3rd International Conference on

Computational and Financial Econometrics (CFE'09)

29-31 October 2009, Grand Resort Hotel, Limassol, Cyprus



Keynote talk 1 Thursday, 29.10.2009 09:20 - 10:10 Room: 1
Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
Speaker: Neil Shephard   Co-authors: T. Flury. Chair: Richard T. Baillie
Keynote talk 2 Friday, 30.10.2009 10:50 - 11:40 Room: 1
Robust multivariate scale estimators for volatility estimation of financial time series
Speaker: Christophe Croux   Co-authors: K. Boudt and S. Laurent. Chair: Peter Rousseeuw
Keynote talk 3 Saturday, 31.10.2009 17:00 - 17:50 Room: 1
Dynamic factor analysis by maximum likelihood
Speaker: Siem Jan Koopman Chair: Herman K. Van Dijk


Parallel session B Thursday, 29.10.2009 10:50 - 12:30

Session ES03 Room: 6
Robust analysis of complex data sets 1 Thursday 29.10.2009   10:50 - 12:30
Chair: Stefan Van Aelst Organizer: Stefan Van Aelst
  E034:  E. Vandervieren, S. Van Aelst, G. Willems
  Adaptations of the Stahel-Donoho estimator
  E073:  S. Shinmura
  New model selection method by k-fold cross validation
  E131:  C. Mueller, L. Denecke
  Estimators and tests for Copulas based on likelihood depth
  E110:  S. Van Aelst, G. Willems
  Robust Bootstrap Tests in Manova Models
Session ES32 Room: 3
Soft Computing and Statistics Thursday 29.10.2009   10:50 - 12:30
Chair: Gil Gonzalez-Rodriguez Organizer: Gil Gonzalez-Rodriguez and Maria Angeles Gil
  E060:  R. Jasinevicius, K. Kavaliauskas, R. Krusinskiene, V. Petrauskas
  Fuzzy expert maps: development and applications
  E125:  E. Come, L. Oukhellou, T. Denoeux, P. Aknin
  Noiseless IFA with soft labels with applications
  E188:  R. Almeida, U. Kaymak
  Takagi-Sugeno Belief Models
  E119:  A. Ramos-Guajardo, G. Gonzalez-Rodriguez, M. Gil, A. Colubi
  K-sample homocedasticity test for fuzzy random variables
Session ES38 Room: 5
Evolutionary procedures Thursday 29.10.2009   10:50 - 12:30
Chair: Irene Poli Organizer: Irene Poli
  E200:  M. Borrotti, D. De Lucrezia, G. Minervini
  Evolutionary experimental designs for synthetic proteins
  E199:  D. Slanzi, I. Poli
  Evolutionary Bayesian networks for high-dimensional stochastic optimization.
  E198:  G. Zemella, D. De March
  The optimisation of building envelopes with evolutionary procedures
  E201:  C. Pizzi, F. Parpinel, M. Soligo
  Spline regression for an evolutionary approach to experimental design.
Session ES42 Room: 7
Time series modelling and computation 1 Thursday 29.10.2009   10:50 - 12:30
Chair: Konstantinos Fokianos Organizer: Konstantinos Fokianos and Roland Fried
  E132:  P. Doukhan
  Weak dependence, models and some applications
  E154:  R. Dahlhaus, J. Neddermeyer
  Phase estimation for fluctuation processes
  E153:  U. Makov, S. Bar-Lev, Y. Awad
  Extensions of the Lee-Carter model for mortality projections
  E039:  K. Fokianos
  Linear and loglinear Poisson autoregression
Session CS01 Room: 10
Business cycle: modelling and forecasting Thursday 29.10.2009   10:50 - 12:30
Chair: Gian Luigi Mazzi Organizer: Monica Billio
  C040:  P. Rakotomarolahy, D. Guegan
  Multivariate nearest neighbours approach to forecast business cycle
  C087:  L. Carati, J. Anas, M. Billio, G. Mazzi
  Alternative specification of business cycle and growth cycle coincident indicators
  C327:  C. Cicconi
  On the estimation of common factors in the presence of block structures
  C111:  G. Mazzi, M. Billio, L. Ferrara, D. Guegan
  Evaluation of non-linear time series models for real-time business cycle analysis
Session CS06 Room: 4
Environment and finance Thursday 29.10.2009   10:50 - 12:30
Chair: Massimiliano Caporin Organizer: Massimiliano Caporin
  C033:  D. Guegan, A. Diongue
  Temperature modellings and weather derivatives
  C034:  M. Frunza, D. Guegan
  An economical view of the carbon market
  C358:  G. Gruell, L. Taschini
  An empirical analysis of a reduced-form permit price model
  C074:  M. Caporin, J. Pres
  Modelling and forecasting wind speed with an example on wind derivatives pricing
Session CS24 Room: 9
Graph based modelling and causality Thursday 29.10.2009   10:50 - 12:30
Chair: Marco Reale Organizer: Marco Reale
  C177:  G. Tunnicliffe Wilson
  Partial correlation graphs and structured time series models
  C187:  M. Hodge, J. Brown, M. Reale
  Comparing models with deformation metrics
  C211:  A. Mercatanti
  Identifiability of causal effects with non-ignorable missing data using instrumental variables
  C224:  J. Brown, W. Rea, M. Reale
  Improving an algorithm for break points detection based on regression trees
Session CS39 Room: 1
Energy econometrics Thursday 29.10.2009   10:50 - 12:30
Chair: Marius Ooms Organizer: Siem Jan Koopman and Marius Ooms
  C104:  F. Nielsen, M. Nielsen, N. Haldrup
  A vector autoregressive model for electricity prices subject to long memory and regime switching
  C197:  C. Garcia-Martos, S. Koopman, M. Ooms
  Estimation for unobserved component models with multiple stochastic variances using simulated maximum likelihood
  C173:  V. Dordonnat, M. Ooms
  Dynamic factors in periodic time-varying regression models
  C262:  A. Pierrot, N. Laluque, Y. Goude
  Short-term electricity load forecasting with Generalized Additive Models
Session CS64 Room: 2
Panel data models Thursday 29.10.2009   10:50 - 12:30
Chair: Yasuhiro Omori Organizer: Yasuhiro Omori
  C066:  G. Kobayashi, H. Kozumi
  Bayesian and non-Bayesian analysis of quantile regression for longitudinal data
  C292:  L. Meligkotsidou, E. Tzavalis, I. Vrontos
  A Bayesian analysis of unit roots in panel data models with cross-sectional dependence
  C073:  M. Demetrescu, A. Tarcolea
  A panel examination of long-range dependence in DAX volatilities
Session CS65 Room: 8
Quantitative risk management 1 Thursday 29.10.2009   10:50 - 12:30
Chair: Marc Paolella Organizer: Marc Paolella
  C185:  T. Bellotti, J. Crook
  An exercise in stress testing for retail credit cards
  C284:  H. Tsukahara
  Estimation of distortion risk measures
  C260:  M. Wolf, D. Wunderli
  Fund-of-funds construction by statistical multiple testing methods
  C012:  J. Krause, M. Paolella, M. Haas
  Fast estimation of highly parameterized GARCH models
Parallel session C Thursday, 29.10.2009 14:00 - 16:00

Session ES05 Room: 5
Statistical signal extraction and filtering 1 Thursday 29.10.2009   14:00 - 16:00
Chair: D.S.G Pollock Organizer: D.S.G. Pollock, Tommaso Proietti and Esther Ruiz
  E217:  S. Pollock, E. Mise
  Alternative methods of seasonal adjustment
  E070:  T. Proietti, A. Luati
  Low-pass filter design using locally weighted polynomial regression and discrete prolate spheroidal sequences
  E137:  A. Luati, T. Proietti
  Hyper-spherical and elliptical stochastic cycles
  E221:  M. Deistler, B. Anderson, A. Filler, C. Zinner, W. Chen
  Generalized linear dynamic factor models: an approach via singular autoregressions
Session ES24 Room: 6
Advances in robust data analysis Thursday 29.10.2009   14:00 - 16:00
Chair: Luis Angel Garcia-Escudero Organizer: Alfonso Gordaliza and Luis Angel Garcia-Escudero
  E076:  P. Alvarez Esteban
  Statistical applications of over-fitting due to trimmings
  E097:  T. Bellini, M. Riani
  Robust analysis of default intensity
  E082:  S. Kuhnt
  An outlier robust Edwards-Havranek procedure for graphical models
  E123:  R. Romera, D. Pena
  Robust partial least squares regression
  E061:  L. Garcia-Escudero, A. Gordaliza, A. Mayo-Iscar
  Tolerance zones through robust clustering techniques
Session ES34 Room: 3
Statistical applications with fuzzy sets Thursday 29.10.2009   14:00 - 16:00
Chair: Frank Klawonn Organizer: Ana Colubi
  E037:  E. Bongiorno, G. Aletti, V. Capasso
  A fuzzy set-valued stochastic framework for birth-and-growth process. Statistical aspects.
  E063:  A. Colubi, E. Fernandez, S. Anadon
  Reconstruction of flood chronologies on the basis of historical information
  E120:  M. Gil, G. Gonzalez-Rodriguez, A. Ramos-Guajardo
  Collecting and analyzing survey data using fuzzy random variables
  E178:  G. Ayala
  Fuzzy temporal random sets: a probabilistic tool in image and video processing
  E100:  W. Waegeman, J. Verwaeren, B. De Baets
  Learning ordinal partial class memberships with kernel-based proportional odds models
Session ES41 Room: 10
Computational statistics 1 Thursday 29.10.2009   14:00 - 16:00
Chair: Marc Hofmann Organizer: Erricos John Kontoghiorghes
  E192:  K. Panayidou, S. Lauritzen
  Tree structure for variable selection
  E173:  M. Nadif, G. Govaert
  Different variants of model-based coclustering of continuous data
  E179:  C. Charalambous, J. Pan, M. Tranmer
  Variable selection in joint mean-variance models using H-likelihood
  E047:  Y. Lovcha
  Seasonal misspecification in long memory processes: a simulation study
  E031:  D. Nikolakis, J. Goulionis, V. Benos
  The use of the Scan and Grimson disease clusters tests in order to avoid the epidemic's spread
Session CS10 Room: 2
Bayesian econometrics 1 Thursday 29.10.2009   14:00 - 16:00
Chair: Wai-Sum Chan Organizer: Cathy W. S. Chen
  C010:  B. Choy, J. Chan, J. Wong
  Comparison of two different methods for Bayesian student-t volatility model
  C183:  B. Siliverstovs
  Evaluating short-run forecasting properties of the KOF employment indicator for Switzerland in real time
  C351:  R. Gerlach, Q. Chen
  Expected shortfall and Value at Risk via the asymmetric Laplace distribution
  C352:  J. Chan, P. Yu, C. Lam, S. Choy
  Extension of geometric process model to conditional autoregressive range models
  C145:  C. Chen, K. Lee
  Structural break in Instability of return prediction models with heteroskedasticity
Session CS11 Room: 4
Quantitative risk management 2 Thursday 29.10.2009   14:00 - 16:00
Chair: Marc Paolella Organizer: Marc Paolella
  C248:  P. Araujo Santos, I. Fraga Alves
  Conditional EVT for VaR estimation: comparison with a new independence test.
  C014:  S. Broda, M. Paolella
  Saddlepoint approximation of expected shortfall for transformed means
  C154:  C. Kourouyiannis, E. Andreou, A. Kourtellos
  Value at Risk and Expected Shortfall: A Forecast Combination Approach
  C313:  M. Doronzo
  Measuring market risk in fixed income markets
  C285:  S. Keel, D. Ardia
  Revisiting marginal risk
Session CS12 Room: 1
Time series analysis and economic applications Thursday 29.10.2009   14:00 - 16:00
Chair: Luc Bauwens Organizer: Christian Francq
  C043:  J. Zakoian, N. Regnard
  A class of nonstationary yet nonexplosive GARCH models with application to energy prices
  C016:  H. Raissi
  Testing linear causality in mean in presence of other forms of causality
  C129:  F. Jouneau-Sion, S. Auray, A. Eyquem
  Extremal behaviour of aggregated economic processes in a structural growth model
  C204:  A. Rodriguez, E. Ruiz
  Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
  C128:  L. Bauwens, J. Rombouts
  On marginal likelihood computation in change-point models
Session CS18 Room: 8
Stochastic optimization in finance Thursday 29.10.2009   14:00 - 16:00
Chair: Daniel Kuhn Organizer: Daniel Kuhn
  C102:  A. Onwunta, P. Winker, M. Lyra
  Threshold accepting for credit risk assessment
  C115:  D. Bampou, D. Kuhn
  Decision rule approximations for continuous linear programming
  C134:  R. Ferstl, A. Weissensteiner
  Asset-liability management under time-varying investment opportunities
  C207:  A. Georghiou, D. Kuhn, W. Wiesemann
  Decision rule approximations for index tracking
  C356:  R. Hochreiter
  Multi-stage stochastic pension fund management
Session CS29 Room: 9
MIDAS Thursday 29.10.2009   14:00 - 16:00
Chair: Andreas Savvides Organizer: Peter Zadrozny and Eric Ghysels
  C071:  V. Kuzin, C. Schumacher, M. Marcellino
  Pooling versus model selection for nowcasting with many predictors: an application to German GDP
  C097:  A. Kourtellos, E. Andreou, E. Ghysels
  Forecasting inflation and economic activity using high frequency financial data
  C195:  A. Galvao
  Changes in Predictive Ability with Mixed Frequency Data
  C235:  C. Frale, L. Monteforte
  Forecasting with mixed frequency factor models and MIDAS structure
  C367:  G. Moretti
  Stock market volatility and the business cycle: a multi factor approach
Session CS32 Room: 7
Forecasting, heavy tails and non-standard inference 1 Thursday 29.10.2009   14:00 - 16:00
Chair: Lynda Khalaf Organizer: Lynda Khalaf
  C092:  S. Blais
  Forecasting with weakly identified linear state-space models
  C326:  P. Valery
  A quasi-likelihood approach based on eigenfunctions for a bounded-valued Jacobi process with an application
  C228:  C. Miani
  A non-parametric model-based approach to uncertainty and risk analysis of macroeconomic forecasts.
  C109:  B. Chu, M. Voia
  Modeling the contemporaneous duration dependence for high-frequency stock prices using joint duration models
  C093:  L. Khalaf, J. Bernard, M. Kichian, S. McMahon
  Oil prices: heavy tails, mean reversion and the convenience yield
Parallel session D Thursday, 29.10.2009 16:30 - 18:50

Session ES10 Room: 7
Time series modelling and computation 2 Thursday 29.10.2009   16:30 - 18:50
Chair: Roland Fried Organizer: Konstantinos Fokianos and Roland Fried
  E040:  T. Sapatinas, A. Antoniadis, E. Paparoditis
  Bandwidth selection for functional time series prediction
  E026:  D. Koizumi, T. Matsushima, S. Hirasawa
  On the hyperparameter estimation of time varying Poisson model for Bayesian WWW traffic forecasting
  E041:  R. Langrock, W. Zucchini
  Representing hidden semi-Markov models as hidden Markov models
  E135:  H. Skaug, J. Yu, D. Fournier
  Automated likelihood based inference for stochastic volatility models using AD model builder
  E164:  P. Exterkate, P. Groenen
  Macroeconomic forecasting with leading indicators: Penalized nonlinear regression using kernels/td>
  C036:  R. Jung, A. Tremayne
  Estimation and validation in count time series models
Session ES14 Room: 5
Generalized mixed models Thursday 29.10.2009   16:30 - 18:50
Chair: Heather Turner Organizer: Heather Turner
  E050:  K. Anaya-Izquierdo, C. Frank, M. Paul, V. Paul
  On the geometry of generalised linear mixed models
  E080:  S. Litiere, A. Alonso, G. Molenberghs
  Testing for misspecification in generalized linear mixed models: a SAS macro
  E185:  G. Papageorgiou, J. Hinde
  Flexible random effects in ordinal regression models
  E209:  J. Hinde, S. de Freitas, M. Martinez, C. Demetrio
  Random Effects in Cumulative Mortality Models
  E142:  M. Cattelan, C. Varin
  A model for correlated paired comparison data
  E144:  H. Turner, D. Firth
  Mixed Bradley-Terry models
Session ES15 Room: 6
Robust analysis of complex data sets 2 Thursday 29.10.2009   16:30 - 18:50
Chair: Andreas Christmann Organizer: Andreas Christmann
  E104:  G. Boente, D. Rodriguez
  Robust inference in semiparametric models
  E202:  H. Oja, K. Norhausen
  Multivariate statistical methods based on spatial signs and ranks
  E219:  A. Ruiz-Gazen, M. Genton
  Plots for the detection of influential observations in dependent data
  E006:  H. Rieder
  Robust estimation for time series models based on infinitesimal neighborhoods about transition probabilities.
  E121:  A. Van Messem, A. Christmann
  On consistency and robustness properties of support vector machines for heavy-tailed distributions
  E007:  A. Christmann
  On recent results for support vector machines
Session ES18 Room: 9
Bioinformatics Thursday 29.10.2009   16:30 - 18:50
Chair: Kostas Triantafyllopoulos Organizer: Kostas Triantafyllopoulos
  E054:  V. Promponas, I. Kirmitzoglou
  Sequence database search with compositionally biased amino acid sequences
  E222:  G. Montana, M. Berk
  A mixed effects model for differential expression analysis in longitudinal designs
  E136:  D. De Canditiis, C. Angelini, M. Pensky
  Clustering of time-course gene expression data using a Bayesian infinite mixture model based approach
  E189:  S. Arima, L. Tardella
  An alternative marginal likelihood estimator for phylogenetic models
  E205:  D. Yu, K. Kim, J. Lim, J. Won
  Estimation of Gaussian graphical model with partially known graph information
  E030:  P. Matzioros, J. Goulionis
  Stochastic models to educational and psychological measurements
Session ES20 Room: 4
Sparseness and functional data Thursday 29.10.2009   16:30 - 18:50
Chair: Wenceslao Gonzalez Manteiga Organizer: F. Ferraty, P. Vieu and W. Gonzalez Manteiga
  E101:  P. Li, J. Chiou
  Cluster number choice in functional data clustering
  E169:  A. Aguilera, F. Ocana, M. Valderrama
  Model selection and wavelet approximation in functional principal component regression with functional response
  E226:  P. Sarda, A. Kneip
  Regression analysis when the regressors are highly correlated
  E225:  P. Vieu, F. Ferraty, P. Hall
  How to select design points for prediction with functional data predictors
  E206:  M. Garcia-Magarinos, A. Antoniadis, R. Cao, W. Gonzalez-Manteiga
  Some results on lasso logistic regression: application to gene expression data
Session ES25 Room: 3
Statistics with fuzzy or incomplete data: computational aspects Thursday 29.10.2009   16:30 - 18:50
Chair: Wolfgang Trutschnig Organizer: Wolfgang Trutschnig
  E093:  J. Nielsen, A. Salmeron
  Induction of conditional Gaussian probabilistic decision graphs from incomplete data
  E092:  M. Last, Y. Mendelson, S. Chakrabarty, K. Batra
  Early warning from car warranty data using fuzzy statistics
  E124:  P. Filzmoser, H. Fritz, K. Hron, M. Templ
  The estimation of missing data in presence of outliers: computational aspects
  E045:  M. Templ, A. Kowarik, P. Filzmoser
  Iterative robust model-based Imputation of complex data
  E088:  W. Trutschnig, A. Lubiano
  SAFD An R-package for statistical analysis of fuzzy data
  E089:  A. Lubiano, W. Trutschnig, G. Gonzalez-Rodriguez
  Approaches to hypothesis testing and regression estimation for fuzzy random variables using the R-package SAFD
Session CS34 Room: 8
Computational econometrics and applications Thursday 29.10.2009   16:30 - 18:50
Chair: Tommaso Proietti Organizer: Tommaso Proietti and Andrea Silvestrini
  C121:  F. Moauro
  SUTSE models: non linear temporal disaggregation and the EM algorithm
  C206:  A. Silvestrini, G. Sbrana
  Comparing aggregate and disaggregate forecasts of contemporaneously aggregated vector MA processes
  C038:  J. Murteira, E. Ramalho
  Alternative estimating and testing empirical strategies for fractional regression models
  C273:  Z. Sandor
  Monte Carlo simulation of discrete choice models involving large sums
  C340:  B. Madurkayova
  Detection of changes in parameters of linear regression models based on ratio type test statistics
  C199:  R. Ruggeri Cannata, C. Frale, M. Marcellino, T. Proietti, G. Mazzi
  New EuroMInd: a monthly indicator of gross domestic product for the euro area and its member countries
Session CS48 Room: 10
Forecasting and applied econometrics Thursday 29.10.2009   16:30 - 18:50
Chair: Christian Francq Organizer: Christian Francq
  C184:  R. Chumacero
  Discerning the importance of new information
  C279:  E. Pavlidis, I. Paya, D. Peel
  Forecasting the behavior of the real exchange rate using long spans of data
  C301:  F. Nan, S. Bordignon, D. Bunn, F. Lisi
  Forecasting spot electricity prices through combination of forecasts
  C310:  N. Pavlidis, E. Pavlidis, D. Tasoulis, N. Adams, D. Hand
  Population drift and forecasting in the foreign exchange market
  C210:  H. Nishioka, F. Toriumi, K. Ishii
  Proposal for market similarity evaluation method using stock board
  C208:  E. Zafeiriou, T. Koutroumanidis, S. Sofios
  Asymmetry in price transmission mechanism between consumer and producer prices in European agricultural markets
Session CS49 Room: 2
Financial markets 1 Thursday 29.10.2009   16:30 - 18:50
Chair: Elena Kalotychou Organizer: Elena Kalotychou
  C067:  A. Naess, E. Aukrust
  Pricing of discretely monitored exotic options under NIG dynamics
  C242:  Y. Yatracos
  Modelling stock price returns and pricing a European option with Le Cam's statistical experiments
  C308:  A. Milionis
  Some methodological issues related to the estimation of systematic risk with reference to the Athens Stock Exchange
  C068:  M. Arghyrou, A. Gregoriou, P. Pourpourides
  A new solution to the purchasing power parity puzzles: risk-aversion, exchange rate uncertainty and the law of one price
  C239:  A. Czapkiewicz, B. Basiura
  The clustering financial time series in applications for main market Stocks returns
  C298:  J. Romo, E. Ruiz, K. Alva
  Modelling intra-daily volatility by functional data analysis: an empirical application to the Spanish stock market
Parallel session E Friday 30.10.2009 08:30 - 10:30

Session ES02 Room: 7
Optimization heuristics in estimation and modelling Friday 30.10.2009   08:30 - 10:30
Chair: Sandra Paterlini Organizer: Sandra Paterlini and Peter Winker
  E079:  C. Sharpe, D. Lin, P. Winker
  Optimised U-type designs on flexible regions
  E091:  P. Goos, J. Yu, M. Vandebroek
  Sampling schemes for approximating integrals in the efficient design of stated choice experiments
  E078:  P. Winker, D. Lin
  Robust uniform design
  E163:  D. Woods, C. Marley
  A comparison of design and analysis methods for supersaturated experiments
  E196:  M. Chiarandini
  Regression trees for the visualization of results in optimization heuristic design
Session ES08 Room: 3
Fuzzy sets in regression and correlation problems Friday 30.10.2009   08:30 - 10:30
Chair: M. Angeles Gil Organizer: Ana Colubi and Didier Dubois
  E129:  B. Sinova, A. Colubi, M. Gil
  Sensitivity analysis in estimating linear regression between interval data
  E107:  M. Serrurier, H. Prade
  Making regression imprecise for providing a better representation of precise data
  E108:  M. Ruiz, E. Hüllermeier
  A formal and empirical analysis of the fuzzy Gamma rank correlation coefficient
  E118:  A. Blanco, N. Corral, A. Colubi
  Integration of different slopes for mids and spreads in an interval-arithmetic regression model for random intervals
  E180:  D. Dubois, K. Loquin
  Kriging and epistemic uncertainty : discussion and developments
Session ES22 Room: 5
Model selection and volatility models in time series Friday 30.10.2009   08:30 - 10:30
Chair: Jean-Michel Zakoian Organizer: Jean-Michel Zakoian
  E013:  C. Francq, L. Horvath, J. Zakoian
  Merits and drawbacks of variance targeting in GARCH models
  E077:  L. Truquet
  Quasi maximum likelihood estimation and linear ARCH processes
  E004:  P. Alquier, O. Wintenberger
  Model selection and randomization for weakly dependent time series forecasting
  E005:  F. Violante, S. Laurent, J. Rombouts
  Consistent ranking of multivariate volatility models
  E116:  A. Monsalve Cobis, W. Gonzalez Manteiga, M. Febrero Bande
  Goodness of fit test for interest rate models: an approach based on empirical process
Session ES27 Room: 2
Statistical signal extraction and filtering 2 Friday 30.10.2009   08:30 - 10:30
Chair: Tommaso Proietti Organizer: D.S.G. Pollock, Tommaso Proietti and Esther Ruiz
  E014:  P. Ruckdeschel
  Robustness issues in Kalman filtering revisited
  E062:  O. Strauss, A. Rico
  Towards an interval based deconvolution in signal processing
  E148:  S. Grassi, B. Jungbacker, S. Koopman
  Global, regional and country factors for the world economy: a dynamic factor approach
  E172:  C. Mastromarco, U. Woitek
  A State Space Approach to Productivity and Efficiency Measurement: The Italian Economy, 1950-2003
  E214:  F. Konecny
  Inference for hidden Markov diffusions with applications to rainfall-runoff models
Session ES28 Room: 1
Small area estimation 1 Friday 30.10.2009   08:30 - 10:30
Chair: Isabel Molina Organizer: Domingo Morales and Isabel Molina
  E109:  R. Ohinata, S. Sperlich
  A survey of mixed model extensions
  E126:  M. Pratesi, N. Tzavidis, C. Giusti, N. Salvati
  Resistance to outliers of M-quantile and robust random effect small area estimation models
  E159:  T. Hobza, D. Morales
  Application of model with random regression coefficient to small area estimation
  E009:  G. Silva, C. Dean
  Bayesian overdispersed models with smoothing splines for spatial age-specific data
  E042:  E. Ceyhan
  Some nearest neighbor methods for detection of disease clustering
Session ES37 Room: 9
Computational statistics 2 Friday 30.10.2009   08:30 - 10:30
Chair: Cristian Gatu Organizer: Erricos John Kontoghiorghes
  E216:  S. Dossoue-Gbete, A. Sawadogo
  MM-algorithms and MCMC methods in maximum likelihood estimation for Mallows-Bradley-Terry models
  E183:  I. Phinikettos, A. Gandy
  A new method for the fast computation of high dimensional multivariate normal probabilities
  E127:  K. Domijan, S. Wilson
  Bayesian kernel projections for classification of high dimensional data
  E095:  I. Rodrigues
  A survey of robust methods under common principal components
  E067:  J. Godolphin
  A new approach to determining estimability and connectivity in m-way designs
Session ES43 Room: 10
Computational econometrics and financial time series Friday 30.10.2009   08:30 - 10:30
Chair: Alessandra Amendola Organizer: Peter Winker
  E162:  H. Ding, K. Lam
  Maximum likelihood and generalized method of moments for vector multiplicative error model
  E181:  M. Ausin, R. Lillo, M. Wiper
  Bayesian estimation of finite time ruin probabilities
  E065:  V. Lagoo
  Using Benford's Law to identify tax-at-risk with the taxpayers
  E074:  J. Dai, S. Sperlich
  Effective boundary correction in kernel density estimation and regression
  E090:  M. Gomes, F. Figueiredo
  A quasi-PORT methodology for VaR based on second-order reduced-bias estimation
Session CS17 Room: 8
Time series financial econometrics 1 Friday 30.10.2009   08:30 - 10:30
Chair: Ana-Maria Fuertes Organizer: Ana-Maria Fuertes
  C083:  P. Boswijk, R. van der Weide
  Method of moments estimation of GO-GARCH models
  C103:  H. Eratalay, M. Carnero
  Estimating VAR-MGARCH models in multiple steps
  C255:  A. Canepa
  Robust Bartlett Adjustment for hypotheses testing on cointegrating vectors: a bootstrap approach
  C269:  I. Negri, Y. Nishiyama
  Goodness of fit test for discretely observed diffusion processes
  C350:  R. Baillie
  Methods for modeling nonlinear time series with long memory: theory and financial applications
Session CS45 Room: 4
Quantitative risk management 3 Friday 30.10.2009   08:30 - 10:30
Chair: Marc Paolella Organizer: Marc Paolella
  C035:  U. Pigorsch, W. Haerdle, C. Ying
  Localized realized volatility modelling
  C085:  C. Pigorsch, R. Stelzer
  A multivariate generalization of the Ornstein-Uhlenbeck stochastic volatility model
  C049:  M. Bonato
  Estimating the degrees of freedom of the realized volatility Wishart autoregressive model
  C299:  R. Brownrigg, E. Khmaladze
  Strange facts about the marginal distributions of processes based on the Ornstein-Uhlenbeck process
  C368:  S. Prohl
  Recursive-design wild bootstrap trace test
Session CS56 Room: 6
Copula methods in time series analysis 1 Friday 30.10.2009   08:30 - 10:30
Chair: Alessandra Luati Organizer: Alessandra Luati
  C070:  M. Ruppert, S. Gaisser, F. Schmid
  A multivariate version of Hoeffding's Phi-Square
  C072:  G. Weiss
  On the robustness of goodness-of-fit tests for copulas
  C294:  E. Pliota, W. Ng
  Dynamic Asymmetric Tail Dependence: Evidence on the German Stock Market
  C320:  R. Doman
  Applying dynamic copulas to modelling interdependencies in global financial market during financial crises
  C357:  J. Witzany
  Estimating LGD correlation
Parallel session G Friday 30.10.2009 11:50 - 13:00

Session ES07 Room: 4
Small area estimation 2 Friday 30.10.2009   11:50 - 13:00
Chair: Domingo Morales Organizer: Domingo Morales and Isabel Molina
  E094:  A. Militino, M. Ugarte, T. Goicoa
  Small area estimation using P-spline models
  E130:  G. Claeskens
  Goodness-of-fit tests for small area estimation models
  E182:  I. Molina, B. Perez, D. Pena
  Robust variance components in the nested-error model
Session ES12 Room: 6
Robust functional data analysis Friday 30.10.2009   11:50 - 13:00
Chair: Matias Salibian-Barrera Organizer: Matias Salibian-Barrera
  E161:  L. Wang, N. Heckman, M. Salibian-Barrera
  Robust functional principal components analysis for skewed distributions and its application to outlier detection
  E211:  Y. Wei, S. Lopez-Pintado
  Ordering sparse functional data
  E113:  J.L. Bali, Graciela Boente, David Tyler, Jane-Ling Wang
  Robust methods for functional principal components
Session ES35 Room: 3
Uncertainty modelling for data analysis and data mining Friday 30.10.2009   11:50 - 13:00
Chair: Jonathan Lawry Organizer: Jonathan Lawry
  E187:  F. Diaz, A. Bugarin
  Summarizing time series with probabilistic fuzzy quantifiers
  E186:  I. Gonzalez-Rodriguez, J. Lawry
  Linguistic prototypes for data description and classification
  E207:  J. Lawry, Y. Tang
  Semantic cells: a random set and prototype theory interpretation of linguistic labels in rule-based systems
Session ES36 Room: 7
Time series modelling and computation 3 Friday 30.10.2009   11:50 - 13:00
Chair: Roland Fried Organizer: Konstantinos Fokianos and Roland Fried
  E149:  P. Vidoni, F. Giummole
  Improved prediction limits for a general class of Gaussian models
  E193:  J. Franke, J. Stockis, J. Tadjuidje
  Nonparametric time series with sudden changes in structure
  E166:  P. Galeano, R. Tsay
  Shifts in individual parameters of a GARCH model
Session CS07 Room: 10
Multivariate multiplicative models and related distributions Friday 30.10.2009   11:50 - 13:00
Chair: David Veredas Organizer: David Veredas
  C192:  S. Laurent, K. Boudt, J. Danielsson
  Robust estimation of CCC and DCC GARCH models
  C189:  A. Monti
  Flexible models obtained by perturbation of symmetric densities
  C046:  D. Veredas, M. Barigozzi, C. Brownlees, G. Gallo
  Common long-run volatility. A seminonparametric multivariate MEM
Session CS14 Room: 8
Copula methods in time series analysis 2 Friday 30.10.2009   11:50 - 13:00
Chair: Alessandra Luati Organizer: Alessandra Luati
  C167:  O. Sokolinskiy, D. van Dijk
  Forecasting realized volatility with a Copula-based time series model
  C196:  A. Nikoloulopoulos, H. Joe, H. Li
  Vine copulas with asymmetric tail dependence and applications to financial return data
  C221:  D. Fantazzini
  The effects of misspecified frequency, severity and dependence function modelling on operational risk measures
Session CS31 Room: 1
Verifying asymptotic approximations by simulation Friday 30.10.2009   11:50 - 13:00
Chair: Jan Kiviet Organizer: Jan Kiviet
  C062:  G. Phillips, J. Kiviet
  Improved variance estimation of coefficients in stable first-order dynamic regression models
  C017:  D. Kyriakopoulou, A. Demos
  Edgeworth expansions of the QMLEs in the EGARCH(1,1) model
  C030:  J. Kiviet, J. Niemczyk
  Comparing the asymptotic and empirical (un)conditional densities of OLS and IV in a simultaneous equation
Session CS41 Room: 9
Operational Risk Friday 30.10.2009   11:50 - 13:00
Chair: Stefan Mittnik Organizer: Stefan Mittnik
  C309:  T. Yener, S. Mittnik, S. Paterlini
  Estimation of operational risk: dependence and robustness
  C343:  S. Mittnik, B. Ergashev, E. Sekeris
  A Bayesian approach to extreme value estimation in operational risk
Session CS54 Room: 2
Inference from robust estimators Friday 30.10.2009   11:50 - 13:00
Chair: Davide Ferrari Organizer: Sandra Paterlini
  C341:  J. Dienstbier
  Tail modelling in linear models by quantile regression
  C161:  D. La Vecchia, E. Ronchetti, F. Trojani
  Higher-order robustness
  C259:  D. Ferrari, D. La Vecchia
  A fully parametric approach to minimum power-divergence estimation
Session CS69 Room: 5
Financial markets 2 Friday 30.10.2009   11:50 - 13:00
Chair: Elena Kalotychou Organizer: Elena Kalotychou
  C082:  P. Molyneux
  The persistence of bank profits
  C369:  S. Westgaard, P. Solliebakke, E. Haugom, G. Lien
  Modelling realized volatility, bipower variance and jumps in energy futures
  C200:  W. Liu, A. Fuertes, E. Kalotychou
  The economic value of realized covariance for market timing
Parallel session H Friday 30.10.2009 14:30 - 16:10

Session ES16 Room: 7
Time series modelling and computation 4 Friday 30.10.2009   14:30 - 16:10
Chair: Konstantinos Fokianos Organizer: Konstantinos Fokianos and Roland Fried
  E133:  E. Paparoditis
  Frequency domain tests in multivariate time series
  E035:  C. Kirch, D. Politis
  TFT-Bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
  E019:  K. Triantafyllopoulos
  Inference of multivariate dynamic generalized linear models
  E170:  R. Fried, U. Gather, H. Dehling
  On robust change-point detection in time series
Session ES31 Room: 3
Foundations for fuzzy statistical analysis Friday 30.10.2009   14:30 - 16:10
Chair: Didier Dubois Organizer: Ana Colubi and Didier Dubois
  E051:  M. Yudaeva, N. Hovanov, D. Kolesov
  A fuzzy sets membership function computation under uncertainty
  E072:  T. Denoeux, D. Dubois
  Statistical inference using belief functions: a reappraisal of the General Bayes Theorem
  E208:  S. Das
  Impact of fuzziness in measurement scale on basic statistical inference
  E197:  J. van den Berg
  Further exploring statistical fuzzy entropy
  E227:  L. Stefanini
  A smoothing procedure based on fuzzy F-transform
Session CS02 Room: 8
Performance evaluation Friday 30.10.2009   14:30 - 16:10
Chair: Dominique Guegan Organizer: Monica Billio
  C048:  S. Darolles, C. Gourieroux, J. Teiletche
  Heterogeneity in hedge funds performance persistence
  C045:  M. Billio, M. Caporin
  Backward/Forward optimal combination of performance measures
  C059:  D. Franceschi, F. Lisi
  A Monte Carlo test for raters agreement with applications to mutual funds
  C041:  L. Cales, M. Billio, D. Guegan
  Performance of long/short equally weighted portfolios
Session CS13 Room: 5
Econometric validation of agent-based models Friday 30.10.2009   14:30 - 16:10
Chair: Thomas Lux Organizer: Thomas Lux
  C240:  E. Dugundji, L. Gulyas
  Socio-dynamic discrete choice: an agent-based approach and issues in estimation
  C321:  B. Torma, L. Gerencser
  Economic interpretation of GARCH models: an agent-based simulation study
  C345:  J. Domenech, S. Alfarano, E. Camacho
  How bounded is subjects' rationality in a simple experiment
Session CS15 Room: 9
Growth econometrics Friday 30.10.2009   14:30 - 16:10
Chair: Martin Wagner Organizer: Martin Wagner
  C249:  M. Binder, J. Mutl, M. Pesaran
  Estimation of higher-order panel vector autoregressions with finite time dimension
  C339:  M. Battisti, G. Arbia, G. Di Vaio
  On the heterogeneity of regional growth patterns across Europe: A spatial mixture model
  C076:  M. Jarocinski
  Shrinking cross-country growth regressions
  C061:  M. Wagner, U. Schneider
  Catching Growth Determinants with the Adaptive LASSO
Session CS20 Room: 2
Time series analysis Friday 30.10.2009   14:30 - 16:10
Chair: Richard Gerlach Organizer: Cathy W. S. Che
  C107:  H. Wong, J. Zhao, N. Chan
  A structural model for credit migration
  C274:  A. Halunga, D. Osborn, M. Sensier
  Testing for a change in the order of integration of G7 and Euro area inflation
  C231:  H. Tsai, R. Tsai
  Doubly constrained factor models: estimation and applications
  C088:  W. Chan, A. Ng, J. Li
  Modelling investment guarantees in Japan: A risk-neutral GARCH approach
Session CS23 Room: 10
Regime switching GARCH models Friday 30.10.2009   14:30 - 16:10
Chair: Leopold Soegner Organizer: Leopold Soegner
  C042:  M. Haas, J. Liu
  Asymmetric multivariate Markov-switching GARCH: structural properties and applications
  C276:  P. Charlot
  A dynamic conditional correlation model with factorial hidden Markov representation
  C361:  J. Sass, S. Fruehwirth-Schnatter, M. Hahn
  Estimation of continuous time Markov switching models
  C100:  L. Soegner, C. Haefke
  Risk analysis and mixture modelling
Session CS36 Room: 6
Robust methods in econometrics Friday 30.10.2009   14:30 - 16:10
Chair: Christophe Croux Organizer: Christophe Croux
  C139:  V. Czellar, E. Ronchetti
  Accurate and robust tests for indirect inference
  C152:  K. Boudt, T. Ghys, S. Laurent
  Testing the contribution of jumps to total price variance: A review and a new test
  C163:  D. Tuerk, K. Boudt, S. Laurent
  A robust approach to the analysis and forecasting of electricity prices and volatility
  C205:  P. Janus, C. Bos, S. Koopman
  Spot variance estimation and its application to high frequency jump testing
Session CS61 Room: 4
Computational econometrics: estimation and testing Friday 30.10.2009   14:30 - 16:10
Chair: Achim Zeileis Organizer: Herman K. Van Dijk and E.J. Kontoghiorghes
  C246:  J. Lansangan, E. Barrios
  Sparse principal component regression
  C283:  I. Demetriou
  A test for m order polynomial versus (m+1) convex regression
  C243:  B. Robertson, C. Price, M. Reale
  Nonsmooth optimization using classification and regression trees
  C305:  A. Zeileis
  Model-Based regression trees in economics and the social sciences
Session CS63 Room: 1
Stochastic volatility models Friday 30.10.2009   14:30 - 16:10
Chair: Yasuhiro Omori Organizer: Yasuhiro Omori
  C217:  J. Neddermeyer, R. Dahlhaus
  Online estimation of time-varying volatility and co-volatility for tick-by-tick data: a Bayesian approach
  C258:  H. Nishino, T. Oga, K. Kakamu
  Estimation of dynamics for Income inequality by stochastic volatility model
  C227:  F. Yang, N. Hautsch
  Bayesian forecasting using an extended Nelson-Siegel model
  C060:  Y. Omori, J. Nakajima
  Stochastic volatility model with asymmetric heavy-tailed error using GH skew Student's t distribution
Parallel session I Friday 30.10.2009 16:40 - 18:40

Session CS04 Room: 3
Computational panel econometrics Friday 30.10.2009   16:40 - 18:40
Chair: Jan Kiviet Organizer: Jan Kiviet
  C090:  E. Tzavalis
  Structural breaks and unit root tests for short panels
  C180:  M. Creel
  A Monte Carlo estimator for simulable models
  C063:  I. Savin, P. Winker
  Heuristic optimization methods for dynamic panel data model selection
  C251:  M. Hosseinkouchack, M. Binder, F. Hoffmann
  Maximum likelihood estimation of random coefficient panel data models
Session CS08 Room: 8
Econometric methods in derivatives applications Friday 30.10.2009   16:40 - 18:40
Chair: Panayiotis Andreou Organizer: Panayiotis Andreou
  C009:  D. Dionysiou, L. Trigeorgis, A. Charitou, N. Lambertides
  An alternative model to forecast default based on Black-Scholes-Merton model and a liquidity proxy
  C020:  N. Koussis, S. Martzoukos, L. Trigeorgis
  Multistage product development with value-enhancing and pre-emptive options
  C022:  L. Rompolis
  A new method of employing the principle of maximum entropy to retrieve the risk neutral density
  C075:  K. Bernoth, J. von Hagen, C. de Vries
  The forward premium puzzle and unobserved factors day by day
  C054:  P. Andreou, C. Charalambous, S. Martzoukos
  Options pricing via statistical learning techniques: The support vector regression approach
Session CS21 Room: 4
Energy and financial econometrics Friday 30.10.2009   16:40 - 18:40
Chair: Frederique Bec Organizer: Arco van Oord and Herman K. Van Dijk
  C319:  D. Ciferri, C. Bollino, P. Polinori
  Contagion in electricity markets
  C089:  C. Zhou, F. Ravazzolo, C. Huurman
  The power of weather
  C188:  E. Hoeg, L. Tsiaras
  Density forecasts of crude-oil prices using option-implied and ARCH-type models
  C286:  A. Van Oord, L. Hoogerheide, H. Van Dijk
  Bayesian analysis of time-varying integration in energy markets
  C027:  F. Bec, C. Gollier
  Term structure and cyclicality of Value-at-Risk: consequences for the solvency capital requirement
Session CS22 Room: 2
Financial econometrics: forecasting and dynamics Friday 30.10.2009   16:40 - 18:40
Chair: Giampiero Gallo Organizer: Arco van Oord and Herman K. Van Dijk
  C101:  M. Scholz, S. Sperlich
  Prediction of stock returns with nonparametrically generated bond yields
  C149:  J. Reboredo, J. Matias
  Forecasting performance of nonlinear models for intraday stock returns
  C084:  M. Willner
  Forecasting stock market returns along financial cycles
  C007:  B. Kang, C. Chiarella, L. Clewlow
  Modelling and estimating the forward price curve in the energy market
  C263:  A. Amendola, G. Storti
  A moment based approach to the combination of volatility forecasts
Session CS25 Room: 9
Financial modelling and applications Friday 30.10.2009   16:40 - 18:40
Chair: Hyunchul Lee Organizer: Jerry Coakley
  C178:  K. Kyriacou, B. Mase, K. Luintel
  The information contained in the trades associated with the exercise of executive stock options
  C261:  A. Golinski, P. Zaffaroni
  Affine term structure model with ARFIMA factors
  C086:  J. Healy
  Tests of recent advances in extracting information from option prices
  C032:  D. Phamhi
  The finance of fraud-computational model of unauthorized trading repression
  C335:  M. Smid
  Econometric evidence from the continuous double auction
  C044:  H. Lee, J. Coakley, A. Cipollini
  The time-varying European government bond markets integration and fiscal policy: The role of EMU
Session CS33 Room: 6
Financial and economic volatility Friday 30.10.2009   16:40 - 18:40
Chair: Gianluca Moretti Organizer: Peter Zadrozny
  C131:  D. Reiswich, R. Tompkins
  Potential PCA interpretation problems for volatility smile dynamics
  C164:  A. Palandri
  The effects of Interest rate movements on assets' conditional second moments
  C198:  A. Raknerud, O. Skare
  Indirect inference in non-Gaussian stochastic volatility models for exchange rate data
  C215:  R. Nekhili, N. Muhammad
  Volatility spillovers among the Gulf Arab emerging markets
  C317:  M. Gallegati
  An alternative approach to test for financial market contagion
  C155:  M. Mazzucato, M. Tancioni
  Stock return volatility and radical Innovation: the case of pharma
Session CS37 Room: 10
Computational econometrics Friday 30.10.2009   16:40 - 18:40
Chair: Paolo Foschi Organizer: Herman K. Van Dijk and Erricos John Kontoghiorghes
  C230:  A. Staszewska-Bystrova
  Bootstrap confidence bands for forecast paths
  C344:  R. Ouysse
  Fast Iterated double bootstrap bias correction
  C213:  F. Crudu, F. Crudu
  Efficient bootstrap with weakly dependent processes
  C277:  N. Ahlgren
  The power of bootstrap tests of cointegration rank with financial time series
  C233:  M. Gerolimetto, C. Pizzi, I. Procidano
  Further developments on unit root tests
Session CS50 Room: 5
Economic and financial time series analysis Friday 30.10.2009   16:40 - 18:40
Chair: Frederic Jouneau-Sion Organizer: Christian Francq
  C151:  G. Moura, D. DeJong, H. Dharmarajan, R. Liesenfeld, J. Richard
  Efficient likelihood evaluation of state-space representations
  C165:  M. Bolla
  Dynamic factors of economic data
  C172:  C. Ntantamis
  A complete procedure for estimating hidden Markov models with application in locating structural breaks
  C234:  V. Bystrov, F. Battaglia, A. di Salvatore
  Structural breaks and the rank of the spectral density matrix
  C364:  K. Giannopoulos, R. Nekhili
  A market risk model for asymmetric distributed risk factors
Session CS66 Room: 7
Time series financial econometrics 2 Friday 30.10.2009   16:40 - 18:40
Chair: Ana-Maria Fuertes Organizer: Ana-Maria Fuertes
  C146:  K. Lam
  Minimum-variance autoregressive prediction of nonstationary random walk
  C219:  Y. Peng, S. Markose
  FTSE-100 volatility index (V-FTSE) and volatility risk premium
  C323:  C. Sattarhoff
  Statistical Inference for the Multifractal Random Walk Model
  C218:  F. Fei, A. Fuertes, E. Kalotychou
  Credit rating migration in the presence of business cycles
  C113:  A. Audzeyeva, K. Schenk-Hoppe
  The role of country, regional and global market risks in the dynamics of Latin American yield spreads
Parallel session J Saturday 31.10.2009 08:45 - 10:20

Session ES04 Room: 9
Latent variable and structural equation models Saturday 31.10.2009   08:45 - 10:20
Chair: Gil Gonzalez-Rodriguez Organizer: Irini Moustaki
  E053:  J. Jaenicke
  Critical values for testing an endogenous dummy variable in a bivariate probit model
  E106:  J. Wilde
  Weak identification in probit models
  E158:  R. Bellio, M. Battauz
  Structural analysis of linear mixed models with measurement error
  E215:  P. Valentini, M. Coli, L. Fontanella, L. Ippoliti
  Dynamic structural equation model for spatial lattice data
Session ES13 Room: 10
Model visualization and interpretation Saturday 31.10.2009   08:45 - 10:20
Chair: Heather Turner Organizer: Heather Turner
  E044:  C. Hurley, R. Oldford
  Model visualisation and exploration as graph traversal
  E175:  I. Kosmidis
  Profiling the parameters of models with linear predictors
  E157:  D. Firth
  Extended quasi-variances
Session ES29 Room: 3
Fuzzy statistical analysis 1 Saturday 31.10.2009   08:45 - 10:20
Chair: Giulianella Coletti Organizer: Giulianella Coletti
  E046:  A. Capotorti, E. Barbanera
  Credit scoring analysis by a partial probabilistic rough set model
  E083:  G. Coletti, B. Bouchon-Meunier, M. Lesot, M. Rifqi
  Fuzzy similarity in statistical analysis: choosing a measure on the basis of a qualitative point of view
  E081:  O. Gervasi, S. Tasso, G. Donati
  A generalized Bayesian inference in building a female avatar starting from crisp and fuzzy information
  E068:  B. Vantaggi, G. Coletti
  Generalized Bayesian inference in a fuzzy context
Session ES39 Room: 6
Robust analysis of complex data sets 3 Saturday 31.10.2009   08:45 - 10:20
Chair: Stefan Van Aelst Organizer: Stefan Van Aelst
  E203:  P. Brutti
  Diffusion driven empirical Bayes estimation of high-dimensional normal means vectors
  E174:  J. Gertheiss, G. Tutz
  Clustering of categories in multiple regression with categorical predictors
  E128:  E. Schumann, M. Gilli
  Robust regression with optimisation heuristics
  E177:  M. Salibian-Barrera, L. Wang, N. Heckman
  Robust smoothing with asymmetrically distributed errors, with applications to functional data analysis
Session CS28 Room: 7
Conditional models of return and risk Saturday 31.10.2009   08:45 - 10:20
Chair: Giovanni Barone-Adesi Organizer: Giovanni Barone-Adesi
  C099:  G. Corvasce, G. Barone-Adesi
  The time-varying prediction of successful mergers
  C105:  R. Giacometti, M. Vespucci, M. Bertocchi, G. Barone Adesi
  A stochastic model for hedging electricity portfolio for an hydro-energy producer
  C123:  A. Mira, R. Solgi, G. Barone-Adesi
  A time-additive regime switching volatility model
  C373:  C. Charalambous
  Quantitative ambiguity models on the space of measures and utility optimization
Session CS42 Room: 4
Modelling financial time series Saturday 31.10.2009   08:45 - 10:20
Chair: Paolo Foschi Organizer: Alessandra Amendola and Erricos John Kontoghiorghes
  C216:  N. Ferreira, R. Menezes, D. Mendes
  Regime-Switching Modelling of Globalization Analysis in International Stock Markets
  C226:  D. Panayiotis
  Estimation of a stock market return function with significant ARCH effects.
  C169:  S. Anyfantaki, A. Demos
  Estimation of a time-varying GQARCH-M Model
  C130:  S. Steude, J. Krause, M. Paolella, M. Haas
  Analyzing and exploiting asymmetries in the news impact curve
Session CS44 Room: 8
Asset prices and macroeconomics Saturday 31.10.2009   08:45 - 10:20
Chair: Willi Semmler Organizer: Willi Semmler
  C008:  J. Morrison
  Credit economic capital and high performance predictive analytics
  C303:  V. Vaidyanathan, D. Mantilla-Garcia
  Structural change detection and the Predictability of Returns
  C302:  A. Jakaitiene, A. Zilinskas, J. Zilinskas
  Modelling dynamics of aggregate consumption for Lithuanian economy
  C191:  J. Bruha
  An econometric model of international asset prices and macroeconomic dynamics
Session CS46 Room: 5
Econometric applications Saturday 31.10.2009   08:45 - 10:20
Chair: Reinhard Neck Organizer: Herman Van Dijk and Erricos John Kontoghiorghes
  C306:  L. Grassetti, G. Fonseca
  Pairwise likelihood for missing data treatment in VAR models
  C271:  M. Owyang, K. Engemann, H. Wall
  Where is an Oil shock?
  C257:  R. Gatto, T. Di Fonzo, M. Marini
  Monthly labour force survey time series, seasonal adjustment and reconciliation
  C267:  R. Neck, D. Blueschke, V. Blueschke-Nikolaeva
  Stochastic control of econometric models for Slovenia
Session CS51 Room: 1
Forecasting, heavy tails and non-standard inference 2 Saturday 31.10.2009   08:45 - 10:20
Chair: Lynda Khalaf Organizer: Lynda Khalaf
  C094:  F. Tchatoka, J. Dufour
  Weak identification and confidence sets for covariances between errors and endogenous regressors
  C098:  A. Maynard, V. Alexeev
  Level crossing random walk test robust to the presence of structural breaks
  C179:  D. Schell, J. Beran
  On robust M-estimation of the tail index
Session CS59 Room: 2
Volatility models and applications Saturday 31.10.2009   08:45 - 10:20
Chair: Andreas Savvides Organizer: Giampiero Gallo
  C295:  I. Vrontos
  Analysing hedge fund investments: evidence from a multivariate predictive Student-t full factor GARCH model
  C110:  P. Tsai
  Decomposing realized variance: a point process of relevant price changes with long memory in volatility
  C162:  G. Figa-Talamanca
  Consistent and asymptotic normal parameter estimates for stochastic volatility models with leverage effect
  C077:  M. Matsi, E. Andreou, A. Savvides
  Stock market and foreign exchange volatility
Parallel session K Saturday 31.10.2009 10:40 - 13:00

Session ES01 Room: 3
Fuzzy statistical analysis 2 Saturday 31.10.2009   10:40 - 13:00
Chair: Thierry Denoeux Organizer: Ana Colubi and Didier Dubois
  E052:  G. Meeden, S. Noorbaloochi
  Testing Hypotheses as a fuzzy set estimation problem
  E114:  B. De Baets, H. De Meyer
  A relational approach to stochastic dominance
  E112:  G. Gonzalez-Rodriguez, M. Gil, A. Colubi
  On the use of Hilbert space tools to handle fuzzy random variables
  E069:  V. Antoine, B. Quost, M. Masson, T. Denoeux
  CECM : Constrained-Evidential C-Means
  E210:  F. Klawonn, R. Winkler, R. Kruse
  M-Estimators and advanced fuzzy clustering
  E049:  V. Georgiou, B. Quost, T. Denoeux
  An evidential neural network classifier incorporating contextual discounting
Session ES09 Room: 10
Mixture models Saturday 31.10.2009   10:40 - 13:00
Chair: Dankmar Bohning Organizer: Dankmar Bohning, Dimitris Karlis and Marco Alfo
  E008:  I. Rocchetti, D. Bohning
  Population size estimation under the Poisson-Gamma model
  E022:  K. Lanumteang, D. Bohning
  Some new estimators under a Poisson mixture capture probability in capture-recapture experiments
  E021:  D. Boehning
  Capture-recapture estimation of population size by means of empirical Bayesian smoothing
  E190:  L. Tardella, A. Farcomeni
  Capture-recapture with heterogeneous detection probabilities
  E138:  D. Karlis, V. Arakelian
  Clustering dependencies via mixture of copulas
  E151:  M. Alfo', A. Farcomeni, L. Tardella
  Statistical and biological significance in gene discovery, with an application to multiple sclerosis in Italian twins
Session ES11 Room: 9
Parametric and nonparametric model validity Saturday 31.10.2009   10:40 - 13:00
Chair: Simos Meintanis Organizer: Simos Meintanis
  E018:  S. Papadopoulos
  Estimating dynamic panel data models with autocorrelation by restricted regressions
  E057:  I. Nikitin, X. Volkova
  Tests of normality based on Shepp property, and their efficiencies
  E117:  O. Thas, B. De Boeck, J. Ottoy
  Inconsistent goodness-of-fit tests with improved power for important alternatives
  E143:  A. Grane
  Exact goodness-of-fit tests for censored data
  E155:  M. Huskova, C. Kirch
  Bootstrapping in sequential change-point procedures
  E147:  S. Meintanis
  Specification tests for the error distribution in GARCH models
Session ES17 Room: 8
ANSET (Italian SIS group on time series analysis) Saturday 31.10.2009   10:40 - 13:00
Chair: Cira Perna Organizer: Cira Perna
  E012:  F. Battaglia, M. Protopapas
  Genetic algorithms for fitting nonlinear nonstationary threshold time series models
  E027:  R. Baragona, S. Bandyopadhyay, U. Maulik
  Clusters of multivariate time series
  E165:  G. Albano, F. Giordano, C. Perna
  Parameter estimation for continuous stochastic volatility models
  E194:  P. Frederic
  Smooth and flexible skew-symmetric distributions using B-splines and penalties
  E105:  C. Conversano
  Investigating the profitability of technical trading rules with the regression trunk approach
  E224:  P. Foschi, S. Giannerini, A. Luati
  Information reduction techniques for turning point prediction
Session ES33 Room: 6
Robust methods Saturday 31.10.2009   10:40 - 13:00
Chair: Peter Filzmoser Organizer: Peter Filzmoser
  E032:  A. Alfons, M. Templ
  Simulation in robust statistics using the R package simFrame
  E122:  A. Cerioli, A. Farcomeni
  Error rates for multivariate outlier detection
  E028:  K. Hron, P. Filzmoser, C. Reimann
  Robust principal components for compositional data
  E099:  J. Visek
  Robustifying total least squares
  E033:  L. Camponovo, O. Scaillet, F. Trojani
  Robust resampling methods for time series
  E171:  J. Antoch
  M-procedures for detection of changes
Session CS05 Room: 2
VAR methods in economics and finance Saturday 31.10.2009   10:40 - 13:00
Chair: Francesco Ravazzolo Organizer: Francesco Ravazzolo and Herman K. Van Dijk
  C229:  P. Winker, D. Maringer
  Model selection and rank estimation in vector error correction models
  C025:  S. Sarferaz, F. Furlanetto
  Time varying VARs, monetary policy and asset prices
  C346:  D. Alberg, M. Last
  Novel segmentation methods for financial data streams
  C250:  S. Hyde, M. Guidolin
  Approximate regime shifts in predictability with vector autoregressive models: A strategic asset allocation perspective
  C024:  F. Ravazzolo
  Strategic asset allocation under structurally unstable predictability
Session CS09 Room: 4
Nonparametric volatility estimation Saturday 31.10.2009   10:40 - 13:00
Chair: Simona Sanfelici Organizer: Simona Sanfelici
  C212:  Z. Hlavka
  Specification tests in SPD estimation
  C170:  M. Pesta
  Constrained general regression in Sobolev spaces with application to option pricing
  C056:  F. Schulz, K. Mosler
  The effect of infrequent trading on detecting jumps in realized variance
  C126:  T. Hayashi, N. Yoshida
  Nonsynchronous covariation and high-frequency data
  C365:  F. Corsi, N. Fusari, D. La Vecchia
  Pricing options with realized volatility
  C266:  S. Sanfelici, M. Mancino
  Quarticity estimation via Fourier method
Session CS19 Room: 7
Stochastic and robust portfolio optimization Saturday 31.10.2009   10:40 - 13:00
Chair: Ronald Hochreiter Organizer: Daniel Kuhn
  C168:  R. Fonseca, B. Rustem
  Dealing with uncertainty in an international portfolio context
  C112:  P. Kleniati, B. Rustem
  Worst-case portfolio optimization with skewness and kurtosis: a proposed solution strategy
  C201:  D. Giannone, J. Brodie, I. Daubechies, C. De Mol, I. Loris
  Sparse and stable Markowitz portfolios
  C236:  M. Kapsos, N. Christofides, B. Rustem, S. Zymler
  Omega optimization as a linear program
  C333:  S. Zymler, D. Kuhn, B. Rustem
  Worst-case Value-at-Risk of non-linear portfolios
  C166:  J. Cornelissen, K. Boudt, C. Croux
  A realized conditional correlation model for large-scale portfolio optimization
Session CS38 Room: 1
Econometrics of financial distress and applications Saturday 31.10.2009   10:40 - 13:00
Chair: Andrea Cipollini Organizer: Giampiero Gallo
  C031:  B. Stove, K. Hufthammer, D. Tjostheim
  Measuring financial contagion by local Gaussian correlation
  C304:  A. Antypas, N. Kourogenis, N. Pittis
  Asset allocation under trending volatility
  C291:  A. Cipollini, I. Io Cascio
  Testing for contagion: a time scale decomposition
  C141:  A. Hecq, J. Jacobs
  Useful VAR-VECM representations for real-time data
  C366:  P. Leoni
  Downside risk of derivative portfolios with mean-reverting underlyings
  C256:  M. Freo, S. Brasini, G. Tassinari
  The dynamical relation between ad liking and memorial response to advertising
Session CS47 Room: 5
Time series financial econometrics 3 Saturday 31.10.2009   10:40 - 13:00
Chair: Ana-Maria Fuertes Organizer: Ana-Maria Fuertes
  C252:  C. Savva, N. Aslanidis
  Portfolio diversification opportunities in eastern Europe
  C280:  Y. Han
  Forward premium anomaly, realized volatility and jump process in foreign exchange markets
  C238:  F. Zikes
  Semiparametric conditional quantile models for financial returns and realized volatility
  C096:  A. Gregoriou, L. Skerratt
  The time series properties of annual earnings: new evidence from an ESTAR unit root test
  C138:  L. Gatarek, J. De Gooijer, C. Diks
  Information flows around the globe: predicting opening gaps from overnight foreign stock price patterns
  C289:  A. Fuertes, J. Olmo
  Exploiting intra-day prices, jumps and subsampling in daily VaR prediction
Parallel session L Saturday 31.10.2009 14:30 - 16:30

Session ES06 Room: 5
Statistical algorithms and software Saturday 31.10.2009   14:30 - 16:30
Chair: Uwe Ligges Organizer: Achim Zeileis and Uwe Ligges
  E220:  A. Di Ciaccio, G. Giorgi
  Missing data imputation by sequential decision trees
  E086:  R. Corradini
  An application on structural time series using GNU Octave on a cheap optimized Linux computer cluster
  E085:  D. Rosadi
  Maximum likelihood estimation for parameters of stable Paretian distribution: Implementation in R
  E204:  M. Rodriguez-Alvarez, I. Lopez de Ullibarri, C. Cadarso-Suarez
  ROC.Regression: an R package for ROC regression analysis
  E212:  U. Ligges, S. Krey
  tuneR-vibration and sound analyses in R
Session ES19 Room: 6
Algorithms and applications of robust methods Saturday 31.10.2009   14:30 - 16:30
Chair: Mia Hubert Organizer: Mia Hubert
  E015:  T. Verdonck, M. Debruyne, S. Serneels
  Robustified least squares support vector classification
  E023:  S. Verboven, M. Hubert, P. Goos
  Building a robust calibration model for heterogeneous spectral data
  E103:  D. Vanpaemel, M. Hubert, G. Dierckx
  Detecting influential data points in extreme value statistics
  E146:  S. Steel, N. Louw, S. Bierman
  Variable selection for kernel classification
  E096:  M. Hubert, P. Rousseeuw, T. Verdonck
  A faster deterministic algorithm for the MCD
Session ES23 Room: 7
Portfolio optimization, heuristics and risk measures (ANSET) Saturday 31.10.2009   14:30 - 16:30
Chair: Peter Winker Organizer: Sandra Paterlini
  E176:  B. Fastrich, S. Paterlini, P. Winker
  Cardinality versus q-Norm Constraints for Index Tracking
  E115:  G. Mamanis, K. Anagnostopoulos
  Solving a discrete mean-variance-skewness portfolio selection model using multiobjective evolutionary algorithm
  E064:  T. Tichy, S. Ortobelli Lozza
  On the impact of concordance measures in portfolio selection theory
  E184:  A. Scozzari, F. Tardella, T. Krink, S. Paterlini
  Exact and heuristic approaches to the index tracking problem with hard real-world constraints
  E191:  S. Paterlini, T. Krink, T. Minerva, M. di Tria
  Multimodal optimization for financial portfolio selection with evolutionary algorithms
Session ES30 Room: 3
Fuzzy statistical analysis 3 Saturday 31.10.2009   14:30 - 16:30
Chair: Renato Coppi Organizer: Renato Coppi
  E048:  Z. Younes, F. Abdallah, T. Denoeux
  Multi-label learning using Dempster-Shafer theory
  E102:  M. Ferraro, P. Giordani
  A linear regression model with LR fuzzy random variables
  E111:  P. Giordani, R. Coppi, P. D'Urso
  Possibilistic clustering for fuzzy data
  E167:  M. Montenegro, T. Lopez-Garcia, A. Lubiano, G. Gonzalez-Rodriguez
  A dependent multi-sample test for fuzzy means
  E024:  C. Moewes, R. Kruse
  Learning fuzzy rules with arbitrary reference functions using GSVM
Session CS03 Room: 4
Multifractal volatility Saturday 31.10.2009   14:30 - 16:30
Chair: Laurent E. Calvet Organizer: Laurent E. Calve
  C174:  A. Fisher, L. Calvet, L. Wu
  Multifractal scaling in the interest rate term structure
  C194:  L. Morales-Arias, H. Herwartz, T. Lux
  Relative forecasting performance of volatility models: Monte Carlo evidence
  C203:  M. Fearnley, L. Calvet, A. Fisher, M. Leippold
  Equity skew and the Markov switching multifractal
  C136:  J. Idier
  (Re)correlation: a Markov switching multifractal model with time varying correlations
  C171:  L. Calvet, A. Fisher
  Multifractal volatility: theory, forecasting and pricing
Session CS26 Room: 1
Bayesian econometrics 2 Saturday 31.10.2009   14:30 - 16:30
Chair: Yasuhiro Omori Organizer: Yasuhiro Omori
  C051:  T. Nakatsuma
  Bayesian estimation of the cost of equity with a hierarchical prior
  C144:  C. Castro
  Uncertainty in asset correlation for portfolio credit risk: the shortcomings of the Basel II framework
  C307:  P. Koerbitz
  The effects of parameter uncertainty and model risk in interest rate models
  C050:  K. Kakamu, H. Kozumi
  Spatio-temporal dynamics in economic growth
  C324:  G. Di Vaio, C. Bollino, P. Polinori
  Assessing the efficiency of local government in Italy: a spatial productivity analysis
Session CS27 Room: 2
Financial markets 3 Saturday 31.10.2009   14:30 - 16:30
Chair: Elena Kalotychou Organizer: Elena Kalotychou
  C311:  N. Todorovic, A. Fuertes, E. Kalotychou
  Intraday price and volume information for volatility-based trading
  C065:  S. Sapuric, A. Clare, N. Todorovic
  The impact of manager changes on UK fund performance and flows
  C318:  M. Doman
  Modelling volatility and conditional correlations
  C148:  O. Reznikova, C. Hafner
  On the estimation of dynamic conditional correlation models
  C293:  R. Castellano, R. Cerqueti
  Structured financial products and investor decision making
Session CS43 Room: 9
Computational econometrics: simulation and dynamics Saturday 31.10.2009   14:30 - 16:30
Chair: Cathy Chen Organizer: H. K. Van Dijk and E.J. Kontoghiorghes
  C268:  S. Iacus
  The Yuima Project: a computational framework for simulation and inference of SDEs with jumps
  C153:  M. Andreasen
  Explaining macroeconomic and term structure dynamics jointly in a non-linear DSGE Model
  C337:  L. Zangeneh, P. Bentley
  Cartesian genetic programming approach to find a best regression model between credit default swap spreads and bond yields
  C176:  P. Postiglione, M. Andreano, R. Benedetti
  Stochastic relaxation algorithms for the analysis of regional economic growth
  E228:  O. Flasch, T. Bartz-Beielstein
  Sequential parameter optimization applied to evolutionary strategies for portfolio optimization
Session CS53 Room: 10
Economic and financial applications Saturday 31.10.2009   14:30 - 16:30
Chair: Alessandra Amendola Organizer: Alessandra Amendola and Erricos John Kontoghiorghes
  C331:  E. Gaygisiz, D. Pekkurnaz, H. Ayaydin
  Determinants of liquidity holdings of Turkish commercial banks
  C332:  V. Belousova
  Performance and cost efficiency of Russian small-sized banks
  C052:  J. Carkovs, V. Carkova
  On stationary distribution of heteroskedastic conditional variance
  C117:  A. Abdel-Hamid, E. AL-Hussaini
  Progressive stress accelerated life tests under progressive type-II censoring
  C223:  N. Glisovic, N. Bojovic, M. Milenkovic, N. Knezevic
  Decision support system for a project management application
  C181:  T. Wang, Y. Zhang, J. Lu, J. Wang
  The game playing in knock-out discount accumulator
Session CS62 Room: 8
Financial econometrics: portfolio, risk, and GARCH models Saturday 31.10.2009   14:30 - 16:30
Chair: Arco van Oord Organizer: Arco van Oord and Herman K. Van Dijk
  C069:  T. Kinkawa, N. Shinozaki
  Dominance results of shrinkage estimators for the mean-variance optimal portfolio weights and their applications
  C079:  S. Jeon, Y. Park
  A hierarchical Bayesian dynamic latent variable model for credit rating
  C116:  J. Hayden, R. Ferstl
  A particle filter approach for money market yield curve estimation
  C214:  M. Nieto Delfin, E. Ruiz Ortega
  Bootstrap prediction intervals for risk measures in the context of GARCH models
  C237:  M. Theodosiou, F. Zikes
  A comprehensive comparison of alternative tests for jumps in asset prices

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