Kickoff 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 2022, 2007
PROGRAMME
PLENARY TALKS
Plenary talk 1  Friday, 20/04/2007  12:4513:35  Room: MR380 
Applying stochastic programming models to improve the
performance of global hedge funds 
Speaker: John Mulvey  Chair:
Berc Rustem 
Plenary talk 2  Friday, 20/04/2007  17:40  18:30  Room: MR380 
Algorithms for robust multivariate statistics 
Speaker: Peter Rousseeuw  Chair:
Erricos John Kontoghiorghes 
Plenary talk 3  Saturday, 21/04/2007  09:45  10:35  Room: MR380 
Very large systems of linear equations: approximate
solution and applications in dynamic programming 
Speaker: Dimitri Bertsekas  Chair:
Anna Nagurney 
Plenary talk 4  Saturday, 21/04/2007  16:00  16:50  Room: MR380 
Operator methods and long dated structured
products 
Speaker: Claudio Albanese  Chair:
Manfred Gilli 
Plenary talk 5  Sunday, 22/04/2007  12:30  13:20  Room: MR380 
Bootstrap testing 
Speaker: James MacKinnon  Chair:
Russell Davidson 
PARALLEL SESSIONS
Parallel session A  Friday, 20/04/2007  13:40  15:20 

Session 13  Room: MR380 
Signal extraction and filtering  1  Chair: 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 02  Room: MR080 
Model averaging, term structure and option evaluation  Chair: 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
nonparametric methods
Authors: L. Hoogerheide, H. Van Dijk

#38: On the practice of Bayesian nearboundary analysis in
basic models for macroeconomic time series
Authors: H. Van Dijk, M. De Pooter, R. Segers

Session 43  Room: MR160 
Issues in econometric modelling and
testing  Chair: James MacKinnon 
#98: Twostep versus simultaneous estimation of
surveynonsampling error and true value components of small
area sample estimators
Authors: S. Paravastu, T. Zimmerman, J. Mehta

#160: Testing for serial correlation: generalized
AndrewsPloberger 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 05  Room: MR030 
Nonlinear time series analysis & financial
econometrics  Chair: 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. Daboniang, J. Zakoian

Session 29  Room: MR150 
Matrix computations and statistics  1  Chair: Nickolay Trendafilov 
#147: Computing a lowrank 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: Continuoustime approach to common principal
components estimation
Authors: N. Trendafilov

Parallel session B  Friday, 20/04/2007  15:50  17:30 

Session 18  Room: MR380 
Nonlinear time series
analysis  Chair: 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 trendcycle predictors for current
economic analysis
Authors: S. Bianconcini, E. Bee Dagum

Session 45  Room: MR080 
Computational intensive methods in
econometrics  Chair: 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 higherorder
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 37  Room: MR160 
Bootstrap and applications  Chair:
James MacKinnon 
#146: Testing for restricted stochastic dominance: some
further results
Authors: R. Davidson

#124: Small area estimation under FayHerriot models with
nonparametric estimation of heteroscedasticity
Authors: D. Morales, W. Gonzalezmanteiga, 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 12  Room: MR030 
Highfrequency data in
finance  Chair: 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 10  Room: MR150 
Robustness  Chair: 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
MMestimators
Authors: S. Van Aelst, M. Salibianbarrera

#45: Robust estimation of a general bivariate GARCH
volatility model
Authors: K. Boudt, C. Croux

Parallel session C  Friday, 20/04/2007  18:35  19:50 

Session 41  Room: MR380 
Bayesian modelling  Chair:
Alessandra Amendola 
#120: Bayesian estimation of the Markovswitching
GARCH(1,1) model with Studentt innovations
Authors: D. Ardia

#203: Electricity spot price forecasting with sparse
Bayesian recurrent neural networks
Authors: D. Mirikitani, M. Daoudi

Session 27  Room: 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 30  Room: MR160 
Simulation based inference  Chair:
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 brokerdealers
using a multivariate multinomial logit (MNL) with latent factors
Authors: M. VictoriaFeser, O. Scaillet, P. Huber

Session 22  Room: MR030 
Business cycle analysis and optimal
policy  Chair: 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 34  Room: MR150 
Signal extraction and filtering 
2  Chair: 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 D  Saturday, 21/04/2007  08:00  09:40 

Session 03  Room: MR380 
Nonlinear financial time series
modelling  Chair: Zhengjun Zhang 
#109: Robust likelihood methods based on the skewt 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 comovements and extreme impacts in high
frequency data in finance
Authors: Z. Zhang, K. Shinki

Session 09  Room: MR080 
Global financial markets and econometric
modelling  Chair: 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 01  Room: MR160 
Stochastic volatility, realized variance and
covariance  Chair: Yasuhiro Omori 
#77: Bayesian analysis for jumps, leverage and heavytails
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 HMMGARCH model
Authors: T. Nakatsuma

#128: Test of unbiasedness of the integrated covariance
estimation in the presence of noise
Authors: K. Oya, M. Ubukata

Session 07  Room: MR030 
Nonparametric time series  Chair:
Konstantinos Fokianos 
#60: Estimation in a nonlinear cointegration model
Authors: H. Karlsen

#41: Variable selection for highdimensional data:
twostage 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 44  Room: MR150 
Applied economics  Chair:
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 E  Saturday, 21/04/2007  11:00  12:40 

Session 21  Room: MR380 
Signal extraction and filtering 
3  Chair: Esther Ruiz 
#148: Inspecting the cyclical properties of the Italian
manufacturing business survey data
Authors: T. Cesaroni

#136: Using Kalmanfiltered 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 32  Room: MR080 
VEC models and MCMC methods  Chair:
Anna Staszewska 
#91: Cointegration in highdimensional VAR: the structure
of Germans shortterm 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 33  Room: MR160 
Diagnostics and algorithms  Chair: Peter
Rousseeuw 
#208: An efficient adding row algorithm for largescale
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 40  Room: MR030 
Asset pricing  Chair: 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 multistep 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 11  Room: MR150 
Computational econometrics and finance in
R  1  Chair: 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 pvalues 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 F  Saturday, 21/04/2007  14:15  15:55 

Session 35  Room: MR380 
Matrix computations and statistics 
2  Chair: 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
positivedefinite matrixvalued data
Authors: M. Moakher

#163: An estimator for the diagonal of a matrix
Authors: C. Bekas, E. Kokiopoulou, Y. Saad

Session 23  Room: MR080 
Aggregation and
identification  Chair: Lynda Khalaf 
#57: Combining disaggregate forecasts versus disaggregate
information to forecast an aggregate
Authors: K. Hubrich, D. Hendry

#64: Structural multiequation macroeconomic models: a
systembased estimation and evaluation approach
Authors: M. Kichian, J. Dufour, L. Khalaf

#34: Aggregating rational expectations models
Authors: F. Pelgrin, E. Jondeau

#61: Testing threemoments based asset pricing models: an
exact nonGaussian multivariate regression approach
Authors: L. Khalaf, J. Dufour, M. Beaulieu

Session 31  Room: 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: Endtoend performance analysis of network services
from an operational risk management point of view
Authors: D. Masson, D. Wuertz, M. Hanf

Session 17  Room: MR030 
Risk measurement and
prediction  Chair: 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 26  Room: MR150 
Fuzzy statistics  Chair: 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. Gonzalezrodriguez, M. Gil, M. Casals

#172: Approaches to prototypeless fuzzy clustering
Authors: C. Borgelt

#159: Conditions for the uniqueness of a linear model with
fuzzy random variables
Authors: G. Gonzalezrodriguez, A. Colubi, M. Lubiano

Parallel session G  Saturday, 21/04/2007  17:20  19:25 

Session 20  Room: MR380 
Signal extraction and filtering 
4  Chair: Stephen Pollock

#5: Stochastic volatility models and the Taylor effect
Authors: E. Ruiz, A. Moragalan, A. Perez

#96: Online analysis of time series by the Qn estimator
Authors: R. Nunkesser, K. Schettlinger, R. Fried, U. Gather

#103: Realtime 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 28  Room: MR080 
Fat tails, VaR and portfolio
choice  Chair: Peter Winker 
#84: Parametric skewness and kurtosis modeling and its
application to financial analysis
Authors: Y. Pentsak, A. Holly

#111: The maximum LqLikelihood estimator in extreme value
theory with applications to financial risk measures
Authors: S. Paterlini, D. Ferrari

#48: A dynamic groupedt copula approach for
highdimensional 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 variancecovariance matrix
Authors: K. Specht, P. Winker

Session 08  Room: MR160 
Modelling exchange rates and
commodities  Chair: Jerry Coakley 
#114: Foreign exchange, fractional cointegration and the
impliedrealized 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 twostage DEA approach
Authors: D. Chronopoulos, J. Nankervis, C. Girardone

Session 39  Room: MR030 
Market microstructure
analysis  Chair: Dietmar Maringer 
#175: Diagnostics for mean reversion in stock
volatilities
Authors: G. FigaTalamanca

#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: Nonparametric 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 06  Room: MR150 
Financial engineering for asset
management  Chair: AnaMaria Fuertes 
#99: Constructing hedge fund portfolios: an application of
copula
Authors: Y. Wang, X. Liu, S. Pong

#110: An outofsample 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 MSGARCH
models
Authors: R. Sajjad, J. Nankervis, J. Coakley

#138: Denoising 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 H  Sunday, 22/04/2007  08:30  10:10 

Session 25  Room: MR380 
Exact tests and goodness of
fit  Chair: Lynda Khalaf 
#46: Uniformly consistent and exact tests for semiparametric
singleindex models
Authors: F. Jouneau, O. Torres

#150: Testing conditional distributional assumptions: a
Lmoments approach
Authors: B. Chu, M. Salmon

#167: A quasilikelihood approach based on eigenfunctions
for a boundedvalued Jacobi process
Authors: P. Valery, J. Dufour, C. Gourieroux

#166: Pointoptimal instruments and generalized
AndersonRubin procedures for nonlinear models
Authors: J. Dufour, M. Taamouti

Session 19  Room: MR080 
Market dynamics and credit
ratings  Chair: 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 models  Chair:
Giuseppe Storti 
#190: An application of hidden Markov models to asset
allocation
Authors: J. Bulla

#198: Quantile forecasting for credit risk with possibly
misspecified hidden Markov models
Authors: K. Banachewicz, A. Lucas

#73: Nonhomogeneous 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 16  Room: MR030 
Risk measurement and estimation
risk  Chair: 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: Timevarying quantiles
Authors: G. De Rossi, A. Harvey

#121: Different risk measures for vanilla and path dependent
American options
Authors: G. Sorwar, K. Dowd

Session 42  Room: MR150 
Credit risk and risk
modelling  Chair: 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 I  Sunday, 22/04/2007  10:40  12:20 

Session 38  Room: 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 webbased and parallelized bioinformatics
applications
Authors: R. DiazUriarte, A. Canada, E. Morrissey, O. Rueda,
A. Alibes, M. Neves

Session 14  Room: MR080 
Time series smoothing and
modelling  Chair: 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 24  Room: MR160 
Estimation and validation of multivariate
financial models  Chair: Lynda Khalaf 
#75: Efficient estimation of copulaGARCH models
Authors: R. Luger, Y. Liu

#132: Evaluating ValueatRisk models with desklevel
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. FruehwirthSchnatter, J. Sass

Session 15  Room: MR030 
Modeling financial asset
returns  Chair: Marc Paolella 
#18: Indirect estimation of elliptical fattailed
distributions
Authors: D. Veredas, M. Lombardi

#30: Modeling fat tails in daily exchange rates: a
multivariate StableGARCH 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 04  Room: MR150 
Spatial and/or temporal
modeling  Chair: 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 issuerspecific
and bondspecific components of credit and liquidity risk
Authors: L. Soegner, M. Fruehwirth, P. Schneider
