2nd International Workshop on

Computational and Financial Econometrics (CFE'08)

19-21 June 2008, Neuchâtel, Switzerland



Plenary talk 1 Thursday, 19.06.2008 09:00 - 09:55 Room: GGA
Possibly ill-behaved posteriors in econometric models: On the connection between model structures, non-elliptical credible sets and neural network Simulation
Speaker: Herman Van Dijk Chair: Marc Paolella
Plenary talk 2 Thursday, 19.06.2008 16:25 - 17:20 Room: GGA
Iterative smoothing algorithms and their application in finance
Speaker: Oliver Linton Chair: Berc Rustem
Plenary talk 3 Friday, 20.06.2008 11:20 - 12:15 Room: GGA
A parallel GMRES method preconditioned by a Multiplicative Schwarz iteration
Speaker: Bernard Philippe Chair: Yousef Saad
Plenary talk 4 Saturday, 21.06.2008 17:20 - 18:15 Room: GGA
Exploiting nonnegativity in matrix and tensor factorizations to improve topic detection and tracking in text mining
Speaker: Michael W. Berry Chair: Ahmed Sameh


Parallel session B Thursday, 19.06.2008 10:15 - 12:15

Session ES02 Room: GPA
Variable selection and robustness Chair: Stefan Van Aelst
  #53:  S. Flores
  On the efficient calculation of robust regression estimators
  #98:  P. Buhlmann
  Robustness for high-dimensional data analysis
  #9:  C. Croux, S. Gelper
  Variable selection for time series forecasting using the groupwise LARS algorithm
  #93:  S. Van Aelst, J. Khan, R. Zamar
  Fast robust variable selection with missing data
Session ES15 Room: B104
Time series estimation and prediction Chair: Anna Staszewska
  #50:  M. Pipien
  A coordinate free conditional distribution in BEKK model: Bayesian analysis for WSE
  #74:  G. Sbrana
  Aggregation of vector ARMA processes: some further results
  #69:  A. Staszewska
  Confidence bands for VAR forecast paths
Session ES16 Room: GB1
Statistics with incomplete data Chair: Gil Gonzalez-Rodriguez
  #83:  M. Steinbrecher, R. Kruse
  Pruning decision trees with fuzzy concepts
  #84:  R. Cao, J. Vilar, M. Ausin
  Aggregate loss models: a nonparametric approach
  #85:  W. Trutschnig
  A possible extension of upper and lower probabilities to the case of fuzzy random variables
  #99:  A. Colubi, M. Gil
  Hypothesis testing about the means of fuzzy random variables.
  #102:  G. Gonzalez-Rodriguez
  Fuzzy techniques in the analysis of distributions of real random variables.
Session CS01 Room: E003
Time series and financial econometrics Chair: Christian Francq
  #15:  A. El Ghini
  Asymptotic properties of sample inverse autocorrelations under weak assumptions
  #9:  F. Pegoraro, H. Bertholon, A. Monfort
  Econometric asset pricing modelling
  #48:  J. Zakoian, C. Francq
  Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons
  #53:  A. Gautier
  A guided tour of periodic time series models and applications
Session CS04 Room: B013
Decision making under uncertainty Chair: Daniel Kuhn
  #13:  D. Gerogiorgis, E. Pistikopoulos
  Fractal scaling in crude oil price evolution via time series analysis of historical data
  #28:  R. Hochreiter
  Evaluating and extending clustering techniques to generate financial scenarios for stochastic programming models
  #33:  E. Constantinide, C. Charalambous, S. Martzoukos
  Option pricing on non-recombining implied trees assuming serial dependence of returns
  #243:  S. Zymler, B. Rustem, D. Kuhn
  Optimal derivative Insurance for robust portfolio optimisation
  #123:  D. Kuhn, P. Parpas, B. Rustem
  Dynamic mean-variance portfolio analysis under model risk
Session CS06 Room: GGA
Multivariate GARCH Chair: Marc Paolella
  #16:  S. Broda, M. Paolella
  CHICAGO: a fast and accurate method for portfolio risk calculation
  #23:  C. Bos, R. Kraeussl
  Optimal portfolio allocation using daily correlation modelling
  #29:  A. Palandri
  Sequential conditional correlations: inference and evaluation
  #251:  G. Gallo, F. Cipollini
  Semiparametric vector MEM
Session CS13 Room: B103
Applied macroeconometrics Chair: Martin Wagner
  #31:  K. Neusser, H. Dellas, M. Walti
  Fiscal policy in open economies
  #39:  D. Burren
  The role of sectoral shifts in the great moderation
  #56:  G. Baeurle, D. Burren
  Business cycle accounting with model consistent expectations
  #67:  M. Wagner, S. Hong
  Nonlinear cointegration analysis of the enivronmental kuznets
Session CS17 Room: AUM
Dynamic factor models: analysis and real-time forecasting Chair: Christian Schumacher
  #54:  G. Moretti, L. Monteforte
  Real time forecasts of inflation: the role of financial variables
  #185:  V. Bystrov
  Forecasting performance of dynamic factor models in short samples with structural breaks
  #49:  C. Schumacher, M. Marcellino
  Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP
  #93:  M. Deistler, B. Anderson
  Generalized linear dynamic factor models - a structure theory
Session CS18 Room: ALG
Financial econometrics - 1 Chair: Michael Wolf
  #57:  L. Mancini, J. Fan
  Option pricing with aggregation of physical models and nonparametric statistical learning
  #60:  L. Camponovo, O. Scaillet, F. Trojani
  Robust fast subsampling for time series
  #109:  A. Vaona
  The sensitivity of nonparametric misspecification tests to disturbance autocorrelation
  #55:  M. Wolf, O. Ledoit
  Robust performance hypothesis testing with the Sharpe ratio
Session CS25 Room: B217
Credit risk, financial markets and computational methods Chair: Sandra Paterlini
  #85:  D. Fantazzini
  Forecasting the default probability without accounting data
  #107:  J. Paha, M. Lyra, P. Winker, S. Paterlini
  Optimization heuristics for determining internal rating grading scales
  #115:  M. Lyra, P. Winker, C. Sharpe
  Least median of squares estimation by optimization heuristics with an application to the CAPM
  #161:  A. Cipollini, F. Fiordelisi
  Systemic risk in the European banking system
  #122:  T. Yener, S. Mittnik
  Estimating risk capital for correlated rare events
Parallel session C Thursday, 19.06.2008 14:00 - 16:00

Session ES06 Room: GGA
Computational methods for mixtures Chair: Sylvia Fruehwirth-Schnatter
  #19:  B. Gruen, F. Leisch
  Finite mixture model diagnostics using the bootstrap
  #15:  P. Deschamps
  A flexible prior distribution for markov switching autoregressions with student-t errors
  #14:  H. Lopes, N. Polson, C. Carvalho, M. Johannes
  On mixture of Kalman filtering and learning
  #3:  S. Fruehwirth-Schnatter
  Bayesian estimation of finite mixtures of univariate and multivariate skew-normal and skew-t distributions
Session ES17 Room: GB1
Probabilistic methods in learning problems Chair: Ana Colubi
  #67:  U. Kaymak
  Probabilistic fuzzy systems in financial modelling
  #49:  M. Verleysen, D. Francois
  Parameter-free feature selection with mutual information
  #87:  T. Martin, Y. Shen
  Fuzzy text mining and digital obesity
  #96:  S. Borra, A. Di Ciaccio
  The estimation of prediction error for neural networks: a simulation study.
  #114:  C. Charalambous
  Application of neural networks and support vector machines to pricing European options
Session ES22 Room: GPA
Robustness with high dimensional data Chair: Stefan Van Aelst
  #7:  E. Roelant, S. Van Aelst, G. Willems
  Fast bootstrap for robust Hotelling tests
  #11:  G. Willems, E. Vandervieren, S. Van Aelst
  Stahel-Donoho estimators with cellwise weights
  #6:  K. Boudt, C. Croux, S. Laurent
  Outlyingness weighted quadratic covariation
  #64:  A. Christmann, I. Steinwart
  On non-parametric robust quantile regression by support vector machines
Session CS02 Room: B013
International financial management Chair: Ana-Maria Fuertes
  #4:  J. Olmo, J. Gonzalo
  Optimal asset allocation under comovements and downside-risk measures
  #41:  A. Audzeyeva
  Sovereign rating transitions: finite-sample properties of alternative estimators
  #125:  W. Semmler, L. Bernard
  The credit crisis: a regime-change approach to analyzing imbedded markets
  #210:  O. Sheremet, A. Lucas
  Dependence in the insurance sector and possibilities for international diversification
  #222:  Y. Mert Kantar, M. Memmedli, I. Usta
  Analysis of multi-objective portfolio models for the Istanbul stock exchange
Session CS09 Room: AUM
Non-linear estimation, multivariate and structural models Chair: Lynda Khalaf
  #73:  A. Prokhorov
  Likelihood based estimation for multivariate time series processes
  #100:  A. Maynard, D. Bauer
  Persistence-robust causality testing
  #166:  G. Kundhi, P. Rilstone
  Edgeworth expansions for nonlinear estimators
  #193:  B. Chu, G. Christodoulakis
  A method to estimate the preference structure of joint financial forecast decisions
  #24:  M. Kichian, J. Dufour, L. Khalaf
  Examining the role of real wage rigidities for Canadian inflation
Session CS12 Room: E003
Integer valued time series and related topics - 1 Chair: Konstantinos Fokianos
  #138:  R. Jung, A. Tremayne
  Count time series with overdispersed data
  #101:  F. Drost, R. van den Akker, B. Werker
  Efficient estimation of semiparametric integer-valued autoregressive models
  #36:  G. Kauermann
  Specification of landmarks and forecasting water temperature
  #208:  A. Rahbek, K. Fokianos, D. Tjostheim
  Poisson autoregression Integer valued GARCH
  #228:  I. Usta, A. Shamilov, Y. Mert Kantar
  The new models for skew and kurtotic data via maximum entropy distributions based on specified moment functions
Session CS14 Room: B103
Financial risk management Chair: Cathy W.S. Chen
  #35:  P. Yu, E. Wu, W. Li
  Value-at-Risk estimation using flexible ICA-GARCH models
  #34:  C. Chen, W. Lee
  Bayesian forecasting for financial risk management
  #192:  A. Amendola, G. Storti
  Combination of conditional covariance matrix forecasts
  #91:  W. Yip, M. So
  Dependence measures for risk management
  #246:  G. Stahl, H. Zwiesler, D. Reuss, D. Bergmann
  Computational aspects of nested Monte Carlo simulations for risk management purposes
Session CS15 Room: B104
Risk management Chair: Zhengjun Zhang
  #40:  J. Hill
  Tail and non-tail memory with applications to GARCH processes
  #239:  G. De Rossi
  Equity volatility and the business cycle: a factor model approach
  #195:  T. Wenger
  Quantile approximation in small models for integrated risk management
  #148:  T. Niguez, J. Perote
  The general moments expansion: an application for financial risk
  #95:  A. Derviz
  Computing equilibria of a fast-trading electronically brokered security market model
Session CS31 Room: ALG
Inference in time series and econometrics Chair: Alessandra Luati
  #184:  M. Gerolimetto, L. Bisaglia, I. Procidano
  Changes in regime and cointegration analysis
  #225:  R. Seri, C. Choirat
  Computing weighted chi-square distributions and related quantities
  #158:  J. Beran, S. Ghosh, M. Schutzner
  From short to long memory: aggregation and estimation
  #214:  L. Fanelli
  Likelihood-based recursive tests of the adaptive learning hypothesis
  #162:  A. Luati, T. Proietti
  On the equivalence between the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing
Session CS36 Room: B217
Time series forecasting Chair: Marc Wildi
  #176:  P. Dechpichai, P. Davy
  A nonlinear neural network approach to simultaneous prediction of non-constant mean and volatility for long-tailed distribution
  #10:  M. Willner
  Forecasting international stock market returns
  #244:  S. Mittnik, C. Pigorsch, U. Pigorsch
  A multivariate generalized hyperbolic stochastic volatility model and the use of realized covariances
  #71:  M. Wildi
  Winner of the NN3-forecasting competition: an application of customized optimization criteria in forecasting
Parallel session E Friday, 20.06.2008 09:00 - 11:00

Session ES08 Room: GPA
Statistical software Chair: Petko Yanev
  #20:  S. Klinke, C. Wagner
  Visualizing exploratory factor analysis models
  #105:  S. Theussl
  Getting the most out of your CPUs: parallel computing strategies in R
  #65:  A. Bejan
  Tracy-Widom and Painleve II: computational aspects and realisation in S-Plus
Session ES09 Room: B104
Statistics for dependent data and econometric models Chair: Jean-Michel Zakoian
  #25:  C. Francq, J. Zakoian
  Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models
  #28:  P. Alquier
  PAC-Bayesian bounds and model selection
  #31:  H. Raissi
  Autocorrelation based tests for vector error correction models with uncorrelated but nonindependent errors
  #32:  H. Harari-Kermadec
  Regenerative block empirical likelihood for Markov chains
Session ES18 Room: GB1
Intelligent data analysis Chair: Christian Borgelt
  #56:  E. Come, T. Denoeux, L. Oukhellou, P. Aknin
  Learning from data with soft class labels using mixture models and belief functions
  #72:  F. Klawonn
  Probabilistic noise clustering as M-estimators
  #75:  J. Sousa, S. Vieira
  Multi-criteria ant feature selection in intelligent classification
  #97:  C. Borgelt
  Accelerating fuzzy clustering
Session CS05 Room: B217
Markov-switching models for financial returns Chair: A. Amendola
  #14:  D. Ardia
  Bayesian estimation of a Markov-switching threshold GJR model
  #106:  L. Morales-Arias, T. Lux
  Forecasting volatility under fractality, regime-switching, long memory and Student-t innovations
  #30:  A. Valdesogo Robles
  Modeling international financial returns with a multivariate regime switching copula
  #124:  M. Demetrescu, T. Alp
  Joint forecasts of Dow Jones stocks under general multivariate loss function
Session CS22 Room: B103
Asset price dynamics and portfolio choice Chair: Willi Semmler
  #150:  M. Lopez, N. Rodriguez, J. Prada
  Financial accelerator mechanism: evidence for Colombia
  #164:  W. Semmler, L. Gruene, K. Oehrlein
  Dynamic consumption and portfolio decisions with time varying asset returns
  #99:  J. Ramalho, J. Silva
  A two-part fractional regression model for capital structure choices
  #197:  D. Ferrari, S. Paterlini, F. Pattarin
  Efficient and robust estimation of asset returns via the Maximum Lq-Likelihood method
Session CS24 Room: ALG
Time series and signal extraction Chair: Tommaso Proietti
  #105:  A. Alonso, C. Garcia-Martos, J. Rodrigez, M. Sanchez
  Seasonal dynamic factor analysis and bootstrap inference: application to electricity market forecasting
  #153:  O. Scaillet, P. Bajgrowicz
  Technical trading revisited: persistence tests, transaction costs, and false discoveries
  #86:  C. Wong, H. Chin
  Mixture vector autoregressive model with parameter constraints
  #116:  T. Proietti
  Estimation of common factors under cross-sectional and temporal aggregation constraints: nowcasting monthly GDP and its main components
Session CS26 Room: E003
Computational and financial econometrics with R Chair: Christian Kleiber
  #179:  Y. Croissant
  Mixed logit estimation with R: the rplogit package
  #198:  F. Novomestky
  Least absolute deviation regression: a lexicographical linear goal programming formulation
  #174:  P. Chen, D. Bluschke, V. Bluschke, J. Zeng
  #87:  C. Kleiber
  Fast and accurate asymptotic p values for the Nyblom-Hansen test and related statistics
Session CS28 Room: AUM
Simulation based Bayesian inference for dynamic and financial models Chair: Herman van Dijk
  #88:  G. Moura, G. Moura, J. Richard
  Dynamic panel probit models for current account reversals and their efficient estimation
  #140:  C. Bos, S. Koopman, M. Ooms
  Long memory modelling of inflation with stochastic variance and structural breaks
  #152:  B. Diris, F. Palm, P. Schotman
  Long-term strategic asset allocation: an out-of-sample evaluation
  #252:  I. McKeague, S. Lopez-Pintado
  Principal components for gradients of sparse functional data
  #188:  L. Sogner
  Term structure estimation and highly persistent processes in a Bayesian context
Session CS33 Room: B013
Econometric analysis of financial markets Chair: Ana-Maria Fuertes
  #44:  M. Izzeldin, A. Fuertes
  On the adequacy of the GMM method for conducting inference within the MDH model: A Monte Carlo study
  #11:  J. Kuo, X. Liu, J. Coakley
  Pricing libor options
  #18:  O. Martinez
  A new way of measuring the quality of stock market
  #142:  J. Jho, V. Kaishev
  On some mixture distributions and their extreme value behavior
  #43:  A. Fuertes, M. Izzeldin, E. Kalotychou
  On forecasting daily stock volatility: the role of intraday-information and market conditions
Parallel session G Friday, 20.06.2008 14:00 - 16:00

Session ES11 Room: B103
Robust methods for data analysis Chair: Mia Hubert
  #13:  J. Kalina
  Computing robust GMM estimators
  #34:  M. Debruyne
  Robust support vector machine classification
  #38:  S. Gelper
  Robust online scale estimation in time series: a model-free approach
  #62:  M. Oliveira, A. Pacheco, C. Pascoal, R. Valadas, P. Salvador
  Robust estimation of parameters of a truncated bivariate normal distribution
  #101:  M. Hubert, S. Van der Veeken
  A robust transformation to symmetry
Session ES14 Room: B013
Computational statistics in learning Chair: Cira Perna
  #66:  P. Groenen, G. Nalbantov, C. Bioch
  A majorization algorithm to linear support vector machines with different hinge errors
  #113:  C. Gatu, E. Kontoghiorghes
  Regression subset selection with non-negative coefficients
  #106:  E. Biganzoli, F. Ambrogi, P. Boracchi
  Partial logistic artificial neural networks for the flexible modelling of censored survival data
  #95:  C. Perna, M. La Rocca
  Multiple testing for variable selection in neural network models
Session ES20 Room: GB1
Computational statistics in life sciences Chair: Athanassios Kondylis
  #89:  C. Siani, C. de Peretti, G. Duru
  Accounting for uncertainty around the incremental cost-effectiveness ratio adjusted by the quality of life
  #118:  F. Martin, I. Gunduz , N. Ivanov
  A multiple random classifiers strategy for the ab initio core promoter recognition in Nicotiana tabacum
  #40:  D. Heinzmann, S. Ruegg, A. Barbour, P. Torgerson
  Modeling of infectious disease dynamics based on a simultaneous use of multiple information inputs
  #58:  I. Irigoien, S. Vives, C. Arenas
  Finding profiles in microarray time-course experiments with replicates.
  #112:  A. Kondylis, J. Whittaker
  Adaptive preconditioning of Krylov subspaces and PLS regression
Session CS10 Room: E003
Bayesian analysis of latent variable models and volatility models Chair: Yasuhiro Omori
  #26:  K. Miyawaki, Y. Omori
  Tobit model with covariate dependent threshold
  #27:  K. Kakamu, Y. Ohtsuka, T. Oga
  Electric demand forecasting by bayesian spatial autoregressive seasonal ARMA (p,q) model
  #46:  H. Kozumi, K. Miyawaki, K. Kakamu
  Bayesian analysis of spatial stochastic frontier models
  #50:  H. Wago, K. Yano, S. Sato
  Multivariate stochastic volatility models with dynamic correlations: a Monte Carlo particle filtering approach
  #157:  K. Oya
  Bias corrected realized volatility with dependent microstructure noise
Session CS19 Room: B217
Computational econometrics - 1 Chair: Peter Wechselberger
  #147:  C. De Mol, J. Brodie, I. Daubechies, D. Giannone, I. Loris
  Sparse and stable Markowitz portfolios
  #168:  M. Belmonte, O. Papaspiliopoulos, M. Pitt
  On-line state and parameter estimation of Cox process.
  #144:  W. Rinnergschwentner
  The efficient frontier as a stochastic phenomenon
  #189:  L. Lukas
  Visual recurrence analysis of simulated foreign exchange rate with encryption scheme for color images
  #59:  P. Wechselberger, S. Lang, W. Steiner
  Random scaling of nonlinear functions
Session CS20 Room: AUM
Econometric methods and applications for financial time series Chair: Giampiero Gallo
  #63:  F. Corsi, F. Audrino
  Measuring and modeling tick-by-tick stock-bond realized correlation
  #201:  G. De Luca, G. Rivieccio, P. Zuccolotto
  The analysis of multivariate returns via asymmetric archimedean copulae
  #139:  E. Rossi, F. Spazzini
  Model and distribution uncertainty in multivariate GARCH estimation
  #241:  J. Caiado, N. Crato
  Parametric and nonparametric methods for clustering of financial time series
Session CS21 Room: ALG
Time series components and volatility Chair: Stephen Pollock
  #64:  E. Ruiz, A. Espasa, S. Pellegrini
  The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances
  #81:  K. Lam
  Nonlinear transformation in MEM-GARCH for robust volatility forecasting
  #171:  G. Perendia
  Estimating and forecasting yield curve using partial information Kalman filter and DSGE
  #65:  Stephen Pollock
  The realisation of finite-sample frequency-selective filters
Session CS29 Room: B104
Dynamics of financial markets Chair: Maral Kichian
  #97:  J. Dollery, J. Coakley, N. Kellard
  An empirical investigation of static and time-varying long-range dependence in futures returns
  #209:  D. Wang, N. Kellard
  Does East affect West? A dynamic spillover analysis between Chinese and US futures markets
  #131:  C. Hsiao, C. Chiarella
  Nonlinear spot interest rates and bond prices: an empirical study
  #38:  O. Erdem
  The effectiveness of prepayment penalty ban in Turkey
  #126:  E. Tham
  Fundamental and speculative factors behind the energy price
Session PS07 Room: GGA
Robust multilevel methods and parallel algorithms - 1 Chair: Johannes Kraus
  #25:  U. Yang, R. Falgout, J. Brannick
  Compatible relaxation in parallel algebraic multigrid
  #19:  C. Flaig, P. Arbenz, C. Bekas, H. van Lenthe, U. Mennel, R. Muller, M. Sala
  A scalable multi-level preconditioner for matrix-free micro-finite element analysis of human bone structures
  #27:  E. Karer, J. Kraus
  On the strength of nodal dependence in AMG for vector-field problems
  #24:  H. Yang, W. Zulehner
  An algebraic multigrid (AMG) solver for a finite element (FEM) discretization of the Stokes/Navier-Stokes system on hybrid meshes and its parallelization
  #20:  M. Neytcheva
  Elementwise construction of block two-by-two preconditioners
Session PS11 Room: GPA
Krylov space methods and applications Chair: Mario Arioli
  #47:  P. Jiranek, M. Rozloznik, M. Gutknecht
  On the numerical behavior of Simpler GMRES and GCR
  #64:  J. Hogg, J. Scott
  On the use of mixed precision for the fast and robust solution of sparse symmetric linear systems.
  #65:  M. Arioli, I. Duff
  Backward stability of FGMRES
  #68:  S. Djungu, P. Manneback
  Block algorithms for computing PageRank by sites
Parallel session H Friday, 20.06.2008 16:25 - 18:30

Session ES01 Room: B103
Robustness in theory and practice Chair: Peter Filzmoser
  #4:  S. Huber
  Applications of robust statistics in operational risk measurement
  #5:  J. Jureckova, J. Picek, A. Saleh
  Rank tests in linear models with measurement errors
  #36:  C. Agostinelli, M. Salibian Barrera
  An algorithm for LARS and LASSO based on S-estimators
  #16:  P. Filzmoser, A. Ruiz-Gazen, C. Thomas
  Tools for local multivariate outlier detection
Session ES05 Room: B104
Small area estimation Chair: Domingo Morales
  #18:  T. Hobza, M. Herrador, M. Esteban, D. Morales
  An unit level model with fixed or random domain effects in small area estimation problems
  #79:  M. Ugarte, T. Goicoa, A. Militino
  Spline smoothing in small area estimation
  #115:  I. Molina, N. Salvati, M. Pratesi
  Bootstrap estimation of the mean squared error under a Spatial Fay-Herriot model
  #116:  N. Tzavidis, N. Salvati
  Borrowing strength over space in small area estimation using M-quantile geographically weighted models
Session ES13 Room: B013
Mixture models and clustering Chair: Christian Hennig
  #42:  A. Mayo-Iscar, J. Cuesta-Albertos, C. Matran-Bea
  From clustering to mixture models.
  #29:  M. Romanazzi, C. Agostinelli
  Local depth
  #109:  P. Coretto, C. Hennig
  The robust improper ML estimate for finite location-scale mixtures and how to choose the improper density
  #117:  C. Gormley, T.B. Murphy
  Mixture models, clustering and covariates
  #61:  C. Hennig
  How to join normal mixture components
Session CS07 Room: AUM
Graph based modelling Chair: Marco Reale
  #21:  C. Cappelli, F. Di Iorio
  Regression trees for regime changes analysis
  #120:  A. Mercatanti
  Assessing the effect of debit cards on households' spending under the unconfoundedness assumption
  #238:  A. Rea, M. Reale, C. Scarrott
  Graphical models of multivariate volatility
  #242:  M. Reale, W. Rea, L. Oxley, C. Price
  A test for H self-similarity
Session CS16 Room: ALG
Numerical methods in econometrics Chair: Ioannis C. Demetriou
  #177:  E. Vassiliou, I. Demetriou
  A linearly distributed-lag estimator with r-convex coefficients
  #119:  Y. Bassiakos
  A study of total investor wealth for investors in the Athens stock exchange
  #76:  A. Taamouti, J. Dufour
  Exact optimal and adaptive inference in linear and nonlinear models
  #156:  C. Miani, S. Bellavia
  An ad hoc inexact Newton method for model simulation.
  #167:  I. Demetriou, S. Papakonstantinou
  The least sum of absolute change to univariate data that gives convexity
Session CS32 Room: B217
Stochastic volatility models Chair: Gianna Figa-Talamanca
  #186:  E. Taufer, M. Bee
  Characteristic function estimation of stochastic volatility model
  #145:  A. Perez Espartero, E. Ruiz Ortega
  The Taylor effect: a new tool for model adequacy in stochastic volatility models
  #236:  G. Figa-Talamanca
  Path properties of simulation schemes for continuous stochastic volatility models
  #223:  K. Kalogeropoulos
  Likelihood-based inference for stochastic volatility models using asset and option prices
Session CS47 Room: E003
Integer valued time series and related topics - 2 Chair: Konstantinos Fokianos
  #169:  R. Fried
  Outlier estimation and detection for INGARCH processes
  #32:  A. Latour, L. Truquet
  Integer-valued model miming classical econometric models
  #104:  C. Czado, T. Nguyen, G. Mueller
  Ordinal stochastic volatility and stochastic volatility models for price changes: an empirical comparison
  #108:  J. Vilar-Fernandez, A. Alonso, J. Vilar-Fernandez
  Nonlinear time series clustering based on nonparametric forecast densities
  #94:  K. Fokianos
  On comparing several spectral densities
Session PS03 Room: GGA
Parallel preconditioners Chair: Ahmed Sameh
  #17:  A. Grama, M. Manguoglu, M. Koyuturk, A. Sameh
  Parallel banded preconditioners for non-symmetric linear system solvers
  #10:  A. Basermann, J. Schmidt
  Block incomplete LU preconditioning on modern hardware platforms
  #9:  A. Haidar, L. Giraud, S. Pralet
  Algebraic preconditioners for parallel hybrid solvers
  #81:  R. Alfredo, E. Quintana-Orti, G. Quintana-Orti, R. van de Geijn
  Parallel factorization of band matrices
  #13:  A. Sameh, M. Naumov
  A parallel hybrid banded solver and its generalization to sparse linear systems
Session PS04 Room: GPA
Parallel combinatorial scientific computing Chair: Costas Bekas
  #80:  J. Her, F. Pellegrini
  Efficient and scalable parallel graph partitioning
  #44:  R. Bisseling, T. van Leeuwen, U. Catalyurek
  A hybrid two-dimensional method for sparse matrix partitioning
  #42:  M. Sosonkina, Y. Saad
  Hypergraph partitioning for sparse linear systems: a case study with discontinuous PDEs
  #14:  C. Bekas, A. Curioni, P. Arbenz
  Very large scale graph partitioning problems in micro finite element analyses of human bone structure
Session PS09 Room: GB1
Large-scale sparse matrix computations Chair: Daniela di Serafino
  #28:  B. Ucar
  A matrix partitioning interface to patoh in matlab
  #30:  S. Filippone, P. D'Ambra, D. di Serafino
  MLD2P4: A package of scalable algebraic multilevel Schwarz preconditioners
  #32:  A. Buttari, P. Amestoy, J. L'excellent
  Towards a parallel analysis phase for a multifrontal sparse solver.
  #37:  L. Grigori, J. Demmel, H. Xiang
  Communication avoiding Gaussian elimination
  #58:  R. Vuduc
  Programming models and techniques for sparse matrix kernels on multicore platforms
Parallel session I Saturday, 21.06.2008 09:00 - 11:00

Session ES04 Room: GB1
Depth and trimming in robustness Chair: Alfonso Gordaliza
  #88:  I. Cascos
  Depth functions and random convex hulls
  #90:  S. Lopez-Pintado, Y. Wei
  Depth for sparse functional data
  #94:  P. Alvarez-Esteban, E. del Barrio, J. Cuesta-Albertos, C. Matran
  Assessing when a sample is mostly normal
  #81:  A. Gordaliza, L. Garcia-Escudero, A. Mayo-Iscar, R. San Martin
  Robust clusterwise linear regression
Session ES10 Room: B104
Spatial and temporal computational statistics Chair: Peter Congdon
  #77:  A. Bounekkar
  Spatial logistic regression based upon contiguity concept
  #12:  J. Arteche, J. Orbe
  Bootstrap based bandwidth choice for log-periodogram regression
  #63:  M. Frias Bustamante, M. Ruiz-Medina
  Computing functional estimators of the long-range dependence parameters in the spectral-wavelet domain
  #92:  P. Yanev, P. Foschi, E. Kontoghiorghes
  Efficient algorithms for estimating the error-components seemingly unrelated regression model with serrialy correlated disturbances
Session ES12 Room: B013
Switches and structural breaks in a Bayesian framework Chair: Gianni Amisano
  #100:  I. Vrontos, L. Meligkotsidou
  Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies
  #41:  R. Casarin, M. Billio
  Identifying business cycle turning points with sequential Monte Carlo
  #55:  D. Raggi, S. Bordignon, S. Di Sanzo
  Forecasting realized volatilities through long memory and switching regime models
  #39:  G. Amisano, O. Tristani
  A DSGE model of the term structure with regime shifts
Session CS03 Room: ALG
Financial econometrics - 2 Chair: Olivier Scaillet
  #7:  D. Veredas, R. Pascual
  Quote quality in an order driven market
  #12:  F. Ielpo, J. Da Fonseca, M. Grasselli
  Estimation the wishart affine stochastic correlation model using the characteristic function
  #52:  E. Jondeau
  Contemporaneous aggregation of GARCH models and evaluation of the aggregation bias
  #137:  O. Reznikova, C. Hafner
  Efficient estimation of a semiparametric dynamic copula model
  #22:  F. Iacone
  A semiparametric analysis of the term structure of the US interest rates
Session CS23 Room: B217
Computational statistics Chair: Cristian Gatu
  #135:  D. Gimenez, J. Lopez-Espin
  A genetic algorithm for estimation of simultaneous equation models
  #191:  D. Santalova, A. Andronov, A. Svirchenkov
  On some generalization of seemingly unrelated regression equation models
  #202:  G. Di Tollo, P. Balaprakash
  Index tracking by estimation-based local search
  #72:  K. Knight
  Some asymptotics for elemental regression estimators
  #245:  D. Lin
  Random number generation and computer experiment
Session CS27 Room: E003
Financial time series Chair: Hwai-Chung Ho
  #90:  W. Chan, K. Hung, K. Kwong
  On testing some non-nested time series models with equal low-order unconditional moments
  #173:  C. Lonnbark
  A corrected Value-at-Risk predictor
  #92:  M. So, J. Lau
  A generalization of weighted Chinese restaurant type processes for a class of mixture time series models
  #79:  H. Ho
  Sample quantile analysis for long-memory stochastic volatility models
Session CS37 Room: B103
Robust inference Chair: Michele La Rocca
  #37:  V. Czellar, E. Ronchetti
  Second-order accurate and robust indirect inference
  #130:  A. Van Oord, M. Martens, H. Van Dijk
  Robust optimisation of the equity price momentum strategy
  #75:  D. La Vecchia, F. Trojani
  Infinitesimal robustness for diffussions
  #248:  D. Vistocco, L. Michele
  Inference for style analysis coefficients: a robust approach
Session CS38 Room: AUM
Extreme value and electricity prices Chair: Carl Scarrott
  #187:  O. Snguanyat, V. Anh, Z. Yu
  Stochastic modelling of electricity prices
  #217:  D. Maringer, E. Pliota
  De-clustering of extreme events: application of a time-varying threshold
  #117:  P. Gagner
  Functional framework for bulding quantitative models using real time news event processing
  #181:  C. Scarrott, A. Macdonald
  Quantile estimation using extreme value mixture models
Session PS13 Room: GGA
Robust multilevel methods and parallel algorithms - 2 Chair: Svetozar Margenov
  #23:  J. Kraus, I. Georgiev, S. Margenov
  Hierarchical multilevel splittings for discontinuous Galerkin approximations of elliptic problems with high-frequency-high-contrast coefficients
  #26:  S. Tomar, J. Kraus
  Multilevel preconditioning in H(div) and applications to a posteriori error estimates
  #35:  R. Blaheta, P. Byczanski, R. Kohut, J. Stary
  Parallel Schwarz type solvers for THM modelling
  #36:  J. Stary, R. Blaheta, R. Kohut, A. Kolcun, S. Margenov
  Micro FEM analysis of geocomposites
  #21:  Y. Vutov, R. Blaheta, S. Margenov
 Parallel PCG algorithms for numerical homogenization of voxel structures
Session PS14 Room: GPA
SVD and Jacobi methods Chair: Gabriel Oksa
  #16:  N. Bosner, J. Barlow, Z. Drmac
  Parallel versions of one-sided bidiagonalization
  #57:  S. Singer, S. Singer, V. Hari, K. Bokulic, D. Davidovic, M. Juresic, A. Uscumlic
  Parallel implementations of the one--sided indefinite block Jacobi methods
  #52:  V. Hari, V. Zadelj-Martic
  Convergence to diagonal form of general Jacobi-type processes
  #48:  G. Oksa, M. Becka, L. Grigori, M. Vajtersic
  Optimal data distribution in the preconditioned parallel two-sided block Jacobi SVD algorithm
Parallel session J Saturday, 21.06.2008 11:20 - 13:20

Session ES03 Room: B103
Robust regression Chair: Roland Fried
  #23:  C. Guddat
  Robust variable selection
  #27:  K. Schettlinger, M. Borowski, U. Gather
  Online time series analysis by robust regression filters
  #33:  J. Einbeck, L. Evers
  Dimension reduction for high dimensional regression problems based on local principal curves
  #37:  R. Nunkesser
  Evolutionary algorithms for robust methods
Session ES07 Room: B013
Penalization approaches: algorithms, software and applications Chair: Marta Avalos
  #17:  U. Schneider, B. Poetscher
  On the distribution of the adaptive Lasso estimator
  #35:  F. Vanden Berghen
  Efficient implementation and experimentation with the LARS-lasso algorithm
  #47:  N. Trendafilov, K. Vines
  Simple and interpretable discrimination
  #60:  S. Meintanis, E. Tsionas
  Testing for the generalized normal-Laplace distribution with applications
  #45:  M. Avalos
  Parsimonious additive logistic models
Session ES19 Room: B104
Time series and design specification Chair: Janet Godolphin
  #68:  I. Mohamed
  Outlier evaluation for the bilinear time series model
  #71:  H. Maruri Aguilar, H. Wynn
  Smooth polynomial interpolators
  #110:  E. Godolphin
  Specification, identification and prediction of components of time series models in state space form
  #54:  B. Darkhovskiy
  Non-asymptotical minimax estimation of parametric families of functionals in noise
  #111:  J. Godolphin
  Missing values in experimental design
Session ES21 Room: GB1
Discriminant problems and sample coordination Chair: Alina Matei
  #107:  F. Beninel, C. Biernacki
  Updating a discriminant rule
  #82:  G. Arbia, M. Bee, G. Espa
  Estimating the logistic auto-logistic model with missing data: some simulation results
  #59:  A. Matei
  Optimal sample co-ordination
  #80:  D. Nedyalkova, L. Qualite, Y. Tille
  General framework for the rotation of units in repeated survey sampling
Session CS08 Room: B217
Term structure, risk, and monetary policy Chair: Mario Padula
  #194:  G. Mazzi, M. Lemoine, P. Monperrus-Veroni, F. Reynes, X. Timbeau
  Real time estimation of potential output and output gap for the euro area
  #170:  F. Peracchi, S. Leorato, A. Tanase
  Weighted expected shortall estimators
  #103:  H. Bjornland, J. Halvorsen
  Monetary policy and exchange rate interactions. New empirical evidence
Session CS11 Room: E003
Option pricing Chair: Zdenek Hlavka
  #51:  M. Kopa, M. Benko, M. Fengler, W. Hardle
  On extracting information implied in options
  #25:  R. Timofeev, Y. Golubev, W. Hardle
  Monotonicity of pricing kernels
  #146:  S. Sanfelici, M. Mancino, E. Rapini
  The economic value of the Fourier estimator of the integrated covariance in terms of dynamic portfolio management
Session CS45 Room: AUM
Value at risk and volatility prediction Chair: Marc Paolella
  #219:  M. Haas
  A skew-normal Markov-switching GARCH process with applications to financial risk assessment
  #143:  M. Ausin, P. Galeano
  The Gaussian mixture dynamic conditional correlation model: Bayesian estimation, value at risk calculation and portfolio selection.
  #118:  M. Bonato, C. Massimiliano, R. Angelo
  Forecasting realized (co)variances with block Wishart autoregressive model
  #110:  J. Griffin, M. Steel
  Bayesian analysis of continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes for volatility estimation
  #149:  D. Korobilis
  Bayesian parsimonious estimation of factor stochastic volatility models
Session CS46 Room: ALG
Leverage, credit markets, financial integration Chair: Lynda Khalaf
  #96:  G. Urga, A. Leccadito
  An econometric analysis of fractional models to credit risk pricing
  #58:  M. Gagnon, M. Beaulieu, K. Linda
  The impact of political party convergence on tests of financial integration
  #121:  R. Tunaru, G. Urga, A. Leccadito
  Statistical arbitrage between CDS and CMCDS markets
  #70:  M. Voia, K. Huynh
  Analysis of nascent firms' conditional leverage distributions
Session PS01 Room: GGA
Algebraic preconditioning of iterative methods Chair: Miroslav Tuma
  #8:  O. Schenk
  Multilevel preconditioning for large-scale nonconvex PDE-constrained optimization
  #6:  M. Bollhofer
  Recent advances in preconditioing large-scale symmetric indefinite systems
  #4:  J. Mayer
  Symmetric permutations for I-matrices to avoid small pivots during incomplete factorization
  #7:  J. Duintjer Tebbens, M. Tuma
  On the usage of triangular preconditioner updates in matrix-free environment.
  #3:  T. Huckle
  Frobenius norm minimization and probing
Session PS06 Room: GPA
Parallel dense numerical linear algebra Chair: Peter Arbenz
  #18:  B. Parlett
  The envelope method
  #59:  L. Karlsson, B. Kagstrom
  Dynamic node-scheduling of a multishift QR sweep algorithm
  #22:  A. Martin-Huertas
  Parallel multilevel ILU preconditioners
  #60:  A. Buluc, J. Gilbert
 Gaussian elimination based algorithms on the GPU
Parallel session K Saturday, 21.06.2008 15:00 - 17:00

Session CS34 Room: B013
Financial market analysis Chair: Alessandra Amendola
  #129:  A. Czapkiewicz, W. Maslon
  The linear replication model in the cross-section of expected stock returns: evidence from Polish stock exchange
  #82:  N. Aslanidis, C. Savva
  Modelling stock market correlations between new EU member states and the Eurozone
  #98:  P. Artikis
  Empirical evidence from the Greek stock market on the Fama-French three factor model
  #218:  T. Cesaroni
  Forecasting Euro area private consumption using economic sentiment indicators
Session CS35 Room: B103
Computational econometrics - 2 Chair: Lynda Khalaf
  #234:  R. Nitze, P. Chen
  Bootstrapping methods for causal analysis of time series data
  #77:  R. Ouysse
  Finite sample properties of the dependent bootstrap for conditional moment models
  #62:  Q. Wang, P. Kuang, M. Schroder
  In-sample and out-of-sample bias in large scale data mining: evidence from trading rule performance
  #247:  E. Leton, D. Pena, R. Romera
  Robust discriminant analysis based on partial least squares methods
Session CS39 Room: AUM
Financial econometrics - 3 Chair: Marc Paolella
  #205:  P. Tam
  Response surface estimates for the augmented Dickey-Fuller test with lag optimization
  #128:  M. Orhan, A. Zaman
  Bias calculation and corrections of hccmes
  #206:  A. Fiori
  Testing for right, left and overall excess kurtosis in financial variables
Session CS40 Room: E003
Multivariate financial econometrics Chair: Yasuhiro Omori
  #232:  H. Hamdi
  Tests for vector error correction model when the errors are heteroscedastic
  #233:  Y. Cui, A. Belke
  Monetary policy interdependence between the ECB and the Fed: the Taylor rule based VARX and VECM
  #154:  C. Hanck, C. Bayer
  Is double trouble. How to combine cointegration tests
  #178:  E. Rossi, P. Santucci de Magistris
  A no arbitrage fractional cointegration analysis of range based volatility
Session CS41 Room: B104
Econometric applications Chair: Christian Francq
  #133:  L. Grassetti, R. Bellio
  Semiparametric stochastic frontier models for clustered data
  #47:  P. St-Amour, J. Hugonnier, F. Pelgrin
  Health and (other) assets holdings
  #84:  N. Ben Arfa
  DSGE model of a small open economy: France
Session PS10 Room: GGA
Parallel eigensolvers and applications Chair: Jose E. Roman
  #45:  C. Campos, R. Ralha, V. Hernandez, D. Guerrero
  Towards a parallel code without communication for the eigenvalues of symmetric tridiagonals
  #34:  O. Marques
  Experiences in the computation of interior eigenvalues for electronic structure calculations
  #73:  R. Dusseaux, K. Ait Braham, N. Emad
  Eigenvalue system for the scattering from rough surfaces saving in computation time by a physical approach
  #33:  J. Roman, M. Kammerer, F. Merz, F. Jenko
  Fast eigenvalue calculations in a massively parallel plasma turbulence code
  #82:  P. Vasconcelos, F. Almeida, J. Roman
  A parallel code for computing eigenvalues of integral operators
Session PS15 Room: GPA
Parallelizing iterative methods Chair: Thomas Huckle
  #55:  M. Bolten
  Highly scalable multigrid method for circulant and Toeplitz matrices using non-Galerkin coarse grid operators
  #40:  M. Emans
  AMG for equation systems in commercial fluid dynamics software
  #41:  J. Mas, J. Cerdan, J. Marin
  Symmetric low rank updates of ISM based preconditioners
  #54:  E. Varnik, U. Naumann
  Exploiting constant Jacobian entries in seed matrix construction

Created by Computing & Statistics 2007