CFE 2012

6th CSDA International Conference on
Computational and Financial Econometrics (CFE 2012)
1-3 December 2012, Conference Centre, Oviedo, Spain

CFE 2012 Organized Sessions:

CS01: Modelling and forecasting financial time series. Organizer: Alessandra Amendola
CS02: Large scale state space models. Organizer: Gianni Amisano
CS03: Realized volatility. Organizer: Francesco Audrino
CS04: Quantitative evaluation of fiscal policies. Organizer: Stephane Auray and Aurelien Eyquem
CS05: Bayesian econometrics with applications. Organizer: Nalan Basturk
CS07: Measuring systemic risk. Organizer: Monica Billio
CS67: Non linear models for macroeconomics. Organizer: Monica Billio
CS70: Modelling credit risk in financial markets. Organizer: Alessandra Canepa
CS09: Recent advances in the applied macroeconomics. Organizer: Fabio Canova
CS11: Volatility modelling in the presence of outliers. Organizer: Angeles Carnero
CS12: Bayesian nonlinear econometrics. Organizer: Roberto Casarin
CS14: Modelling with heavy tails: Applications. Organizer: Wojtek Charemza and Svetlana Makarova
CS16: Massively parallel computations on GPUs. Organizer: Michael Creel
CS17: Statistical signal processing applied to asset management. Organizer: Serge Darrolles and Emmanuelle Jay
CS18: New developments in GARCH models. Organizer: Christian Francq
CS19: Forecasting financial markets. Organizer: Ana-Maria Fuertes
CS74: Commodity markets. Organizer: Ana-Maria Fuertes
CS20: Risk management in Energy Markets: market design and trading strategies. Organizer: M. Dolores Furio
CS66: Credit rating models. Organizer: Paolo Giudici
CS22: Wavelets and macroeconomic analysis. Organizer: Marco Gallegati
CS21: Risks measures. Organizer: Dominique Guegan
CS23: Counterparty credit risk, a transversal financial regulation. Organizer: Bertrand Hassani
CS24: Testing for common cycles in macroeconomic time series. Organizer: Alain Hecq
CS25: Cross asset linkages. Organizer: Florian Ielpo
CS71: Solving international portfolio models. Organizer: Michel Juillard
CS72: Advances in DSGE modeling. Organizer: Michel Juillard
CS26: Modelling and forecasting financial markets. Organizer: Elena Kalotychou
CS27: Applications of penalized splines to economics. Organizer: Goeran Kauermann
CS28: Structural systems: dimensionality and identification. Organizer: Lynda Khalaf
CS29: Bayesian empirical macroeconomics. Organizer: Gary Koop
CS30: Time-varying parameter models. Organizer: Siem Jan Koopman
CS31: Econometric modelling of high-frequency financial data. Organizer: Chung-Ming Kuan
CS32: Financial markets liquidity. Organizer: Gaelle Le Fol and Serge Darolles
CS33: Computational methods for flexible Bayesian models. Organizer: Roberto Leon-Gonzalez
CS34: High dimensional Bayesian time series econometrics. Organizer: Hedibert Lopes
CS37: Numerical analysis and computation of unit root distributions. Organizer: Roderick McCrorie
CS39: Bayesian financial econometrics. Organizer: Yasuhiro Omori
CS40: Multivariate return density prediction and portfolio optimization. Organizer: Marc Paolella
CS41: Estimating the effects of fiscal policy. Organizer: Evi Pappa
CS42: Recent advances in bond pricing. Organizer: Fulvio Pegoraro
CS43: Modelling and forecasting volatility and risk. Organizer: Ana Perez-Espartero
CS44: Theory and applications of regime specific behaviour. Organizer: Jean-Yves Pitarakis
CS45: Statistical signal extraction and filtering. Organizer: Stephen Pollock
CS46: Dimension reduction in time series. Organizer: Pilar Poncela
CS48: Business cycle analysis. Organizer: Francesco Ravazzolo
CS49: Multivariate time series. Organizer: Marco Reale
CS50: Correlation models and financial applications. Organizer: Jeroen Rombouts
CS51: Jumps in prices and volatilities. Organizer: Eduardo Rossi
CS52: Credit risk. Organizer: Simona Sanfelici
CS53: Financial market and macro. Organizer: Willi Semmler
CS55: Continuous time financial models. Organizer: Leopold Soegner
CS56: Multivariate volatility models. Organizer: Giuseppe Storti and Luc Bauwens
CS57: Forecasting financial markets. Organizer: Elias Tzavalis
CS58: Boostrapping panel and time series data: theory and applications. Organizer: Jean-Pierre Urbain
CS59: Filtering and modelling financial time series. Organizer: Helena Veiga
CS60: Indirect estimation methods. Organizer: David Veredas
CS61: Topics in time series and panel data econometrics. Organizer: Martin Wagner
CS62: Sparse Bayesian model choice. Organizer: Helga Wagner
CS63: Real-time modeling and forecasting with data revisions, mixed frequencies, and volatility. Organizer: Peter Zadrozny
CS64: Inference in time series volatility models. Organizer: Jean-Michel Zakoian
CS65: Advances in asymmetric and nonlinear financial econometrics. Organizer: Zhengjun Zhang

ERCIM 2012 Tracks and Chairs:

RDM:	(ES01) Robust Analysis of Complex Data Sets Christophe Croux, Mia Hubert and Stefan Van Aelst
MCS:	(ES02) Matrix Computations and Parallelism Stratis Gallopoulos, Erricos Kontoghiorghes, George Loizou and Ahmed Sameh
FSA:	(ES03) Imprecision in Statistical Data Analysis Ana Colubi and Thierry Denoeux
BSM:	(ES04) Bayesian semi- and nonparametric modelling Jim Griffin, Antonio Lijoi and Igor Pruenster
OHEM:	(ES05) Optimization Heuristics in Estimation and Modelling Manfred Gilli, Dietmar Maringer, Sandra Paterlini and Peter Winker
SEA:	(ES06) Statistics of Extremes and Applications Michael Falk, Ivette Gomes, Armelle Guillou and Johan Segers
TSA:	(ES07) Time Series Modeling and Computation Andres M. Alonso and Manuel G. Scotto
SAET:	(ES08) Statistical Analysis of Event Times Jacobo de Uña and M. Carmen Pardo
AlgSoft:	(ES09) Statistical Algorithms and Software in R Cristian Gatu, Peter Filzmoser and Achim Zeileis

ERCIM 2012 Organized Sessions:

ES11: Sparse dimension reduction. Organizers: Kohei Adachi and Nickolay T. Trendafilov
ES12: High dimensional data analysis and statistical learning. Organizer: Ejaz Ahmed
ES13: Resampling procedures for dependent data. Organizer: Andres M. Alonso
ES16: Robust functional data analysis. Organizer: Graciela Boente
ES17: Statistical methods for non-precise data. Organizers: Angela Blanco-Fernandez and Ana B. Ramos-Guajardo
ES18: Models and goodness-of-fit for time series and dependent data. Organizer: Alejandra Cabana
ES62: Imprecise probability theories for statistical problems I. Organizers: Marco Cattaneo and Ines Couso
ES19: Robust methods based on trimming. Organizer: Andrea Cerioli
ES20: Adaptive Monte Carlo. Organizer: Nicolas Chopin
ES22: Nonparametrical and robust statistics. Organizer: Andreas Christmann
ES23: Particle filtering. Organizer: Veronika Czellar
ES76: Medical Statistics. Organizer: Maria deiorio
ES24: Statistical problems with complex data. Organizer: Aurore Delaigle
ES63: Imprecise probability theories for statistical problems II. Organizer: Sebastien Destercke
ES14: BIOSTATNET:Young Researchers Forum I. Organizer: Maria Durban and Lupe Gomez
ES26: BIOSTATNET:Young Researchers Forum II. Organizer: Carmen Cadarso-Suarez
ES25: Stochastics orders and their applications. Organizer: Jose Maria Fernandez-Ponce
ES27: Fuzziness in Statistics. Organizer: M. Brigida Ferraro
ES67: High dimensional problems in applications to genetics. Organizer: Florian Frommlet
ES29: Advances in robust data analysis. Organizers: L.A. Garcia-Escudero and A. Gordaliza
ES64: Statistics of extremes and risk assessment. Organizer: Ivette Gomes
ES31: Statistics in functional and Hilbert spaces. Organizer: Gil Gonzalez-Rodriguez
ES32: Statistics for fuzzy data. Organizer: Gil Gonzalez-Rodriguez
ES33: Advances in distance-based methods and applications. Organizer: Aurea Grane
ES74: Multivariate extremes and regression analysis. Organizer: Armelle Guillou
ES65: Longitudinal/Spatial data analysis. Organizer: Xuming He
ES34: Model validation. Organizer: M. Dolores Jimenez-Gamero
ES38: Skew distributions: Probability and inference. Organizer: M. Dolores Jimenez-Gamero
ES35: Model choice and function specification tests in semiparametric regression. Organizer: Thomas Kneib
ES36: Robustness issues in complex data analysis. Organizers: Michele La Rocca and Giancarlo Ragozini
ES39: Optimal experimental design for real models. Organizer: Jesus Lopez Fidalgo
ES40: Frequency domain analysis. Organizer: Alessandra Luati
ES69: Mixture models with skew-normal or skew t-component distributions. Organizer: Geoff McLachlan
ES42: Robust statistical modelling. Organizer: Alfio Marazzi and Anthony C. Atkinson
ES43: Compositional data analysis: advances and applications. Organizer: J. Antoni Martin-Fernandez
ES44: Applied Statistics. Organizer: Agustin Mayo and Paula Camelia Trafadir
ES61: Imprecise probabilities and data analysis. Organizer: Enrique Miranda
ES46: Advances in small area estimation. Organizer: Isabel Molina
ES47: Small area estimation. Organizer: Domingo Morales and Lola Ugarte
ES48: Disease mapping. Organizer: Domingo Morales and Lola Ugarte
ES72: Nonparametric and robust multivariate methods. Organizer: Hannu Oja
ES49: Statistical inference based on depth. Organizer: Davy Paindaveine
ES51: Statistical analysis of genome-wide association studies. Organizer: Taesung Park
ES52: SIS group session on time series analysis. Organizer: Cira Perna
ES68: The extraction of information from large contingency tables. Organizers: Domenico Perrotta and Spyros Arsenis
ES73: Mixture models. Organizer: Marco Riani
ES53: Counting processes. Organizer: Paula Rodriguez Bouzas
ES54: Functional data with spatial dependence. Organizer: Piercesare Secchi
ES75: Extremes and dependence. Organizers: Johan Segers and Michael Falk
ES70: Robust methods for complex data. Organizer: Matias Salibian-Barrera
ES37: Handling imprecision in graphical models. Organizers: Antonio Salmeron and Serafin Moral
ES28: Advances in Hamiltonian Monte Carlo. Organizer: YeeWhye Teh
ES56: Copulas. Organizer: Wolfgang Trutschnig
ES21: Statistical Genetics/Bioinformatics. Organizer: Ayse Ulgen
ES57: Nonparametric inference for Levy processes. Organizer: Frank van der Meulen
ES58: Recent advances in non- and semiparametric regression with censored data. Organizer: Ingrid Van Keilegom
ES66: Recent advances in functional data analysis. Organizer: Philippe Vieu and German Aneiros
ES59: New developments in quantile regression. Organizer: Stanislav Volgushev
ES60: Statistical methods in genomics and proteomics. Organizer: Ruben Zamar and Gabriela Cohen-Freue