
#88: Screening identifiability of DSGE models?
Authors: M. Ratto, A. Pagano
#168: Computing optimal policy in Dynare
Authors: M. Juillard
Session 34Room: MR150
Signal extraction and filtering - 2Chair: Stephen Pollock
#185: Higher order correlation nonlinear stochastic filters
Authors: O. Grothe, C. Mueller
#154: Human capital and regional business cycles in Italy
Authors: C. Mastromarco, U. Woitek
#194: A Euro area estimate of monthly GDP
Authors: G. Mazzi, C. Frale, M. Marcellino, T. Proietti

Parallel session DSaturday, 21/04/200708:00 - 09:40

Session 03Room: MR380
Nonlinear financial time series modellingChair: Zhengjun Zhang
#109: Robust likelihood methods based on the skew-t and related distributions
Authors: M. Genton, A. Azzalini
#7: Jumps and microstructure noise in realized volatility prediction: an FDA approach
Authors: R. Sen
#6: Modeling dependence between extremes of financial returns. An alternative to GARCH(1,1) models
Authors: J. Olmo, O. Martinez
#116: Extreme co-movements and extreme impacts in high frequency data in finance
Authors: Z. Zhang, K. Shinki
Session 09Room: MR080
Global financial markets and econometric modellingChair: Sotiris K. Staikouras
#16: An investigation of the interest rate risk and exchange rate risk of the European financial sector
Authors: R. Faff, A. Di Iorio, H. Sander
#20: Modeling the investment decision of the entrepreneur in the tanker sector, between purchasing a second hand vessel and building a new one
Authors: A. Merika, A. Merikas, G. Koutrouboussis
#11: Market information and the feedback effect of the CBOE S&P500 variance futures on the underlying asset
Authors: S. Staikouras, P. Dawson
#24: Relative valuation and fundamental factors. The case of the greek listed firms
Authors: P. Artikis
Session 01Room: MR160
Stochastic volatility, realized variance and covarianceChair: Yasuhiro Omori
#77: Bayesian analysis for jumps, leverage and heavy-tails in stochastic volatility and EGARCH models
Authors: Y. Omori, J. Nakajima
#78: Estimating stochastic volatility models using daily returns and realized volatility simultaneously
Authors: T. Watanabe, M. Takahashi, Y. Omori
#72: Bayesian analysis of the HMM-GARCH model
Authors: T. Nakatsuma
#128: Test of unbiasedness of the integrated covariance estimation in the presence of noise
Authors: K. Oya, M. Ubukata
Session 07Room: MR030
Nonparametric time seriesChair: Konstantinos Fokianos
#60: Estimation in a nonlinear cointegration model
Authors: H. Karlsen
#41: Variable selection for high-dimensional data: two-stage convex optimization and statistical consistency
Authors: P. Buhlmann
#17: Testing temporal constancy of the spectral structure of a time series
Authors: E. Paparoditis
#35: Ridge estimation for INAR(p) models
Authors: K. Fokianos
Session 44Room: MR150
Applied economicsChair: Giuseppe Storti
#71: Reconsidering the macroeconomics of the oil price in Germany - testing for causality in the frequency domain
Authors: M. Gronwald
#186: A diffusion model for dynamic flow of foreign direct investment
Authors: Y. Chiang, C. Hung, Y. Li
#212: Managerial Human Capital Return:Empirical method and evidence from Chinese emerged market
Authors: X. Kong
#52: Using finite mixtures of beta distributions for improving accuracy of LGD prediction intervals
Authors: S. Alvarez, J. Baixauli
#133: A regional study on the Italian behaviour towards the consumer credit
Authors: G. Skonieczny, B. Torrisi, S. Piccolo

Parallel session ESaturday, 21/04/200711:00 - 12:40

Session 21Room: MR380
Signal extraction and filtering - 3Chair: Esther Ruiz
#148: Inspecting the cyclical properties of the Italian manufacturing business survey data
Authors: T. Cesaroni
#136: Using Kalman-filtered radial basis function networks to forecast changes in the ISEQ index
Authors: D. Edelman
#135: Specification of trend and seasonal components for time series data
Authors: E. Godolphin
#142: Local polynomial regression in real time
Authors: A. Luati, T. Proietti
Session 32Room: MR080
VEC models and MCMC methodsChair: Anna Staszewska
#91: Cointegration in high-dimensional VAR: the structure of Germans short-term bank interest rates
Authors: P. Chen, J. Jaenicke
#153: Robust Bartlett adjustment for test of hypotheses on cointegrating vectors: a bootstrap approach
Authors: A. Canepa
#39: Multivariate time series analysis with categorical and continuous variables in an LSTR model
Authors: G. Davis, K. Ensor
#108: Inferring the shape of impulse response paths
Authors: A. Staszewska, M. Pipien
Session 33Room: MR160
Diagnostics and algorithmsChair: Peter Rousseeuw
#208: An efficient adding row algorithm for large-scale least trimmed squares regression
Authors: M. Hofmann, C. Gatu, E. Kontoghiorghes
#207: Subset selection of the linear regression model with constraints
Authors: C. Gatu, E. Kontoghiorghes
#74: New results for the effectiveness of residuals as a diagnostic tool in the general linear model
Authors: J. Godolphin
#82: Outlier detection for skewed distributions
Authors: M. Hubert
Session 40Room: MR030
Asset pricingChair: Stavros Siokos
#25: A comparison of two mortgage insurance pricing techniques
Authors: O. Erdem
#94: Separability of loan and deposit policy of German banks: some multi-step Granger causality results
Authors: J. Jaenicke
#189: Adaptive Monte Carlo technique for dynamical asset price simulation
Authors: Y. Li, C. Hung, Y. Chiang, S. Yu, S. Chiang
#200: Investment strategies based on supervised learning
Authors: P. Casqueiro, A. Rodrigues
Session 11Room: MR150
Computational econometrics and finance in R - 1Chair: Achim Zeileis
#43: UseR in the financial sector
Authors: B. Pfaff
#197: Accuracy of GARCH model estimation and forecasting
Authors: D. Wuertz, Y. Chalabi, L. Luksan
#29: Fast and accurate asymptotic p-values for the KPSS tests and related statistics
Authors: C. Kleiber
#9: Currency regime classification with structural change methods
Authors: A. Zeileis, A. Shah, I. Patnaik

Parallel session FSaturday, 21/04/200714:15 - 15:55

Session 35Room: MR380
Matrix computations and statistics - 2Chair: Constantine Bekas
#191: Dimensionality reduction using sparse approximations over redundant dictionaries
Authors: E. Kokiopoulou, P. Frossard
#213: Univariate descent methods on manifolds
Authors: E. Celledoni
#214: A Riemannian approach to the regularization of symmetric positive-definite matrix-valued data
Authors: M. Moakher
#163: An estimator for the diagonal of a matrix
Authors: C. Bekas, E. Kokiopoulou, Y. Saad
Session 23Room: MR080
Aggregation and identificationChair: Lynda Khalaf
#57: Combining disaggregate forecasts versus disaggregate information to forecast an aggregate
Authors: K. Hubrich, D. Hendry
#64: Structural multi-equation macroeconomic models: a system-based estimation and evaluation approach
Authors: M. Kichian, J. Dufour, L. Khalaf
#34: Aggregating rational expectations models
Authors: F. Pelgrin, E. Jondeau
#61: Testing three-moments based asset pricing models: an exact non-Gaussian multivariate regression approach
Authors: L. Khalaf, J. Dufour, M. Beaulieu
Session 31Room: MR160
Computational econometrics and finance in R - 2 Chair: Achim Zeileis
#164: Plm: a R package for panel data econometrics
Authors: Y. Croissant, G. Millo
#140: SDE: an R package for simulation and inference of stochastic differential equations
Authors: S. Iacus
#118: Copula Implementation with R
Authors: X. Sun
#196: End-to-end performance analysis of network services from an operational risk management point of view
Authors: D. Masson, D. Wuertz, M. Hanf
Session 17Room: MR030
Risk measurement and predictionChair: Marc Paolella
#21: Risk estimation using the multivariate normal inverse Gaussian distribution
Authors: K. Aas, I. Hobaek Haff, X. Dimakos
#8: Representations and applications of multivariate stochastic orderings
Authors: S. Ortobelli Lozza, S. Rachev, C. Bertini, S. Stoyanov, F. Fabozzi
#137: The volatility of realized volatility
Authors: S. Mittnik, F. Corsi, C. Pigorsch, U. Pigorsch
#13: Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Authors: M. Caporin, M. Mcaleer
Session 26Room: MR150
Fuzzy statisticsChair: Maria Angeles Gil
#205: Managing uncertainty in fuzzy regression: a least squares approach
Authors: R. Coppi
#161: A characterizing functional representation of continuous distributions focussed on relevant parameters
Authors: A. Colubi, G. Gonzalez-rodriguez, M. Gil, M. Casals
#172: Approaches to prototype-less fuzzy clustering
Authors: C. Borgelt
#159: Conditions for the uniqueness of a linear model with fuzzy random variables
Authors: G. Gonzalez-rodriguez, A. Colubi, M. Lubiano

Parallel session GSaturday, 21/04/200717:20 - 19:25

Session 20Room: MR380
Signal extraction and filtering - 4Chair: Stephen Pollock
#5: Stochastic volatility models and the Taylor effect
Authors: E. Ruiz, A. Mora-galan, A. Perez
#96: Online analysis of time series by the Qn estimator
Authors: R. Nunkesser, K. Schettlinger, R. Fried, U. Gather
#103: Real-time signal extraction: a generalized error criterion emphasizing turning points
Authors: M. Wildi
#141: Testing for Granger causality in the frequency domain
Authors: C. Croux, A. Lemmens, D. Marnik
#152: Investigating economic trends and cycles
Authors: S. Pollock
Session 28Room: MR080
Fat tails, VaR and portfolio choiceChair: Peter Winker
#84: Parametric skewness and kurtosis modeling and its application to financial analysis
Authors: Y. Pentsak, A. Holly
#111: The maximum Lq-Likelihood estimator in extreme value theory with applications to financial risk measures
Authors: S. Paterlini, D. Ferrari
#48: A dynamic grouped-t copula approach for high-dimensional portfolios
Authors: D. Fantazzini
#158: Multivariate distributions and financial applications
Authors: J. Perote, D. Esther, T. Niguez
#115: Portfolio optimization under VaR constraint based on dynamic estimates of the variance-covariance matrix
Authors: K. Specht, P. Winker
Session 08Room: MR160
Modelling exchange rates and commoditiesChair: Jerry Coakley
#114: Foreign exchange, fractional cointegration and the implied-realized volatility relation
Authors: N. Kellard, C. Dunis, N. Sarantis
#131: Long memory and structural breaks in commodity futures basis and market efficiency
Authors: J. Dollery, J. Coakley, N. Kellard
#95: Realized volatility fixings
Authors: X. Liu, S. Pong
#127: Forecasting Euro exchange rates volatility at high frequency data
Authors: Y. Jiang, J. Nankervis, G. Chortareas
#112: Double bootstrap confidence intervals for parameters of interest in the two-stage DEA approach
Authors: D. Chronopoulos, J. Nankervis, C. Girardone
Session 39Room: MR030
Market microstructure analysisChair: Dietmar Maringer
#175: Diagnostics for mean reversion in stock volatilities
Authors: G. Figa-Talamanca
#12: Mean reversion and news sensitivity: a mean impact analysis
Authors: S. Sarkar, P. Kanto, P. Martin
#105: Liquidity, information asymmetry and short sales constraints: evidence from the Hong Kong stock market
Authors: L. Xia
#201: Non-parametric analysis of hedge fund risk: new insights from high frequency data
Authors: L. Pelizzon, M. Billio, M. Getmansky
#173: Extended logistic discrimination
Authors: F. Beninel, C. Biernacki
Session 06Room: MR150
Financial engineering for asset managementChair: Ana-Maria Fuertes
#99: Constructing hedge fund portfolios: an application of copula
Authors: Y. Wang, X. Liu, S. Pong
#110: An out-of-sample recursive residuals graphical test for equity premium and stock return prediction: Monte Carlo evidence
Authors: F. Papadimitriou, J. Nankervis, N. Kellard
#89: Using the bootstrap for VaR forecasts from MS-GARCH models
Authors: R. Sajjad, J. Nankervis, J. Coakley
#138: De-noising option prices with the wavelet method
Authors: L. Shen, E. Haven, X. Liu
#151: Dynamic factor analysis of industry sector default rates and implication for portfolio credit risk modelling
Authors: A. Cipollini, G. Missaglia

Parallel session HSunday, 22/04/200708:30 - 10:10

Session 25 Room: MR380
Exact tests and goodness of fitChair: Lynda Khalaf
#46: Uniformly consistent and exact tests for semiparametric single-index models
Authors: F. Jouneau, O. Torres
#150: Testing conditional distributional assumptions: a L-moments approach
Authors: B. Chu, M. Salmon
#167: A quasi-likelihood approach based on eigenfunctions for a bounded-valued Jacobi process
Authors: P. Valery, J. Dufour, C. Gourieroux
#166: Point-optimal instruments and generalized Anderson-Rubin procedures for nonlinear models
Authors: J. Dufour, M. Taamouti
Session 19Room: MR080
Market dynamics and credit ratingsChair: Elena Kalotychou
#37: Bootstrapping long memory tests: some Monte Carlo results
Authors: M. Izzeldin, A. Murphy
#54: Prediction of ratings using information from equity and debt markets
Authors: P. Dimou
#36: Nonlinearity in the British interest rate transmission mechanism
Authors: E. Kalotychou, A. Fuertes, S. Heffernan
#155: Monetary policy analysis with agents
Authors: G. Haber
Session 36 Room: MR160
Hidden Markov modelsChair: Giuseppe Storti
#190: An application of hidden Markov models to asset allocation
Authors: J. Bulla
#198: Quantile forecasting for credit risk with possibly mis-specified hidden Markov models
Authors: K. Banachewicz, A. Lucas
#73: Non-homogeneous Markov mixtures of periodic autoregressions for the Bayesian analysis of sulphur dioxide concentrations
Authors: L. Spezia, R. Paroli
#67: Hidden Markov extension of mixture transition distribution models
Authors: A. Farcomeni, F. Bartolucci
Session 16Room: MR030
Risk measurement and estimation riskChair: Marc Paolella
#122: Hedge fund portfolio construction with estimation risk
Authors: D. Giamouridis, I. Vrontos, L. Meligotsidou
#125: Hedge fund return predictability in the presence of estimation risk and model uncertainty
Authors: I. Vrontos, D. Giamouridis
#23: Time-varying quantiles
Authors: G. De Rossi, A. Harvey
#121: Different risk measures for vanilla and path dependent American options
Authors: G. Sorwar, K. Dowd
Session 42Room: MR150
Credit risk and risk modellingChair: Loriana Pelizzon
#176: Volatility spillovers: a new approach
Authors: M. Velucchi, R. Engle, G. Gallo
#184: Market linkages, variance spillover and correlation stability: empirical evidences of financial contagion
Authors: M. Billio, M. Caporin
#179: Behavior of realized volatility and correlation
Authors: A. Safari, D. Seese
#193: Functional modelling of the volatility in the Swedish limit order book
Authors: S. Elezovic

Parallel session ISunday, 22/04/200710:40 - 12:20

Session 38Room: MR380
Computational intensive methods in statistics Chair: Erricos John Kontoghiorghes
#42: Forecast selection and evaluation using automated procedures
Authors: R. Chumacero
#126: Computational efficiency in Bayesian model averaging and variable selection
Authors: J. Eklund, S. Karlsson
#107: Soft computing for foreign exchange rate forecasting
Authors: C. Slim
#178: Developing web-based and parallelized bioinformatics applications
Authors: R. Diaz-Uriarte, A. Canada, E. Morrissey, O. Rueda, A. Alibes, M. Neves
Session 14Room: MR080
Time series smoothing and modellingChair: Ioannis Demetriou
#79: Necessary and sufficient conditions for a best L1 convex fit to univariate data
Authors: S. Papakonstantinou, I. Demetriou
#81: A distributed lag estimator derived from smoothness priors and nonnegative divided differences
Authors: E. Vassiliou
#149: A control systems approach for credit risk simulation and control of a loan portfolio
Authors: S. Stavraki, J. Leventides, H. Pandis
#76: Separation of extrema of piecewise monotonic time series
Authors: I. Demetriou
Session 24Room: MR160
Estimation and validation of multivariate financial modelsChair: Lynda Khalaf
#75: Efficient estimation of copula-GARCH models
Authors: R. Luger, Y. Liu
#132: Evaluating Value-at-Risk models with desk-level data
Authors: D. Pelletier, J. Berkowitz, P. Christoffersen
#174: Semiparametric multivariate density estimation for positive data
Authors: T. Bouezmarni, J. Rombouts
#69: Markov Chain Monte Carlo methods for parameter estimation in multidimensional continuous time Markov switching models
Authors: M. Hahn, S. Fruehwirth-Schnatter, J. Sass
Session 15Room: MR030
Modeling financial asset returnsChair: Marc Paolella
#18: Indirect estimation of elliptical fat-tailed distributions
Authors: D. Veredas, M. Lombardi
#30: Modeling fat tails in daily exchange rates: a multivariate Stable-GARCH approach
Authors: M. Bonato
#22: An ARCHAIC approach to portfolio VaR forecasting
Authors: S. Broda, M. Paolella
#145: An econometric analysis of emission trading allowances
Authors: M. Paolella, L. Taschini
Session 04Room: MR150
Spatial and/or temporal modelingChair: Janette Walde
#83: Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors
Authors: M. Larch, P. Egger, M. Pfaffermayr, J. Walde
#85: Performance of diagnostic tests for spatial models
Authors: J. Walde, M. Larch
#93: Structured additive regression: a unifying perspective on smoothing, spatial statistics, and mixed models
Authors: S. Lang, C. Belitz, T. Kneib
#58: Markov Chain Monte Carlo estimation of issuer-specific and bond-specific components of credit and liquidity risk
Authors: L. Soegner, M. Fruehwirth, P. Schneider