ERCIM'11

4th International Conference of the ERCIM WG on
COMPUTING & STATISTICS (ERCIM'11)
17-19 December 2011, Senate House, University of London, UK



JOINT PROGRAMME CFE-ERCIM 2011


KEYNOTE TALKS


Keynote talk1: CFE Saturday 17.12.2011 09:00 - 09:50 Room: Beveridge
Dynamic models for volatility and heavy tails
Speaker: A. Harvey   Co-authors: Chair: Herman Van Dijk
Keynote talk1: ERCIM Saturday 17.12.2011 10:15 - 11:05 Room: Beveridge
Achieving accuracy and correctness in parametric inference
Speaker: A. Young   Co-authors: Chair: Ana Colubi
Keynote talk2: CFE Sunday 18.12.2011 09:45 - 10:35 Room: Beveridge
Comparing the accuracy of copula-based multivariate density forecasts in selected regions of support
Speaker: D. van Dijk  Co-authors: C. Diks, V. Panchenko, O. Sokolinskiy Chair: Tommaso Proietti
Keynote talk2: ERCIM Monday 19.12.2011 09:35 - 10:25 Room: Beveridge
Bayesian analysis for a stationary and transition density function
Speaker: S. Walker   Co-authors: Chair: Christophe Croux
Keynote talk3: CFE-ERCIM Monday 19.12.2011 18:05 - 18:55 Room: Beveridge
Parametric inference on strong dependence
Speaker: P. Robinson   Co-authors: Chair: Stephen Pollock


PARALLEL SESSIONS


Parallel session D: ERCIM Saturday 17.12.2011 11:15 - 12:30

Session ES06 Room: B34
Small area estimation Saturday 17.12.2011    11:15 - 12:30
Chair: Domingo Morales Organizer: Domingo Morales and Lola Ugarte
  E217:   T. Goicoa, L. Ugarte, A. Militino, J. Etxeberria
  Mean squared error estimation of cancer risk predictions using area level models in disease mapping
  E136:   M. Lombardia, E. Lopez-Vizcaino, D. Morales
  Multinomial-based small area estimation of labor force indicators
  E182:   E. Fabrizi, F. Greco, C. Trivisano
  A sensitivity analysis to the hyperprior specification in disease mapping and small area models
Session ES20 Room: B33
Applied statistics I Saturday 17.12.2011    11:15 - 12:30
Chair: Paula Camelia Trandafir Organizer: Agustin Mayo-Iscar and Paula Camelia Trandafir
  E588:   M. Al-Saleh, A. Ababneh
  Test for accuracy in ranking in moving extreme ranked set sampling
  E653:   P. Trandafir , S. Mandal, A. Biswas
  Optimal target allocation proportion for correlated binary responses in a two-treatment set up
  E494:   R. Maiti, A. Biswas
  Coherent forecasting for discrete-valued time series data with application to infant sleep status data
Session ES39 Room: B20
High dimensional design of experiments Saturday 17.12.2011    11:15 - 12:30
Chair: Davide Ferrari Organizer: Davide Ferrari
  E575:   M. Forlin
  Optimizing experiments with mixtures
  E589:   D. Slanzi, I. Poli
  High dimensional design of experiments: The combination of evolution and statistical models
  E611:   M. Borrotti, D. De March, D. Ferrari
  Improving complex experiments by co-information composite likelihood optimization
Session ES62 Room: B35
Imprecision in inference Saturday 17.12.2011    11:15 - 12:30
Chair: Maria Brigida Ferraro Organizer: Maria Brigida Ferraro
  E150:   A. Ramos Guajardo, A. Colubi, G. Gonzalez-Rodriguez, M. Gil
  Testing partial inclusion of the mean of a random interval in a fixed interval
  E483:   T. Nakama, E. Ruspini
  Extension of Ruspini's formulation of evidential reasoning to evidence fusion based on conditioning
  E279:   M. Ferraro
  Fitting parametric link functions in a regression model with imprecise random variables
Session ES77 Room: G16
Biostatistics II Saturday 17.12.2011    11:15 - 12:30
Chair: Ayse Ulgen Organizer: Ayse Ulgen
  E536:   I. Tachmazidou, E. Zeggini
  Next generation association studies: In search of low frequency and rare variants affecting complex traits
  E863:   J. Dureau, K. Kalogeropoulos, M. Baguelin
  Capturing the time-varying drivers of an epidemic with particle Markov Chain Monte Carlo algorithms
  E793:   M. Gomez Mateu, G. Gomez Melis, U. Dafni
  Sample size and asymptotic relative efficiency when using composite endpoints
Session ES11 Room: B18
Statistical monitoring and its applications II Saturday 17.12.2011    11:15 - 12:30
Chair: Rebecca Killick Organizer: Abdulkadir Hussien and Rebecca Killick
  E379:   J. Huh
  Likelihood based estimation of the log-variance function with a change point
  E393:   Y. Yang, A. De Waegenaere, B. Melenberg
  On the modeling and estimation of the US health process and healthy life expectancy
  E815:   F. Figueiredo, M. Gomes
  Monitoring the mean value in the contaminated normal family of distributions
Parallel session C: CFE Saturday 17.12.2011 10:25 - 12:30

Session CSI01 Room: Woburn
Time series econometrics Saturday 17.12.2011    10:25 - 12:30
Chair: Andrew Harvey Organizer: CFE 2011
  C493:   S. Pollock, E. Mise
  Alternative methods of seasonal adjustment
  C175:   E. Ruiz, P. Poncela
  On the issue of how many variables to use when estimating common factors using the Kalman filter
  C787:   T. Proietti, A. Luati
  Exponential models for the spectrum of a time series
Session CS08 Room: Torrington
Energy markets, climate change and weather derivatives Saturday 17.12.2011    10:25 - 12:30
Chair: M. Dolores Furio Organizer: Massimiliano Caporin and M. Dolores Furio
  C457:   M. Herve-Mignucci, B. Buchner, V. Micale
  Allocating allowances for free in emissions markets: Implications for new industrial installations
  C436:   D. Rittler
  The link between the carbon market and the stock market: A policy evaluation of the EU-ETS
  C907:   M. Eichler, D. Turk
  Forecasting spike occurrences in electricity spot prices
  C902:   V. Mendes, D. Aldea Mendes
  Characterization and prediction of the electricity demand in the Iberian peninsula by using nonlinear time series analysis
  C840:   M. Renault, J. Froger, I. Parent, V. Dordonnat
  Error correction models for electricity future prices in Europe
Session CS12 Room: Senate
Bayesian nonlinear econometrics Saturday 17.12.2011    10:25 - 12:30
Chair: Roberto Casarin Organizer: Roberto Casarin
  C214:   F. Ravazzolo, M. Billio, R. Casarin, H. van Dijk
  Aggregating forecast probabilities for turning point detection
  C233:   D. Bianchi, C. Carvalho, R. Wessels
  Extending Black-Litterman: views and covariance uncertainty
  C344:   L. Dalla Valle, R. Casarin, F. Leisen
  Model selection for beta autoregressive processes
  C513:   G. Amisano, G. Fagan
  Money growth and inflation: a regime switching approach
Session CS17 Room: Bedford
Forecasting financial markets Saturday 17.12.2011    10:25 - 12:30
Chair: Ana-Maria Fuertes Organizer: Ana-Maria Fuertes
  C050:   M. Sanso-Navarro, J. Olmo
  A nonparametric analysis of predictive hedge fund performance using stochastic dominance tests
  C051:   E. Salvador, V. Arago
  Measuring the hedging effectiveness of European index futures contracts
  C283:   K. Sirichand, S. Hall, K. Lee
  The economic value of stock and interest rate predictability in the UK
  C304:   S. Plastira, E. Panopoulou
  Fama French factors and US stock return predictability
  C959:   C. Baum, P. Zerilli
  The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads
Session CS32 Room: S264
Behavioural finance Saturday 17.12.2011    10:25 - 12:30
Chair: Robert Hudson Organizer: Gulnur Muradoglu
  C035:   R. Fairchild
  From behavioural to emotional corporate finance: a new research direction
  C038:   R. Hudson, J. Ashton
  The price, quality and distribution of mortgage payment protection insurance: A hedonic pricing approach
  C669:   K. Vasileva, G. Muradoglu, M. Levis
  Probability of attracting FDI flows
  C693:   J. Balasuriya, G. Muradoglu, P. Ayton
  Optimism and portfolio choice
  C870:   M. Iannino
  Price impact of stock splits and dispersion of beliefs
Session CS34 Room: Jessel
Quantitative risk management I Saturday 17.12.2011    10:25 - 12:30
Chair: Simon Broda Organizer: Marc Paolella
  C235:   M. Putintseva, S. Anatolyev
  A decisionmetrics approach to portfolio allocation
  C406:   P. Polak, M. Paolella
  MARC-MARS: Modeling asset returns via conditional multivariate asymmetric regime-switching
  C303:   J. Krause, M. Paolella
  Augmented likelihood estimation for mixture models
  C400:   K. Kehrle
  Trading activity and public news arrival
  C285:   S. Broda
  Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors
Session CS52 Room: Bloomsbury
Vast dimensional financial econometrics Saturday 17.12.2011    10:25 - 12:30
Chair: David Veredas Organizer: David Veredas
  C061:   M. Barigozzi, G. Motta
  Common volatility in evolutionary panels
  C080:   M. Luciani, D. Veredas
  Modeling vast panels of volatilities with long-memory dynamic factor models
  C253:   L. Ricci, D. Veredas
  TailCor: A new measure of tail correlation for vast dimensional panels of asset returns
  C515:   J. Barunik, L. Vacha
  Wavelet-based realized covariation theory
  C771:   H. Manner, A. Carlos, C. Claudia
  Modelling high dimensional time-varying dependence using D-vine SCAR models
Session CS68 Room: Court
Recent advances in bond pricing Saturday 17.12.2011    10:25 - 12:30
Chair: Florian Ielpo Organizer: Fulvio Pegoraro
  C027:   J. Renne, A. Monfort
  Credit and liquidity risks in euro-area sovereign yield curves
  C037:   J. Fontaine
  Fed funds futures and the federal reserve
  C081:   S. Dubecq, C. Gourieroux
  An analysis of ultra long term yields
  C039:   V. Borgy, T. Laubach, J. Mesonnier, J. Renne
  Fiscal policy, default risk and euro area sovereign bond spreads
  C153:   F. Ielpo
  Forward rates, monetary policy and the economic cycle
Session CS56 Room: Gordon
Computational methods in applied econometrics Saturday 17.12.2011    10:25 - 12:30
Chair: Christopher F. Parmeter Organizer: CFE 2011
  C082:   O. Zhylyevskyy, S. Khovansky
  Cross-sectional GMM estimation under a common data shock
  C760:   E. Dugundji, L. Gulyas
  Sociodynamic discrete choice on spatial networks: Role of utility parameters and connectivity in emergent outcomes
  C714:   I. Savin
  A comparative study of the Lasso-type and heuristic model selection methods
  C456:   M. Packalen
  Identification and estimation of social interactions through variation in equilibrium influence
  C187:   C. Parmeter, D. Henderson, C. Papageorgiou
  Who benefits from financial development: new methods, new evidence
Session CP02 Room: Chancellor's
Poster session II Saturday 17.12.2011    10:25 - 12:30
Chair: Christodoulos Louca Organizer: CFE 2011
  C634:   J. Carkovs
  Mean square analysis of delayed geometric Brownian motion
  C631:   M. Chadwick
  Performance of Bayesian dynamic latent factor model in measuring pricing errors and forecasting returns
  C698:   K. Sadurskis, M. Buikis, J. Carkovs
  On price stochastic equilibrium of adaptive single-component market
  C719:   B. Guan, G. Li, W. Li
  Modelling and testing threshold moving-average processes
  C899:   D. Aldea Mendes, V. Mendes
  A nonlinear factor analysis for large sets of macroeconomic time series
  C855:   M. Avarucci, E. Beutner, P. Zaffaroni
  On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models
  C923:   N. Kajiji, G. Dash
  Statistical methods to measure the efficiency of alternative multifactor single index portfolios
  C637:   P. Jablonsky
  Testing the expectations hypothesis of the Czech term structure of interest rates
Session CS95 Room: S261
Financial econometrics I Saturday 17.12.2011    10:25 - 12:30
Chair: Kameliya Filipova Organizer: CFE 2011
  C805:   A. Demos, S. Anyfantaki
  Estimation of an EGARCH(1,1)-AR(1)-M model
  C717:   J. Fernandez-Macho
  Stochastic surface models for commodity futures: A 2D Kalman filter approach
  C773:   L. Alessi, L. Onorante
  Assessing shocks to inflation expectations in a data rich environment
  C487:   H. Asgharian, W. Hess, L. Liu
  A spatial analysis of international stock market linkages
  C707:   K. Filipova
  Yield curve predictability, regimes, and macroeconomic information: An asset pricing approach
Session CP01 Room: Chancellor's
Posters session I Saturday 17.12.2011    10:25 - 12:30
Chair: Christodoulos Louca Organizer: CFE 2011
  C490:   A. Dong, G. Peters, M. Wuthrich, J. Chan
  Adaptive MCMC for non-life insurance reserving via paid-incurred claims models
  C423:   J. Acedanski
  Asset pricing in DSGE models - comparison of different approximation methods
  C518:   M. Ciemny, L. Jakaite, V. Schetinin
  Study of the informational efficiency of Warsaw stock exchange during 2007-2009 with machine learning
  C558:   E. Ramalho, J. Ramalho
  On the estimation of exponential regression models: an integrated GMM approach
  C567:   J. Ramalho, E. Ramalho
  Hedonic functions, hedonic methods, estimation methods and Dutot and Jevons house price indexes
  C597:   M. Ansari, M. Haghighi, M. Zowghi
  Customers' satisfaction measurement via a flexible fuzzy clustering
  C839:   J. Ortega, J. del Castillo
  Hedging of discrete time auto-regressive stochastic volatility options
  C850:   V. Chatzikonstanti, I. Venetis
  Log-range based detection of volatility mean breaks
  C910:   J. Urbina, N. Aslanidis, O. Martinez
  Measuring spillovers: An application to the stock markets
  C964:   E. Mamatzakis
  Revealing market's animal spirits of the Euro-area sovereign debt crisis using a generalised loss function: The role of fiscal rules and fiscal institutions.
Parallel session E: ERCIM Saturday 17.12.2011 14:00 - 16:05

Session ES09 Room: B18
Perspectives on high-dimensional data analysis Saturday 17.12.2011    14:00 - 16:05
Chair: Ejaz Ahmed Organizer: Ejaz Ahmed
  E060:   P. Alquier
  Estimation by projection on confidence regions
  E131:   P. McNicholas, J. Andrews
  Clustering and classification of high-dimensional data via modified t-factor analyzers
  E499:   A. Khalili, S. Lin
  Regularization in finite mixture of regression models with diverging number of parameters
  E519:   Y. Gel, P. Bickel
  Banded regularization of autocovariance matrices in application to parameter estimation and forecasting of time series
  E969:   E. Ahmed
  Perspectives on machine bias versus human bias: Generalized linear model
Session ES15 Room: B35
Networking on Biostatistics: the BIOSTATNET project II Saturday 17.12.2011    14:00 - 16:05
Chair: Carmen Cadarso Organizer: Carmen Cadarso
  E218:   M. Rodriguez Alvarez, J. Roca-Pardinas, C. Cadarso-Suarez
  Software developments for non-parametric ROC regression analysis
  E226:   P. Puig, J. Barquinero
  New method for evaluating the degree of exposure to radiation
  E290:   F. Gude, M. Rodriguez-Girondo, T. Kneib, C. Cadarso-Suarez
  Geoadditive survival models for the identification of geographical patterns in coronary heart disease
  E325:   A. Sanchez-Pla, F. Reverter, E. Vegas, J. Oller, M. Ruiz de Villa
  Multivariate methods for the integration of omics data of different types and different nature
  E357:   I. Arostegui, V. Nunez-Anton
  Partial additive beta-binomial model for bounded outcome scores
Session ES29 Room: B33
Advances in optimal experimental design Saturday 17.12.2011    14:00 - 16:05
Chair: Jesus Lopez Fidalgo Organizer: Jesus Lopez Fidalgo
  E288:   N. Flournoy
  Adaptive designs for dose-response studies
  E119:   W. Wong, S. Chang, W. Wang , R. Chen
  Nature-inspired metaheuristic algorithms for generating optimal experimental designs
  E151:   M. Stehlik
  Optimal design for parameters of correlated processes
  E152:   J. Rodriguez-Diaz, M. Santos-Martin, C. Tomassi
  Optimal designs for the random effect logistic regression model with covariance structure
  E579:   H. Wynn, N. Youssef
  A maximum entropy sampling approach to adaptive design for spatial processes
Session ES31 Room: G16
Applied statistics II Saturday 17.12.2011    14:00 - 16:05
Chair: Agustin Mayo-Iscar Organizer: Agustin Mayo-Iscar and Paula Camelia Trandafir
  E622:   T. Bellini
  Intra-Day robust exchange rate forecasting
  E767:   V. Todorov
  Robust methods for analysis of multivariate grouped data in R
  E593:   A. Marazzi, V. Yohai, C. Agostinelli
  Robust estimates of the generalized loggamma distribution
  E599:   C. Hennig, P. Coretto
  Comparating methods for robust elliptical clustering, including the robust improper ML estimator
  E828:   P. Coretto, F. Giordano
  Power distribution and dynamic range in PCM music signals
Session ES38 Room: B34
Statistics in functional and Hilbert spaces I Saturday 17.12.2011    14:00 - 16:05
Chair: Gil Gonzalez-Rodriguez Organizer: Gil Gonzalez-Rodriguez
  E351:   A. Aguilera, M. Escabias, C. Preda, G. Saporta
  Functional PLS versus functional PCR through simulated data and chemometric applications
  E362:   C. Ritz, E. Olsen
  Comparison of two methods based on 3-dimensional position data
  E549:   V. Inacio, W. Gonzalez-Manteiga, M. Febrero-Bande, F. Gude, C. Cadarso-Suarez
  Extending induced ROC methodology to the functional context
  E614:   A. Kneip, P. Sarda
  Factor models and variable selection in high dimensional regression
  E626:   V. Panaretos, D. Kraus
  Statistical inference on the second order structure of functional data
Session ES63 Room: B20
Handling imprecision in graphical models Saturday 17.12.2011    14:00 - 16:05
Chair: Antonio Salmeron Organizer: Antonio Salmeron and Rafael Rumi
  E299:   A. Masegosa, J. Abellan, R. Baker, F. Coolen, R. Crossman
  Building decision trees from a nonparametric predictive inference perspective
  E334:   S. Moral, A. Cano, M. Gomez-Olmedo, A. Masegosa
  The imprecise sample size Dirichlet model
  E404:   A. Fernandez, J. Gamez, R. Rumi, A. Salmeron
  Data clustering using hidden variables in hybrid Bayesian networks
  E124:   A. Salmeron, J. Gamez, J. Nielsen
  Estimating CG-PDGs from incomplete data using an EM approach
  E327:   R. Marinescu, N. Wilson
  Order of magnitude influence diagrams
Session ES70 Room: B36
Statistics for random intervals and random sets Saturday 17.12.2011    14:00 - 16:05
Chair: Thierry Denoeux Organizer: Thierry Denoeux and Ana Colubi
  E927:   M. Garcia-Barzana, A. Colubi, E. Kontoghiorghes
  On the estimation of a multiple linear regression model for interval data
  E569:   S. Destercke, E. Miranda, M. Troffaes
  On p-boxes and random sets
  E859:   R. Seri, C. Choirat
  Bootstrap confidence sets for the Aumann mean of a random closed set
  E545:   A. Han, Y. Hong, S. Wang
  Autoregressive conditional models for interval-valued time series data
  E761:   A. Blanco-Fernandez, A. Colubi, G. Gonzalez-Rodriguez
  Hypothesis testing of regression parameters in a linear model for interval-valued random sets
Session EP02 Room: Chancellor's
Poster session II Saturday 17.12.2011    14:00 - 16:05
Chair: Klea Panayidou Organizer: ERCIM 2011
  E755:   R. Alotaibi, R. Henderson, M. Farrow
  Explained variation for non-Hodgkin's lymphoma survival: A review and comparison
  E796:   V. Alba-Fernandez, M. Jimenez-Gamero, I. Barranco-Chamorro
  Goodness-of-fit for the Moran-Downton exponential distribution
  E781:   P. Roman-Roman, F. Torres-Ruiz
  Modeling the effect of therapies by using diffusion processes
  E885:   G. Manzi, P. Ferrari, A. Barbiero, N. Solaro
  An imputation method for mixed-type data using nonlinear principal component analysis
  E868:   E. Jones, V. Didelez
  Learning tree or forest graphical model structures
  E867:   L. Geppert
  Efficient Bayesian analysis by combining ideas from merge and reduce and meta-analysis
  E851:   M. Fernandez-Sanchez, A. Hernandez-Bastida
  The Bayes premium in the collective risk Poisson-Lindley and Exponential model with different structure functions
  E849:   S. Salini, F. De Battisti
  Statisticians and bibliometric laws
  E963:   B. Kaszuba
  Empirical comparison of robust portfolios' investment effects
Session EP01 Room: Chancellor's
Posters session I Saturday 17.12.2011    14:00 - 16:05
Chair: Klea Panayidou Organizer: ERCIM 2011
  E638:   M. Rodero Cosano, C. Garcia Alonso
  Structural equation models based on covariance vs partial least squared to develop spatial indices
  E655:   J. Linares-Perez, R. Caballero-Aguila, A. Hermoso-Carazo
  Linear estimation based on covariance using uncertain observations featuring random delays and packet dropouts
  E702:   M. Garcia-Ligero, A. Hermoso-Carazo, J. Linares-Perez
  Distributed fusion filter for systems with markovian delays
  E706:   A. Hermoso-Carazo, R. Caballero-Aguila, J. Linares-Perez
  Recursive estimation algorithm from measurements with upper-bounded random delays
  E723:   B. Kan, B. Yazici
  Steps of a recursive partitioning algorithm
  E751:   M. Molina, M. Mota, A. Ramos
  Software in R and computational methods for branching processes
  E752:   M. Mota, M. Gonzalez, C. Gutierrez, R. Martinez
  Approximate Bayesian computation methods for branching models in genetic context: application to X-linked genes
  E754:   S. Meintanis, K. Fragiadakis
  Goodness-of-fit tests for the multivariate skew normal distribution
Parallel session E: CFE Saturday 17.12.2011 14:00 - 16:05

Session CSI03 Room: Beveridge
Recent developments in econometrics Saturday 17.12.2011    14:00 - 16:05
Chair: Stefan Mittnik Organizer: CFE 2011
  C564:   M. Guidolin, A. Bernales
  Forecasting the implied volatility surface dynamics for CBOE equity options: Predictability and economic value tests
  C729:   R. Baillie, G. Kapetanios
  Estimation and inference for impulse response weights from strongly persistent processes
  C960:   H. van Dijk, P. de Knijff, L. Hoogerheide, K. van Dijk
  Simulation-based predictive analysis for 3 key 21-st century issues
Session CS04 Room: Senate
Applied financial econometrics Saturday 17.12.2011    14:00 - 16:05
Chair: Christopher Baum Organizer: Christopher Baum
  C132:   M. Normandin, M. Bouaddi, D. Larocque
  Equity premia and state-dependent risks
  C142:   F. Penaranda, E. Sentana
  A unifying approach to the empirical evaluation of asset pricing models
  C627:   M. Omer, J. de Haan, B. Scholtens
  Testing uncovered interest rate parity using libor
  C471:   A. Merika, A. Merikas
  Fitting an unobserved components model to the VLCC tanker sector
  C800:   C. Lonnbark
  Quantifying the estimation error in market risk measures: Delta method vs. re-sampling techniques
Session CS11 Room: Woburn
Modelling with heavy tails: computational issues Saturday 17.12.2011    14:00 - 16:05
Chair: Wojtek Charemza Organizer: Wojtek Charemza and Svetlana Makarova
  C098:   J. Nolan
  Computational problems for multivariate stable laws
  C230:   M. Meerschaert
  Modeling and simulation with tempered stable laws
  C295:   M. de Innocentis, S. Boyarchenko, S. Levendorskii
  Fast calculation of PDFs of multi-factor Levy processes with exponentially decaying tails
  C378:   S. Makarova, W. Charemza, C. Francq, J. Zakoian
  Heavy tailed time series: estimation and numerical issues for dependent observations
  C777:   C. Lau, C. Gabriel
  On the distribution of European sovereign bond returns: Empirical evidence
Session CS19 Room: Court
Long term risks Saturday 17.12.2011    14:00 - 16:05
Chair: Dominique Guegan Organizer: Dominique Guegan
  C762:   W. Tarrant
  Historical risk measures as predictors on several markets
  C514:   G. Rahoui , D. Guegan, B. Hassani
  Coherent risk measure in the long run, an operational risk application
  C512:   B. Hassani, D. Guegan, G. Rahoui
  Operational risk: a long-term modeling
  C511:   F. Jouad, D. Guegan
  Market risk aggregation using pair-copulas
  C313:   D. Guegan, X. Zhao
  Alternative modeling for long term VaR
Session CS37 Room: Bloomsbury
Trends, waves, seasons, cycles and signals Saturday 17.12.2011    14:00 - 16:05
Chair: Stephen Pollock Organizer: Stephen Pollock
  C280:   R. Chou, N. Huang, D. Li
  Time-varying trend of financial volatilities and its correlation with macroeconomic variables
  C311:   E. Infante, D. Buono
  New innovative 3-way Anova a-priori test for direct vs. indirect approach in seasonal adjustment
  C663:   A. Zhigljavsky
  Singular spectrum analysis for separating trends from seasons and cycles
  C854:   R. Gatto, G. Mazzi
  Short time series and seasonal adjustment
  C837:   F. Moauro, T. Proietti
  SUTSE models and multivariate seasonal adjustment
Session CS39 Room: Jessel
Real-time density forecasting Saturday 17.12.2011    14:00 - 16:05
Chair: Francesco Ravazzolo Organizer: Francesco Ravazzolo
  C192:   R. Casarin
  Combinations for turning point forecasts
  C201:   C. Kascha, F. Ravazzolo
  Testing for equal conditional predictive ability of real-time density forecast methods
  C326:   A. Monticini, F. Ravazzolo
  Boostrapping forecast densities
  C418:   K. Aastveit, K. Gerdrup, A. Jore, L. Thorsrud
  Nowcasting GDP in real-time: A density combination approach
  C542:   L. Onorante, D. Giannone, M. Lenza, D. Momferatou
  Short-Term inflation projections: A Bayesian vector autoregressive approach
Session CS54 Room: Torrington
Topics in time series and panel data econometrics Saturday 17.12.2011    14:00 - 16:05
Chair: Martin Wagner Organizer: Martin Wagner
  C506:   I. Masten, A. Banerjee, M. Marcellino
  Factor-augmented error-correction model: Structural analysis and forecasting
  C277:   R. Kunst, M. Costantini, U. Gunter
  Forecast combination based on multiple encompassing tests in a macroeconomic DSGE-VAR system
  C526:   J. Mutl, L. Soegner
  Correlation of implied default risk
  C248:   M. Wagner, T. Vogelsang
  A fixed-b perspective on the Phillips-Perron tests
Session CS93 Room: S264
Econometric modelling and applications I Saturday 17.12.2011    14:00 - 16:05
Chair: Giuseppe Storti Organizer: CFE 2011
  C623:   B. de Bruijn, P. Franses
  Analyzing managers' sales forecasts
  C656:   C. Morana
  Factor vector autoregressive estimation of heteroskedastic persistent and non persistent processes subject to structural breaks
  C889:   R. Ruggeri Cannata, G. Mazzi, F. Moauro
  Recent advances of econometrics tools for policy analysis at Eurostat
  C806:   S. Arvanitis, A. Demos
  A new class of indirect estimators and bias correction
  C832:   I. Negri, Y. Nishiyama
  Test for change in the parameters of a diffusion process based on a discrete time sample
Session CS25 Room: Gordon
Contributions to high frequency data modeling Saturday 17.12.2011    14:00 - 16:05
Chair: Massimiliano Caporin Organizer: CFE 2011
  C336:   P. Paiardini, D. Karyampas
  Probability of informed trading and volatility for an ETF
  C708:   B. Bedowska-Sojka
  Macroeconomic news effects on the stock markets
  C716:   D. Erdemlioglu, S. Laurent, C. Neely
  Intraday periodicity and intraday Levy-type jump detection
  C746:   L. Vacha, J. Barunik, M. Vosvrda
  Wavelet decomposition of stock market correlation using high-frequency data
  C920:   D. Dobrev, T. Andersen, E. Schaumburg
  A functional filtering and neighborhood truncation approach to integrated quarticity estimation
Session CS15 Room: S261
Contributions in modelling and forecasting financial risk Saturday 17.12.2011    14:00 - 16:05
Chair: Michele La Rocca Organizer: CFE 2011
  C232:   J. Balter
  Forecasting volatility and jumps based on OHLC-data
  C585:   C. Wu, W. Chen
  Conditional heteroskedasticity and dependence structure in crude oil and US dollar markets
  C621:   H. Holzmann, M. Eulert
  The role of the information set for forecasting - with applications to risk management
  C677:   E. Brechmann, C. Czado
  Financial risk management using high-dimensional vine copulas
  C822:   R. Schuessler
  Optimal superposition policies for futures investments
Session CS16 Room: Bedford
Quantitative risk management II Saturday 17.12.2011    14:00 - 16:05
Chair: Simon Broda Organizer: Marc Paolella
  C459:   D. Phamhi
  A new time-based quantitative model for risk management
  C685:   M. Kukuk, V. Bayer
  Operational risk modelling: The impact of the Peaks-over-Threshold approach on risk measures
  C826:   S. Figini, L. Cutillo, A. Carissimo
  Outliers detection in credit risk multivariate data via rank aggregation
  C429:   S. Steude, K. Kehrle, M. Paolella
  Realized news impact curves
  C421:   S. Dumitrescu, M. Acatrinei, P. Caraiani, R. Lupu
  Model averaging for risk management in European stock markets
Parallel session F: ERCIM Saturday 17.12.2011 16:35 - 18:40

Session ES10 Room: S261
Classification and discriminant procedures for dependent data Saturday 17.12.2011    16:35 - 18:40
Chair: Andres M. Alonso Organizer: Andres M. Alonso
  E547:   C. Sguera, P. Galeano, R. Lillo
  Spatial depth-based classification for functional data
  E338:   J. Gonzalez, A. Munoz
  Time series classification via the combination of functional data projections
  E521:   M. Febrero-Bande
  Comparison of several supervised classification methods for functional data
  E328:   A. Alonso, D. Casado, S. Lopez-Pintado, J. Romo
  Robust functional classification for time series
Session ES14 Room: Bloomsbury
Networking on Biostatistics: the BIOSTATNET project I Saturday 17.12.2011    16:35 - 18:40
Chair: Guadalupe Gomez Organizer: Guadalupe Gomez
  E138:   S. Campos, J. Lopez-Fidalgo
  Experimental design for modeling benign positional vertigo
  E211:   C. Armero, S. Perra, A. Quiros, S. Cabras, M. Castellanos, M. Oruezabal, J. Sanchez-Rubio
  A Bayesian multi-state model for estimating the progression of stage IV non-small cells lung cancer
  E245:   S. Perez-Alvarez, G. Gomez, C. Brander
  FARMS: A new strategy for model selection
  E205:   A. Sorribas, C. Pozo, G. Guillen-Gosalbez, L. Jimenez, R. Alves, A. Marin-Sanguino
  Global optimization strategies for non-linear dynamical models of cell metabolism based on recasting into power-law models
  E293:   B. de Sousa, E. Duarte, T. Kneib, C. Cadarso-Suarez, V. Rodrigues
  Structured additive regression modeling of time between menarche and menopause in breast cancer screening women
Session ES17 Room: Senate
Outliers and change-points in time series I Saturday 17.12.2011    16:35 - 18:40
Chair: Roland Fried Organizer: Christophe Croux and Roland Fried
  E086:   S. Hoermann, P. Kokoszka, R. Gabrys
  Monitoring the intraday volatility pattern
  E263:   B. Spangl, P. Ruckdeschel, R. Fruehwirth
  Robust nonlinear filtering of state-space models with applications
  E168:   P. Ruckdeschel, C. Erlwein
  Robustification of Elliott's HMM-based online filter
  E409:   A. Perez-Espartero, E. Ruiz, A. Carnero
  Effects of outliers on the identification and estimation of asymmetric GARCH-type models
Session ES18 Room: Gordon
Extreme value theory and applications Saturday 17.12.2011    16:35 - 18:40
Chair: Michael Falk Organizer: Michael Falk
  E066:   A. Guillou, Y. Goegebeur
  Asymptotically unbiased estimation of the coefficient of tail dependence
  E174:   P. Cirillo
  A simple Bayesian combinatorial model for bivariate extreme shocks
  E239:   R. Reiss, U. Cormann
  Conditioning exceedances on covariate processes
  E403:   J. Huesler
  On extremes of Gaussian processes in a random environment
  E410:   S. Aulbach, M. Falk
  Testing for a generalized Pareto process
Session ES25 Room: Jessel
Model validation Saturday 17.12.2011    16:35 - 18:40
Chair: M. Dolores Jimenez-Gamero Organizer: M. Dolores Jimenez-Gamero
  E020:   I. Van Keilegom, J. Escanciano, J. Pardo Fernandez
  A nonparametric test for risk-return relationships
  E106:   C. Tenreiro
  An affine invariant multiple test procedure for assessing multivariate normality
  E121:   J. Ojeda Cabrera
  Bootstrap model validation under bias selected data
  E186:   A. Karagrigoriou, I. Vonta
  Tests of fit via phi-divergence measures for biostatistics and reliability data
  E198:   M. Jimenez-Gamero
  Testing for the symmetric component in skew-symmetric distributions
Session ES41 Room: Court
Statistics in functional and Hilbert spaces II Saturday 17.12.2011    16:35 - 18:40
Chair: Gil Gonzalez-Rodriguez Organizer: Gil Gonzalez-Rodriguez
  E170:   C. Goga, M. Chaouch
  On the estimation of the L1-median of a functional variable with complex surveys: application to the electricity load curves
  E204:   H. Cardot
  Confidence bands for unequal probability and model assisted Horvitz Thompson estimators for functional data
  E292:   L. Sangalli, L. Azzimonti, P. Secchi, J. Ramsay
  Partial differential smoothing for surface estimation
  E711:   B. Martin-Barragan, R. Lillo, J. Romo
  Interpretable support vector machines for functional data
Session ES43 Room: Torrington
Order-restricted inference and applications Saturday 17.12.2011    16:35 - 18:40
Chair: Cristina Rueda Organizer: Cristina Rueda and Miguel Fernandez
  E044:   O. Davidov, S. Peddada
  Order restricted inference for multivariate binary data with applications
  E127:   M. Meyer, J. Wang
  Testing against linear inequality constraints in parametric regression
  E298:   M. Fernandez, D. Conde, C. Rueda, B. Salvador
  Isotonized linear discriminant rules with application to medical studies
  E319:   S. Peddada, M. Fernandez, C. Rueda
  Identification of tightly regulated temporally conserved cell-cycle genes in budding yeast, fission yeast and humans
Session ES37 Room: Woburn
Bayesian modelling and computation Saturday 17.12.2011    16:35 - 18:40
Chair: Antonio Lijoi Organizer: Jim Griffin , Sonia Petrone and Igor Pruenster
  E269:   C. Hans, S. MacEachern, A. Som
  Prior information and dependence in regression
  E270:   A. Banerjee, D. Dunson, S. Tokdar
  Efficient computation techniques for high dimensional Bayesian non parametric models
  E450:   M. Kalli, J. Griffin
  Flexible modelling of dependence in volatility processes
  E683:   E. Waldmann, T. Kneib
  Variational approximations in geoadditive quantile regression
  E366:   R. Fuentes-Garcia
  A probability for classification based on the Dirichlet process mixture model
Session ES58 Room: S264
Statistical monitoring and its applications I Saturday 17.12.2011    16:35 - 18:40
Chair: Abdulkadir Hussien Organizer: Abdulkadir Hussien and Rebecca Killick
  E068:   E. Gombay
  Truncated sequential monitoring
  E073:   E. Ahmed
  Monitoring equality of two process capability indices
  E076:   R. Killick, I. Eckley
  Efficient detection of multiple changepoints within wind energy time series
  E078:   A. Hussein
  Some aspects of risk-adjusted monitoring charts
Session ES69 Room: Bedford
Imprecise probabilistic modeling to solve statistical problems I Saturday 17.12.2011    16:35 - 18:40
Chair: Sebastien Destercke Organizer: Sebastien Destercke
  E527:   F. Ali, T. Coolen-Maturi, F. Coolen
  Nonparametric predictive inference to assess three-group diagnostic tests
  E528:   T. Coolen-Maturi, F. Ali, F. Coolen
  The ordering of future observations from multiple sources
  E572:   G. Walter
  Generalised Bayesian inference with conjugate priors, and a link to g-priors for Bayesian model selection
  E573:   M. Troffaes, D. Kelly, G. Walter
  Elicitation and inference for the imprecise Dirichlet model with arbitrary sets of hyperparameters
  E946:   G. de Cooman , A. Van Camp
  Modelling the observational process using coherent lower previsions
Parallel session F: CFE Saturday 17.12.2011 16:35 - 18:40

Session CS97 Room: B18
Financial econometrics III Saturday 17.12.2011    16:35 - 18:40
Chair: Willi Semmler Organizer: CFE 2011
  C025:   N. Ben David
  Predicting housing prices according to expected future interest rate
  C640:   D. Buncic
  Some issues with exponential STAR models for the modelling of exchange rate regimes
  C670:   M. Oztek, N. Ocal
  The origins of increasing trend in correlations among European stock markets: Evidence from smooth transition conditional correlation approach
  C930:   A. Momparler, F. Climent
  The impact of scale effects on the prevailing Internet-based banking model in the US
  C952:   F. Fei, A. Fuertes, E. Kalotychou
  Modelling dynamic dependencies between CDS and the equity market with regime switching copulas
Session CS26 Room: B34
Bayesian empirical macroeconomics Saturday 17.12.2011    16:35 - 18:40
Chair: Gary Koop Organizer: Gary Koop
  C058:   Y. Song, J. Maheu
  An efficient approach to estimate and forecast in the presence of an unknown number of change-points
  C883:   J. Halvorsen, M. Zdenek
  Exchange rate risk premium, monetary policy and new Keynesian models
  C348:   D. Korobilis, J. Chan
  Bayesian financial conditions indexes
  C413:   L. Bencivelli, M. Marcellino, G. Moretti
  Selecting predictors by Bayesian model averaging in bridge models
  C259:   G. Koop, M. Belmonte, D. Korobilis
  Hierarchical shrinkage in time-varying parameter models
Session CS28 Room: B35
Probabilistic forecasting Saturday 17.12.2011    16:35 - 18:40
Chair: Gael M. Martin Organizer: Gael M. Martin
  C243:   J. Geweke, G. Durham
  Improving asset price prediction when all models are false
  C105:   T. Gneiting, R. Ranjan
  Combining predictive distributions
  C251:   K. Wallis, G. Boero, J. Smith
  Properties of professional forecasters' probability forecasts
  C757:   M. Furio, F. Climent
  Extreme value theory versus traditional GARCH approaches applied to financial data: A comparative evaluation
  C094:   G. Martin, J. Ng, C. Forbes, B. McCabe
  Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
Session CS35 Room: B36
Modeling and inference on asset price bubbles Saturday 17.12.2011    16:35 - 18:40
Chair: Ivan Paya Organizer: Ivan Paya
  C675:   T. Engsted, B. Nielsen
  Rational bubbles in US stock prices: A co-explosive vector autoregressive approach
  C284:   T. Jang, T. Lux
  Identification of social interaction effects in financial data: inference of herd behavior via Monte Carlo simulations
  C553:   J. Bialkowski, M. Bohl, P. Stephan , T. Wisniewski
  A possible speculative bubble in the price of gold
  C275:   I. Paya, E. Pavlidis, D. Peel
  Testing for asset price bubbles: the role of fat tails and endogeneity
Session CS40 Room: B33
Dynamic modelling of realized covariance matrices Saturday 17.12.2011    16:35 - 18:40
Chair: Giuseppe Storti Organizer: Giuseppe Storti and Luc Bauwens
  C095:   B. Gribisch, V. Golosnoy, R. Liesenfeld
  Measuring volatility transmission between the US and German stock markets
  C145:   F. Corsi, F. Audrino, S. Peluso
  A Kalman filter with EM approach for multivariate realized covariance estimation
  C177:   R. Halbleib, V. Voev
  Forecasting covariance matrices: A mixed frequency approach
  C954:   K. Sheppard, N. Shephard, A. Lunde
  Econometric analysis of vast covariance matrices using composite realized kernels
  C171:   G. Storti, L. Bauwens
  CAW-DCC: A dynamic model for vast realized covariance matrices
Session CS55 Room: G16
Contributions in financial market and the macroeconomy Saturday 17.12.2011    16:35 - 18:40
Chair: Ana-Maria Fuertes Organizer: CFE 2011
  C042:   A. Waters, J. Chadha
  Quantitative easing and bond yields: results from a macro-finance yield curve
  C647:   B. Erdogan, K. Bernoth
  Sovereign bond yield spreads: A time-varying coefficient approach
  C699:   C. Mueller-Kademann
  Volatility at very high frequencies: New estimates, new interpretations
  C871:   P. Keblowski, A. Welfe
  A risk-driven approach to exchange-rate modelling
  C816:   T. Katzschner, R. Jung
  Regulatory impact on price discovery in fragmented markets: the case of short selling constraints
Session CS76 Room: B20
Contributions in time series econometrics I Saturday 17.12.2011    16:35 - 18:40
Chair: Alessandra Amendola Organizer: CFE 2011
  C620:   P. Catani, N. Ahlgren
  Wild bootstrap tests for autocorrelation in vector autoregressive models
  C469:   H. Karlsen
  Unit root Markov models
  C732:   T. Pantelidis, E. Panopoulou
  The Fisher effect in the presence of time-varying coefficients
  C799:   J. Afonso Rodriguez
  On testing for a bilinear unit root in financial time series
  C788:   S. Liu, E. Maharaj
  Polarization of forecast densities: A new approach to time series classification
Parallel session G: ERCIM Sunday 18.12.2011 08:55 - 10:35

Session ES02 Room: Gordon
Statistical algorithms and software I Sunday 18.12.2011    08:55 - 10:35
Chair: Cristian Gatu Organizer: Cristian Gatu
  E482:   D. Zhang, Y. Lin, M. Zhang
  Fitting high-dimensional generalized linear models via generalized orthogonal-components regression
  E618:   F. Loecker
  Numerical solution of Levy-Ito type stochastic differential equations in Mathematica
  E691:   C. Wild
  Gaining inzight
  E705:   T. Rudas, A. Klimova
  On a limitation of Markov chain Monte Carlo methods for categorical data
Session ES16 Room: Bloomsbury
Statistical machine learning and robustness Sunday 18.12.2011    08:55 - 10:35
Chair: Robert Hable Organizer: Andreas Christmann
  E063:   R. Hable, A. Christmann
  On support vector machines to estimate scale functions
  E148:   D. Paindaveine, P. Ilmonen
  Semiparametrically efficient inference based on signed ranks in symmetric independent component models
  E464:   D. Sejdinovic, K. Fukumizu, B. Schoelkopf, A. Smola, L. Song, B. Sriperumbudur, A. Gretton
  Hypothesis testing and Bayesian inference: New applications of kernel methods
  E753:   G. Boente
  Some recent results for functional data analysis
Session ES19 Room: Woburn
Advances in robust data analysis Sunday 18.12.2011    08:55 - 10:35
Chair: Luis A. Garcia-Escudero Organizer: Luis A. Garcia-Escudero and Agustin Gordaliza
  E173:   C. Ruwet, L. Garcia-Escudero, A. Gordaliza, A. Mayo-Iscar
  Impact of contamination on the TCLUST procedure
  E411:   E. del Barrio
  Similarity in $k$-sample problems
  E415:   F. Torti, M. Riani, A. Cerioli
  Robust analysis and data exploration with FSDA toolbox for MATLAB
  E159:   A. Garcia-Perez
  The p-value line: some applications
Session ES21 Room: S261
Copula modelling and computational analysis Sunday 18.12.2011    08:55 - 10:35
Chair: Richard Gerlach Organizer: Richard Gerlach
  E057:   C. Czado
  Vine copulas with application to financial data
  E195:   M. Hofert, M. Maechler, A. McNeil
  Likelihood inference for Archimedean copulas in high dimensions
  E213:   A. Nikoloulopoulos, H. Joe, N. Chaganty
  Weighted scores method for regression models with dependent data
  E860:   F. Durante
  Invariant dependence structures under truncation
Session ES27 Room: Jessel
Semiparametric quantile and expectile regression Sunday 18.12.2011    08:55 - 10:35
Chair: Thomas Kneib Organizer: Thomas Kneib
  E029:   S. Volgushev, H. Dette
  Nonparametric estimates of quantile curves for censored data
  E203:   A. Mayr, T. Hothorn, N. Fenske
  Fitting prediction intervals by boosting quantile regression
  E161:   T. Kneib, F. Sobotka
  Semiparametric expectile regression
  E083:   R. Koenker
  Additive models for quantile regression: Model selection and confidence bandaids
Session ES52 Room: Torrington
Mixture models in R Sunday 18.12.2011    08:55 - 10:35
Chair: Bettina Gruen Organizer: Bettina Gruen
  E143:   I. Visser, M. Speekenbrink
  Dependent mixture models with R
  E149:   A. Komarek
  Clustering for multivariate continuous and discrete longitudinal data using R package mixAK
  E166:   B. Gruen, K. Hornik
  Fitting finite mixtures of von Mises-Fisher distributions using the R package movMF
  E595:   D. Stasinopoulos, R. Rigby, A. Van den Hout, G. Muniz
  Applying the R package gamlss.mx to investigate cognitive decline.
Session ES53 Room: Senate
Frequency domain analysis Sunday 18.12.2011    08:55 - 10:35
Chair: Alessandra Luati Organizer: Alessandra Luati
  E224:   A. Walden
  Stabilization of spectral matrix inversion and its uses
  E236:   M. Pourahmadi
  Prediction of stationary spatial processes with exponential expectrum
  E539:   R. Dahlhaus
  Spectrum based inference for nonstationary processes
  E605:   R. Bhansali, L. Ippoliti, R. Martin
  Rational spectral density models for lattice data
Session ES81 Room: S264
Time series modeling and computation II Sunday 18.12.2011    08:55 - 10:35
Chair: Roland Fried Organizer: Andres M. Alonso and Roland Fried
  E155:   J. Steinebach
  Sequential testing of changes in the drift of a stochastic process
  E501:   A. Jach, T. McElroy
  Subsampling inference for the autocovariances of long-memory time series
  E505:   M. Borowski, R. Fried
  Online signal extraction from data streams by robust moving window regression with automatic width adaption
  E651:   Z. Praskova
  On testing stability in multivariate RCA models
Session ES76 Room: Bedford
Design and analysis of computer experiments II Sunday 18.12.2011    08:55 - 10:35
Chair: Sonja Kuhnt Organizer: Sonja Kuhnt
  E523:   O. Roustant
  Some kernels for Kriging models
  E529:   H. Maruri Aguilar, A. Boukouvalas, J. Gosling
  Sequential screening with elementary effects
  E555:   O. Harari, D. Steinberg
  Bayesian mixture of Gaussian processes for deterministic computer experiments
  E554:   T. Muehlenstaedt
  Kernel interpolation
Session ES65 Room: Court
Symbolic data analysis Sunday 18.12.2011    08:55 - 10:35
Chair: Monique Noirhomme Organizer: Monique Noirhomme
  E635:   F. Tenorio de Carvalho, Y. Lechevallier
  A clustering algorithm for multiple relational data matrices
  E377:   P. Brito, M. Ichino
  Conceptual clustering of symbolic data using a quantile representation: discrete and continuous approaches
  E387:   S. Dias, P. Brito
  Distribution and symmetric distribution model - A linear regression model for histogram-valued variables
  E139:   M. Noirhomme, T. Amouh
  A tree construction algorithm for complex data
Parallel session I: CFE Sunday 18.12.2011 11:05 - 12:45

Session CSI02 Room: Beveridge
Bayesian econometrics Sunday 18.12.2011    11:05 - 12:45
Chair: Gary Koop Organizer: CFE 2011
  C219:   S. Fruehwirth-Schnatter
  Bayesian regularization in latent variable models through shrinkage priors
  C227:   M. Steel, E. Ley
  Mixtures of $g-$priors for Bayesian model averaging with economic applications
  C427:   J. Geweke
  Massively parallel posterior simulation for Bayesian inference
Session CS03 Room: B34
Large swings in macroeconomic time series Sunday 18.12.2011    11:05 - 12:45
Chair: Evi Pappa Organizer: Stephane Auray and Aurelien Eyquem
  C040:   D. Giannone, M. Lenza, G. Primicer
  Prior selection for vector autoregressions
  C062:   M. Paustian, A. Barnett
  Do sticky information models match survey data of inflation expectations?
  C074:   S. Auray, A. Eyquem, F. Jouneau-Sion
  Riots, battles and cycles
  C024:   E. Pappa, M. Bruckner
  For an olive wreath: Olympic Games and anticipation effects in macroeconomics
Session CS14 Room: B33
Empirical modelling of financial fragility Sunday 18.12.2011    11:05 - 12:45
Chair: Andrea Cipolini Organizer: Andrea Cipolini
  C031:   N. Aslanidis, C. Christiansen
  Quantiles of the realized stock-bond correlation
  C129:   I. lo Cascio
  Wavelet analysis of financial contagion
  C128:   S. Muzzioli
  Variance swaps, corridor variance swaps and the variance risk premium: evidence from the Italian market
  C396:   A. Cipollini, I. lo Cascio
  Wavelet analysis of asset price misalignments
Session CS45 Room: G16
Univariate and multivariate volatility models Sunday 18.12.2011    11:05 - 12:45
Chair: Christos Savva Organizer: Christos Savva
  C052:   O. Martinez, N. Aslanidis
  A multiple threshold conditional correlation GARCH model
  C093:   N. Pavlidis, E. Pavlidis
  Dynamic GARCH models
  C102:   N. Koch
  Co-movements between carbon, energy and financial markets: A multivariate GARCH approach
  C414:   C. Savva, P. Theodossiou
  Skewness and the relationship between risk and return
Session CS46 Room: B35
Financial market and the macroeconomy Sunday 18.12.2011    11:05 - 12:45
Chair: Willi Semmler Organizer: Willi Semmler
  C384:   M. Gallegati, J. Ramsey
  On the forward-looking content of equity and bond markets for aggregate investments: a wavelet analysis
  C813:   E. Ernst
  Employment projections with a matching-model Phillips curve
  C544:   H. Dewachter, L. Iania, M. Lyrio
  Information in the yield curve: A macro-finance approach
  C541:   W. Semmler, S. Mittnik
  Estimating a banking - macro model for the EU using a multi-regime VAR
Session CS53 Room: B36
Bayesian methods in econometric and financial applications Sunday 18.12.2011    11:05 - 12:45
Chair: Ioannis Vrontos Organizer: Ioannis Vrontos
  C606:   L. Meligkotsidou, E. Panopoulou, I. Vrontos, S. Vrontos
  A quantile regression approach to out-of sample equity premium prediction in the presence of model uncertainty
  C625:   S. Vrontos, J. Vrontos, L. Meligkotsidou
  Performance evaluation of pension funds: The impact of non-normality and time-varying volatility
  C644:   D. Giannikis, L. Meligkotsidou , I. Vrontos
  Multivariate regressions: An alternative modelling approach
  C908:   I. Vrontos, L. Meligkotsidou, E. Tzavalis
  Bayesian analysis of autoregressive models with multiple structural breaks
Session CS61 Room: B18
Long memory time series models Sunday 18.12.2011    11:05 - 12:45
Chair: Anne Philippe * Organizer: Anne Philippe
  C472:   F. Lavancier, R. Leipus, A. Philippe, D. Surgailis
  Detection of non constant long-memory parameter
  C561:   L. Giraitis, K. Abadir, W. Distaso
  Seasonal modeling by SARFIMA and near unit root models
  C085:   J. Arteche
  Semiparametric estimation of the volatility in long memory in stochastic volatility models
  C682:   A. Rackauskas
  Linear processes with space varying memory
Session CS64 Room: B20
Efficient MCMC algorithms for Bayesian financial econometric models Sunday 18.12.2011    11:05 - 12:45
Chair: Nicolas Chopin Organizer: Antonietta Mira
  C500:   S. Peluso, F. Corsi, A. Mira
  A Bayesian estimator of the multivariate covariance of noisy and asynchronous returns
  C624:   G. Kastner, S. Fruehwirth-Schnatter
  Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
  C903:   N. Chopin, P. Jacob, O. Papaspiliopoulos
  $SMC^2$: A sequential Monte Carlo algorithm with particle Markov chain Monte Carlo updates
Parallel session I: ERCIM Sunday 18.12.2011 11:05 - 12:45

Session ESI03 Room: Woburn
Advances in multivariate analysis Sunday 18.12.2011    11:05 - 12:45
Chair: Ana Colubi Organizer: ERCIM 2011
  E202:   H. Oja
  Multivariate linear L1 regression
  E688:   P. Groenen, G. van den Burg
  A new multiclass support vector machine based on $L_p$ norms
  E834:   J. Romo, H. Laniado, R. Lillo
  Multivariate extremes: a directional approach
Session ES01 Room: Senate
Robust analysis of complex data sets Sunday 18.12.2011    11:05 - 12:45
Chair: Stefan Van Aelst Organizer: Christophe Croux and Stefan Van Aelst
  E430:   A. Alfons, C. Croux, S. Gelper
  Robust regression and model selection: sparse least trimmed squares
  E449:   A. Thieler, R. Fried
  Robust analysis of periodicities in light curves using M-regression
  E451:   M. El Asri
  On asymptotic properties of weighted M-estimators
  E532:   C. Bruffaerts, B. De Rock, C. Dehon
  The robustness of the hyperbolic efficiency estimator
Session ES04 Room: Bloomsbury
Time Series modeling and computation I Sunday 18.12.2011    11:05 - 12:45
Chair: Andres M. Alonso Organizer: Andres M. Alonso and Roland Fried
  E023:   P. Poncela, M. Camacho, G. Perez-Quiros
  Forecasting with Markov-switching dynamic factor models
  E534:   A. Luati, A. Harvey
  Dynamic conditional score models
  E349:   M. Wiper
  Time series models for compass wind directions
  E492:   C. Garcia-Martos, J. Rodriguez, M. Sanchez
  Forecasting electricity prices and their volatilities using unobserved components
Session ES23 Room: Gordon
Advances in distance-based methods and applications Sunday 18.12.2011    11:05 - 12:45
Chair: Aurea Grane Organizer: Aurea Grane
  E395:   J. Fortiana, A. Esteve, E. Boj
  Influential subsets in distance-based (DB) prediction from genomic data
  E402:   E. Boj, T. Costa, J. Fortiana
  Applications of distance-based (DB) methods in actuarial science using R
  E508:   O. Pujol
  New trends in error correcting output codes
  E531:   A. Grane, P. Alonso, I. Albarran
  Profile identification via weighted related metric scaling: an application to Spanish dependent children
Session ES24 Room: Torrington
Mixture models: applications and extensions Sunday 18.12.2011    11:05 - 12:45
Chair: John Hinde Organizer: John Hinde
  E882:   R. Browne, P. McNicholas
  Model-based clustering and classification of data with mixed type
  E856:   N. Coffey, J. Hinde, A. Garcia
  Finite mixture model clustering of SNP data
  E823:   A. Figueiredo
  Classification of variables using the Watson distribution
  E801:   J. Hinde
  Mixture models for outliers
Session ES28 Room: Bedford
Design and analysis of computer experiments I Sunday 18.12.2011    11:05 - 12:45
Chair: Sonja Kuhnt Organizer: Sonja Kuhnt
  E144:   A. Jourdan
  Global sensitivity analysis of computer models by using orthogonal arrays and Fourier regressions
  E222:   D. Ginsbourger, C. Chevalier, J. Janusevskis, R. Le Riche
  Dealing with asynchronicity in Kriging-based parallel global optimization
  E397:   N. Youssef, H. Wynn
  Partial maximum entropy sampling criterion for computer experiments
  E455:   J. Fruth, S. Kuhnt
  Total interaction indices for the decomposition of functions with high complexity
Session ES30 Room: S264
Biostatistics I Sunday 18.12.2011    11:05 - 12:45
Chair: Gilbert Mackenzie Organizer: Gilbert Mackenzie
  E315:   G. MacKenzie , J. Xu
  Advances in covariance modelling
  E369:   J. Xu, G. MacKenzie
  Modelling covariance structure for incomplete multivariate longitudinial data
  E488:   S. Conde, G. MacKenzie
  Model selection in sparse high-dimensional contingency tables
  E443:   D. Peng , G. MacKenzie
  Optimal choice of reference subclass in categorical regression models
Session ES33 Room: S261
Robust methods in small area estimation Sunday 18.12.2011    11:05 - 12:45
Chair: Isabel Molina Organizer: Isabel Molina
  E116:   D. Haziza, V. Dongmo Jiongo, P. Duchesne
  Controlling the bias of robust small area predictors
  E425:   T. Schoch, B. Hulliger
  On computing and tuning some simple and robust unit-level SAE estimators
  E466:   R. Fried, I. Molina Peralta, B. Perez Garrido, A. Thieler
  Robustness analysis of unbalanced linear mixed modeling
  E712:   N. Tzavidis, S. Krieg, M. Smeets, C. Bocci, V. Blaess
  Outlier robust domain estimation for business survey data
Session ES36 Room: Jessel
Parametric and semiparametric hazards models and analyses Sunday 18.12.2011    11:05 - 12:45
Chair: M. Carmen Pardo Organizer: M. Carmen Pardo
  E069:   M. Avendano, M. Pardo, N. Balakrishnan
  Inference for a semiparametric generalized logit-based proportional hazards model in survival analysis
  E157:   L. Bordes, D. Chauveau
  EM and stochastic EM algorithms for duration mixture models under random censoring
  E371:   K. Langohr, G. Gomez, M. Calle
  Tools for the assessment of the linear regression model with an interval-censored covariate
  E724:   F. Vaida, M. Donohue, R. Haut, R. Xu
  Conditional AIC for generalized linear and proportional hazards mixed models
Session ES59 Room: Court
Imprecise probabilistic modeling to solve statistical problems II Sunday 18.12.2011    11:05 - 12:45
Chair: Marco Cattaneo Organizer: Marco Cattaneo and Ines Couso
  E196:   O. Strauss, S. Destercke
  Performing non-parametric homogeneity tests on interval-valued samples
  E420:   E. Miranda, I. Montes, S. Diaz
  Imprecise preferences by means of probability boxes
  E422:   T. Augustin
  Imprecise measurement error models and partial identification: towards a unified approach for non-idealized data
  E465:   M. Cattaneo, A. Wiencierz
  On the implementation of likelihood-based imprecise regression
Parallel session J: CFE Sunday 18.12.2011 14:15 - 16:20

Session CS07 Room: B33
Advances in computational methods for DSGE models Sunday 18.12.2011    14:15 - 16:20
Chair: Filippo Ferroni Organizer: Fabio Canova
  C026:   C. Matthes, T. Cogley, A. Sbordone
  Optimal disinflation under learning
  C087:   F. Ferroni, C. Cantore, M. Leon-Ledesma
  Interpreting the hours-technology time varying relationship
  C111:   E. Castelnuovo, G. Ascari , N. Branzoli
  Trend inflation, wage indexation and determinacy in the U.S.
  C130:   A. Ormeno
  Using survey data on inflation expectations in the estimation of learning and rational expectations models
Session CS38 Room: B36
Signal extraction and forecasting Sunday 18.12.2011    14:15 - 16:20
Chair: Pilar Poncela Organizer: Pilar Poncela
  C189:   A. Garcia-Ferrer, M. Bujosa, A. de Juan
  Coincident and leading indicators using factor linear dynamic harmonic regression models
  C190:   D. Delle Monache, A. Harvey
  Specification and misspecification of models for measuring the output gap.
  C261:   C. Cuerpo, P. Poncela
  Forecasting with multivariate models
  C481:   E. Gonzalez-Prieto, A. Garcia-Ferrer, D. Pena
  Blind source separation for non-Gaussian time series using higher-order statistics
  C582:   C. Croux, S. Gelper
  Time series least angle regression for selecting predictive economic sentiment series
Session CS42 Room: G16
Dynamic correlation models Sunday 18.12.2011    14:15 - 16:20
Chair: Jeroen Rombouts Organizer: Jeroen Rombouts
  C364:   P. Fryzlewicz, R. von Sachs
  Locally constant modelling of multivariate volatilities via unbalanced Haar wavelets
  C462:   F. Javed
  Volatility spillover in EU markets using DCC-MIDAS
  C257:   A. Dufays, L. Bauwens, J. Rombouts
  Multivariate Markov-Switching and change-point GARCH models
  C609:   K. Boudt, J. Cornelissen, C. Croux
  Jump robust daily covariance estimation by disentangling variance and correlation components
  C255:   F. Audrino
  Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks
Session CS50 Room: B34
Bayesian model averaging in econometrics Sunday 18.12.2011    14:15 - 16:20
Chair: Mark Steel Organizer: Mark Steel
  C097:   J. Crespo Cuaresma, P. Hofmarcher, B. Gruen
  Fishing economic growth determinants using Bayesian elastic nets
  C115:   E. Moral-Benito
  Dynamic panels with predetermined regressors: likelihood-based estimation and Bayesian averaging with an application to cross-country growth
  C209:   C. Christofides , T. Eicher, C. Papageorgiou
  Assessing early warning indicators of economic crises
  C359:   M. Feldkircher, S. Zeugner
  Growth determinants, data revisions and supermodels
  C435:   S. Karlsson, S. Ding
  Model averaging and variable selection in VAR-models
Session CS63 Room: B35
Computational and econometric methods in derivatives applications Sunday 18.12.2011    14:15 - 16:20
Chair: Panayiotis Andreou Organizer: Panayiotis Andreou
  C260:   J. Kuo, Y. Shi
  Market efficiency, information flows and hedging performance in European and US carbon markets
  C408:   P. Meier, F. Audrino
  Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines or trees
  C416:   A. Kagkadis, P. Andreou, D. Philip
  Investor sentiments, rational beliefs and option prices
  C530:   P. Andreou
  A volatility smirk that defaults: The case of the S\&P 500 index options
  C617:   D. Ronchetti
  An empirical study of stock and American option prices
Session CS69 Room: B20
Measuring systemic risk Sunday 18.12.2011    14:15 - 16:20
Chair: Monica Billio Organizer: Monica Billio
  C075:   D. Veredas, M. Dungey, M. Luciani
  Wrapping it up: Risk exposures, spillovers, contagion and systemic risk
  C122:   B. Schwaab, S. Koopman, A. Lucas
  Systemic risk diagnostics: coincident indicators and early warning signals
  C320:   S. Darolles, J. Emmanuelle, D. Patrick
  $l^q$-regularization of the Kalman filter for exogenous outlier removal: application to hedge funds analysis
  C448:   M. Kremer, D. Hollo, M. Lo Duca
  CISS - A composite indicator of systemic stress in the financial system
  C489:   M. Billio, L. Frattarolo, L. Pelizzon
  Network analysis: Contagion and systemic risk
Session CS92 Room: B18
Financial econometrics II Sunday 18.12.2011    14:15 - 16:20
Chair: Lorenzo Trapani Organizer: CFE 2011
  C049:   S. Novak
  Measures of financial risk
  C652:   J. Gorka
  Option pricing under Sign RCA-GARCH models - A comparative study
  C390:   M. Doan, H. Mitchell, R. Heaney
  A test of the efficiency of asset returns in the four-moment framework: An international study
  C594:   L. Trapani
  Testing for (In)Finite Moments
Session CP03 Room: Chancellor's
Posters session III Sunday 18.12.2011    14:15 - 16:20
Chair: Cristian Gatu Organizer: CFE 2011
  C694:   O. Awe
  An econometric analysis of selected economic indicators in Nigeria: A vector autoregressive (VAR) modeling approach
  C700:   F. Rosa-Gonzalez, E. Gonzalez-Davila
  Estimation and sensitivity analysis of business efficiency under free distribution methodology.
  C756:   A. Polymenis
  Bootstrap techniques for estimating the number of components in mixture analyses
  C782:   M. Barunikova, J. Barunik
  Information content of various realized volatility and jump estimators on the model-free implied volatility
  C797:   K. Osiewalski, J. Osiewalski
  Missing observations in volatility contagion analysis. Bayesian approach using the MSV-MGARCH framework
  C888:   R. Corradini
  Advanced estimates of regional accounts: A mixed approach nesting spatial errors into State Space Models
  C918:   A. Mabrouk, M. Elsherif
  Monetary policy and inflation targeting in Egypt: An empirical study
  C919:   A. De Waal, R. Van Eyden
  The monetary transmission mechanism in South Africa: A VECM augmented with foreign variables
  C968:   F. Venmans
  Capital market response to emission allowance prices: a multivariate GARCH approach
Parallel session J: ERCIM Sunday 18.12.2011 14:15 - 16:20

Session ES08 Room: Bloomsbury
Optimal design Sunday 18.12.2011    14:15 - 16:20
Chair: Steve Gilmour Organizer: Steve Gilmour and Ben Parker
  E169:   S. Biedermann, M. Yang
  Optimal designs for multinomial logistic regression
  E446:   H. Grossmann
  Algorithmic choice designs for paired comparisons of partial profiles
  E598:   P. Tsai, S. Gilmour
  $Q_B$-optimal saturated two-level main effects designs
  E556:   P. Goos, S. Gilmour, H. Grossmann
  Model-robust variance-component estimation and lack-of-fit test for split-plot and other multi-stratum response surface designs
  E847:   S. Gilmour, L. Trinca
  An improved algorithm for split-plot and multi-stratum designs
Session ES12 Room: Jessel
High-dimensional statistics, sparsity and applications Sunday 18.12.2011    14:15 - 16:20
Chair: Pierre Alquier Organizer: Gerard Biau and Pierre Alquier
  E089:   B. Guedj, G. Biau, E. Moulines, P. Alquier
  PAC-Bayesian and interacting MCMC techniques under the scope of sparse generalized additive model
  E108:   E. Gautier, A. Tsybakov
  High dimensional instrumental regression and confidence sets
  E133:   K. Bleakley, J. Vert
  The group fused Lasso for multiple change-point detection
  E463:   A. Kaban, B. Durrant
  Subspace adaptiveness of compressive Fisher's linear discriminant classifier
  E030:   R. Samworth, R. Shah
  A second look at stability selection
Session ES22 Room: S261
Dealing with rare events: resampling-based methods Sunday 18.12.2011    14:15 - 16:20
Chair: M. Ivette Gomes Organizer: M. Ivette Gomes
  E306:   M. Neves, I. Gomes, F. Figueiredo, D. Prata Gomes
  Computer-intensive methods in an adaptive estimation of parameters of rare events
  E355:   M. Xie
  Confidence intervals and hypothesis tests for order statistics of parameters
  E486:   M. Brito
  Resampling tail estimators and applications
  E059:   L. Peng
  Resampling for endpoint
  E955:   A. Cornea, K. Abadir
  Bootstrapping with fat-tailed asymmetry
Session ES26 Room: Gordon
MCMC for estimating diffusions Sunday 18.12.2011    14:15 - 16:20
Chair: Frank van der Meulen Organizer: Geurt Jongbloed and Frank van der Meulen
  E099:   A. Golightly, D. Wilkinson
  Irreducible MCMC schemes for diffusions using high frequency imputation
  E898:   K. Kalogeropoulos, A. Beskos, E. Pazos
  Advanced MCMC methods for sampling on diffusion pathspace
  E407:   O. Papaspiliopoulos, G. Sermaidis, R. Gareth, A. Beskos, F. Paul
  Markov chain Monte Carlo for exact inference for diffusions
  E933:   O. Stramer, M. Bognar
  Bayesian inference for a generalized class of Heston models
  E281:   F. van der Meulen, H. van Zanten , M. Schauer
  Nonparametric drift estimation for diffusions
Session ES35 Room: Woburn
Longitudinal data analysis Sunday 18.12.2011    14:15 - 16:20
Chair: M. Carmen Pardo Organizer: M. Carmen Pardo
  E047:   V. Nunez-Anton
  Antedependence models for longitudinal nonstationary data
  E137:   D. Morina, P. Puig, J. Valero
  Autoregressive models for positive time series
  E231:   A. Guha, B. Atanu
  Modelling and analysis of multivariate ordinal categorical data in longitudinal setup
  E282:   O. Ilk, O. Asar
  Computational ease on marginalized models for multivariate longitudinal binary data via probit link
  E496:   R. Cook, M. Cuerden, C. Cotton
  Issues in the analysis of longitudinal data with dependent observation schemes
Session ES40 Room: Senate
Bayesian nonparametrics modelling Sunday 18.12.2011    14:15 - 16:20
Chair: Jim Griffin Organizer: Jim Griffin , Sonia Petrone and Igor Pruenster
  E134:   A. Kottas, K. Fronczyk
  Nonparametric mixture modeling for Bayesian analysis of dose-response studies
  E113:   F. Petralia, D. Dunson
  Repulsive mixtures
  E600:   S. Favaro, A. Lijoi, I. Pruenster
  On the stick-breaking representation for Gibbs-type priors
  E265:   R. Mena, R. Fuentes-Garcia , M. Ruggiero, S. Walker
  Nonparametric stick breaking priors with simple weights
  E962:   S. Petrone, S. Wade, S. Walker
  A predictive study of Bayesian nonparametric regression models
Session ES46 Room: Bedford
Recent advances in multi-state models Sunday 18.12.2011    14:15 - 16:20
Chair: Jacobo de Una-Alvarez Organizer: Jacobo de Una-Alvarez
  E300:   M. Rodriguez-Girondo, J. de Una-Alvarez
  Nonparametric methods for testing Markov condition in multi-state models
  E216:   L. Machado, A. Moreira, J. de Una-Alvarez
  Presmoothing the Aalen-Johansen estimator in an illness-death model
  E237:   S. Datta
  Nonparametric regression for sojourn time distributions in a multistate model
  E238:   S. Datta
  Nonparametric regression using partial least squares dimension reduction in multistate models
  E123:   P. Andersen, G. Cortese, T. Gerds
  Comparison of prediction models for competing risks with time-dependent covariates
Session ES49 Room: Torrington
New developments in quantile regression Sunday 18.12.2011    14:15 - 16:20
Chair: Stanislav Volgushev Organizer: Stanislav Volgushev
  E053:   I. Fernandez-Val, A. Belloni, V. Chernozhukov
  Conditional quantile processes based on series or many regressors
  E065:   T. Kley, H. Dette, M. Hallin
  A quantile-based approach to spectral analysis of time series
  E181:   J. Jureckova
  Two-step regression quantiles: Advantages and applications
  E345:   C. Heuchenne, I. Van Keilegom
  Quantile regression in nonparametric location-scale models with censored data
  E392:   Y. Wei, Y. Ma, R. Carroll
  Multiple imputation in quantile regression
Session ES56 Room: Court
Approaches to the treatment of imprecision of statistical data Sunday 18.12.2011    14:15 - 16:20
Chair: Renato Coppi Organizer: Renato Coppi
  E309:   R. Coppi
  The ontological and epistemic views of fuzzy data in the statistical reasoning process
  E361:   D. Dubois, E. Huellermeier
  Making sense of set-valued data: Ontic vs. epistemic representations
  E468:   R. Siciliano, M. Aria, V. Cozza, A. D'Ambrosio
  Ternary classification trees for imprecise data
  E477:   E. Huellermeier, D. Dubois
  On the notion of disambiguation in learning from imprecise data
  E784:   M. Gil, S. de la Rosa de Saa, M. Lopez, M. Lubiano
  Comparing Likert and fuzzy scales through some statistical tools
Session ES72 Room: S264
Networking on Biostatistics: the BIOSTATNET project III Sunday 18.12.2011    14:15 - 16:20
Chair: Guadalupe Gomez Organizer: Carmen Cadarso
  E323:   E. Molanes Lopez, E. Leton
  The use of the Youden index in diagnostic studies
  E339:   M. Rivas-Lopez, J. Lopez-Fidalgo
  Designs for partial likelihood in survival analysis
  E906:   R. Dorta Guerra, E. Gonzalez Davila, J. Ginebra
  D-optimal factorial designs for Poisson models in the context of toxicity studies
  E914:   C. Serrat
  Durability in building maintenance
  E886:   I. Sousa
  Transformed Gaussian model for joint modelling of longitudinal measurements and time-to-event in R
Session EP03 Room: Chancellor's
Posters session III Sunday 18.12.2011    14:15 - 16:20
Chair: Cristian Gatu Organizer: ERCIM 2011
  E842:   I. Papageorgiou
  An optimal design to improve control charts for correlated observations
  E862:   E. Gonzalez-Davila, A. Gonzalez-Yanes
  Adaptation to the survey ICT-H in Canary Islands of the dual frame methodology
  E928:   T. Okubo, S. Mayekawa
  Applying mixed-multivariate beta models and log-linear models to discrete test score distributions.
  E869:   N. Lunardon, L. Greco, L. Ventura
  Pairwise likelihood based robust estimation of multivariate location and covariance
  E891:   J. Vicente, A. Dionisio, M. Oliveira
  The potentialities of Chinese airline market for Lisbon international airport: the empirical modelling analysis
  E935:   F. Marques, C. Coelho
  On the linear combination of independent Gumbel random variables
  E807:   A. Sezer, B. Kan, B. Yazici
  Nonparametric bootstrap inference for quantiles and its application to the extremes
  E948:   A. Mohammad-Djafari, D. Pougaza
  New copulas obtained by maximizing R\'enyi entropis and their use for multivariate data analysis
  E957:   M. Malina, S. Tworek, M. Bogdan
  Selection of interactions with Bayesian logic regression methods
Parallel session K: CFE Sunday 18.12.2011 16:50 - 18:30

Session CS01 Room: Bloomsbury
Modelling multivariate financial time series Sunday 18.12.2011    16:50 - 18:30
Chair: Alessandra Amendola Organizer: Alessandra Amendola
  C107:   C. Brownlees, D. Kristensen, Y. Shin
  Smooth filtering and likelihood inference in dynamic latent variables models
  C164:   G. Sucarrat, J. Marin
  Financial density selection
  C199:   N. Loperfido, C. Franceschini
  Modelling predictive asymmetry in multivariate financial time series
  C540:   G. Calzolari, G. Aielli, G. Fiorentini
  Fast indirect estimation of latent factor models with conditional heteroskedasticity
Session CS24 Room: Woburn
Bayesian empirical macroeconomics Sunday 18.12.2011    16:50 - 18:30
Chair: Gary Koop Organizer: Gary Koop
  C453:   M. Jochmann, F. Casalin
  Robust modeling of IPO market cycles using a regime switching model with an unknown number of regimes
  C507:   A. Garratt, J. Mitchell, S. Vahey
  Density forecasts with opinion pools and dependent models
  C587:   C. Mastromarco, U. Woitek
  Efficiency measurement in a DSGE framework
  C766:   D. Kim, Y. Yamamoto
  Time instability of the U.S. monetary system: Multiple break tests and reduced rank TVP VAR
Session CS21 Room: Jessel
Macro-finance interface Sunday 18.12.2011    16:50 - 18:30
Chair: Herman Van Dijk Organizer: Lennart Hoogerheide and Herman Van Dijk
  C586:   N. Basturk, A. Zellner, T. Ando, L. Hoogerheide, H. van Dijk
  Direct and indirect Monte Carlo for simultaneous equations, instrumental variables and errors in variables models
  C636:   H. van Dijk, L. Hoogerheide, L. Gatarek
  Bayesian factor model averaging and industry momentum strategies
  C391:   L. Krippner
  A theoretical foundation for the Nelson and Siegel class of yield curve models
  C741:   N. Mirkov
  International financial transmission of the US monetary policy: An empirical assessment
Session CS44 Room: Court
Volatility estimation and forecasting Sunday 18.12.2011    16:50 - 18:30
Chair: Simona Sanfelici Organizer: Simona Sanfelici
  C092:   F. Viens, A. Chronopoulou
  On stochastic volatility models with long-memory in discrete and continuous time
  C305:   J. Woerner
  Inference for stochastic volatility models with jumps
  C331:   A. Gloter, E. Clement
  Limit theorems in the Fourier transform method for the estimation of volatility
  C291:   M. Mancino, S. Sanfelici
  Estimation of quarticity with high frequency data
Session CS59 Room: Torrington
Volatility, heavy tails and risk Sunday 18.12.2011    16:50 - 18:30
Chair: Jean-Michel Zakoian Organizer: Jean-Michel Zakoian
  C096:   O. Wintenberger, S. Cai
  Parametric inference and forecasting in continuously invertible volatility models
  C335:   C. Francq, J. Zakoian
  Estimating the marginal distribution of heavy tailed time series
  C382:   G. Lepage, C. Francq, J. Zakoian
  Maximum likelihood estimator for a conditional heteroscedastic model with alpha-stable innovation
  C657:   G. Mero, S. Darolles, G. Le Fol
  Tracking illiquidities in intradaily and daily characteristics
Session CS65 Room: Gordon
Financial markets contagion Sunday 18.12.2011    16:50 - 18:30
Chair: Gaelle Le Fol Organizer: Gaelle Le Fol and Serge Darolles
  C032:   L. Wagalath, R. Cont
  Running for the exit: Distressed selling and endogenous correlation in financial markets
  C316:   J. Dudek, G. Le Fol, S. Darolles
  Liquidity contagion: A look at emerging markets
  C330:   M. Rockinger, E. Jondeau, E. Jurczenko
  Moment component analysis: An illustration with international stock markets
  C246:   P. Gagliardini, S. Darolles, C. Gourieroux
  Survival of hedge funds: Frailty vs contagion
Session CS70 Room: Bedford
Evaluating financial performances Sunday 18.12.2011    16:50 - 18:30
Chair: Bertrand Maillet Organizer: Monica Billio
  C352:   M. Costola, M. Caporin
  The dependence between performance measures and the construction of a composite performance index
  C577:   G. Jannin, M. Caporin, F. Lisi, B. Maillet
  A survey on the four families of performance measures
  C576:   B. Maillet, M. Billio, G. Jannin, L. Pelizzon
  Towards a generalized performance measure
  C697:   P. Grau-Carles, L. Doncel, J. Sainz
  Different mutual fund reward-to-risk performance measures
Parallel session K: ERCIM Sunday 18.12.2011 16:50 - 18:30

Session ESI04 Room: Senate
Space-time modelling in disease mapping Sunday 18.12.2011    16:50 - 18:30
Chair: Lola Ugarte Organizer: Domingo Morales and Lola Ugarte
  E158:   L. Ugarte, T. Goicoa, J. Etxeberria, A. Militino
  Detecting space-time interactions in disease mapping when using CAR models
  E250:   A. Lawson, J. Choi
  Latent clustering and grouping in Bayesian mixed effect spatio-temporal models for small area disease risk
  E546:   A. Biggeri, D. Catelan
  Hierarchical Bayesian modelling to assess divergence in spatio-temporal disease mapping
Session ES13 Room: S264
Robust methods for financial applications Sunday 18.12.2011    16:50 - 18:30
Chair: Kris Boudt Organizer: Kris Boudt
  E118:   S. Straetmans, B. Candelon
  Long-term asset tail risks in developed and emerging markets
  E125:   D. Tuerk, M. Eichler
  Fitting semiparametric Markov-switching models to electricity prices
  E301:   P. Exterkate, C. Croux
  Sparse and robust factor modelling
  E440:   J. Cornelissen, K. Boudt, C. Croux, S. Laurent
  Nonparametric tests for intraday jumps: impact of periodicity and microstructure noise
Session ES32 Room: S261
Diagnostic tests for independent and time-series data Sunday 18.12.2011    16:50 - 18:30
Chair: Simos Meintanis Organizer: Simos Meintanis
  E262:   A. Cabana, A. Arratia, E. Cabana
  Modelling stationary time series by continuous time processes
  E312:   M. Huskova, Z. Hlavka, C. Kirch, S. Meintanis
  Sequential monitoring of stability of time series
  E342:   O. Thas, J. Rayner
  Diagnostic tests for the location-shift assumption
  E524:   N. Henze, S. Meintanis
  The probability weighted empirical characteristic function and goodness-of-fit testing
Session ES44 Room: G16
Modelling the extremes Sunday 18.12.2011    16:50 - 18:30
Chair: Carl Scarrott Organizer: Carl Scarrott
  E308:   Y. Liu, J. Tawn, A. Ledford
  Conditional analysis for multivariate extremes in finance
  E399:   C. Scarrott , A. MacDonald , D. Lee
  Modelling non-stationary extremal behaviour via mixture modelling
  E484:   X. Zhao, D. Lee, M. Reale, L. Oxley, C. Scarrott
  A Dirichlet process mixture model in fitting peaks over threshold
  E562:   A. Alvarez-Iglesias, J. Newell, C. Scarrott, J. Hinde
  Extreme value modeling of survival times
Session ES45 Room: B36
Mixture models: theory and data analysis Sunday 18.12.2011    16:50 - 18:30
Chair: Marco Riani Organizer: Marco Riani
  E244:   D. Perrotta
  Fitting regression mixtures to contaminated data
  E322:   A. Mayo Iscar, L. Garcia-Escudero, A. Gordaliza, C. Matran
  Constraints in mixture modelling
  E340:   S. Ingrassia, S. Minotti, A. Punzo
  Parsimonious linear Student-t cluster weighted model
  E354:   A. Corbellini
  A comparison of different multivariate clustering methods
Session ES47 Room: B33
Semiparametric models with incomplete data Sunday 18.12.2011    16:50 - 18:30
Chair: Ingrid Van Keilegom Organizer: Ingrid Van Keilegom
  E215:   J. de Una-Alvarez, C. Moreira
  Semiparametric kernel density estimation with doubly truncated data
  E225:   O. Lopez, S. Gribkova, P. Saint Pierre
  A goodness-of-fit procedure for semiparametric copula models under random censoring
  E321:   U. Mueller
  Complete case analysis revisited
  E584:   R. Braekers, A. Gaddah
  Flexibly extending the classical Koziol-Green model by a copula function.
Session ES51 Room: B18
Advances in software for tree models Sunday 18.12.2011    16:50 - 18:30
Chair: Achim Zeileis Organizer: Achim Zeileis
  E329:   E. Dusseldorp, I. Van Mechelen
  TINT R-package for advanced subgroup analysis
  E401:   T. Grubinger, A. Zeileis, K. Pfeiffer
  evtree: Evolutionary learning of globally optimal classification and regression trees in R
  E424:   A. Zeileis, T. Hothorn
  partykit: A toolkit for recursive partytioning
  E510:   C. Conversano
  Detecting threshold interactions in supervised classification and regression: STIMA
Session ES55 Room: B35
Fuzzy sets in statistics Sunday 18.12.2011    16:50 - 18:30
Chair: Gil Gonzalez-Rodriguez Organizer: Gil Gonzalez-Rodriguez
  E197:   W. Waegeman, T. Pahikkala, A. Airola, T. Salakoski, B. De Baets
  A kernel framework for learning relations from paired-comparison data
  E478:   C. Roldan, A. Roldan, J. Martinez-Moreno
  On a fuzzy regression model with crisp input and trapezoidal fuzzy output data
  E479:   L. Rodriguez-Muniz, L. Troiano, I. Diaz
  Output distributions of aggregation functions: a statistical study
  E566:   P. Teran, J. Moreno
  Modelling decisors' subjective attitude towards negotiation in e-democracy and e-cognocracy problems
Session ES74 Room: B34
Outliers and change-points in time series II Sunday 18.12.2011    16:50 - 18:30
Chair: Christophe Croux Organizer: Christophe Croux and Roland Fried
  E460:   T. Liboschik, R. Fried
  Interventions in INGARCH processes and their effects on the estimation of autocorrelation
  E662:   D. Ferger
  Least squares estimation in models with multiple change-points
  E533:   S. Iacus
  Recent results on volatility change point estimation for stochastic differential equations
  E021:   D. Wied, W. Kraemer, H. Dehling
  Testing for structural changes in the dependence structure at an unknown point in time
Session ES67 Room: B20
Heuristics in finance Sunday 18.12.2011    16:50 - 18:30
Chair: Dietmar Maringer Organizer: Dietmar Maringer
  E258:   G. Kronberger, S. Fink, M. Affenzeller
  Modeling and prognosis of European interest rate swaps using genetic programming
  E268:   S. Villa, F. Stella
  Continuous time Bayesian classifiers for intraday FX prediction
  E302:   C. Oesch
  Option pricing with grammatical evolution
  E474:   G. Dash, N. Kajiji
  Multivariate neural network estimation of bidirectional volatility spillover between U.S. and European government bond markets
Parallel session L: CFE Monday 19.12.2011 09:05 - 10:25

Session CS02 Room: Jessel
Realized volatility in applications Monday 19.12.2011    09:05 - 10:25
Chair: Francesco Audrino Organizer: Francesco Audrino
  C100:   S. Xanthopoulos, D. Louzis, A. Refenes
  Realized volatility models and alternative Value at Risk prediction strategies
  C117:   N. Fusari, F. Corsi, D. La Vecchia
  Realizing smiles: option pricing with realized volatility
  C221:   G. Velo
  Realized volatility: estimation, forecasting and option trading
Session CS81 Room: Senate
Computational econometrics and applications I Monday 19.12.2011    09:05 - 10:25
Chair: Monica Billio Organizer: CFE 2011
  C560:   A. Dubey
  Time scales, wavelet realized volatility and jump variation: An empirical investigation for India
  C679:   L. Aguiar-Conraria, M. Soares
  The continuous wavelet transform: A primer
  C776:   O. Grothe, F. Schmid, J. Schnieders, J. Segers
  Measuring association between random vectors
  C713:   F. Karame, Y. Fondeur
  Analizing if Google helps to predict French youth unemployment
Session CS98 Room: S261
Financial econometrics IV Monday 19.12.2011    09:05 - 10:25
Chair: Michael Creel Organizer: CFE 2011
  C802:   N. Kourogenis, N. Pittis
  Persistent stochastic betas and the statistical properties of stock returns
  C827:   M. Matilla-Garcia
  Nonparametric tests for selecting significant lags
  C779:   F. Bec, M. Ben Salem
  Inventory investment and french business cycles
  C629:   M. Creel
  Indirect likelihood estimation: Specification testing and model selection
Session CS48 Room: Bloomsbury
Continuous time financial models Monday 19.12.2011    09:05 - 10:25
Chair: Leopold Soegner Organizer: Leopold Soegner
  C307:   J. Pelenis, L. Soegner
  Parameter estimation of Heston type stochastic volatility models
  C353:   J. Sass
  Continuous-time hidden Markov models: robust filters, estimation and portfolio optimization
  C254:   L. Soegner
  Method of moments estimation and affine term structure models
Session CS57 Room: S264
Real-time modelling with mixed frequencies Monday 19.12.2011    09:05 - 10:25
Chair: Tommaso Proietti Organizer: CFE 2011
  C853:   S. Lui, J. Mitchell
  Nowcasting euro-area GDP growth using a mixed frequency Global VAR model
  C879:   R. Scheufele, K. Drechsel
  A comparison of bottom-up approaches and direct forecasts of German GDP in a data-rich environment
  C666:   B. Siliverstovs
  On the prediction of GDP revisions: Evidence for Switzerland
  C824:   V. Kvedaras, V. Zemlys
  Testing the functional restrictions on parameters in the MIDAS regressions
Session CS91 Room: Gordon
Computational econometrics Monday 19.12.2011    09:05 - 10:25
Chair: Alessandra Amendola Organizer: CFE 2011
  C648:   T. Selland Kleppe, R. Liesenfeld
  Efficient high-dimensional importance sampling in mixture frameworks
  C664:   G. Weiss, M. Padberg
  Automated vine copula calibration using genetic algorithms
  C671:   M. Restaino, A. Amendola, L. Sensini
  Variable selection in competing risks model for corporate exit
  C678:   P. Richard
  Optimal and data driven smoothing for simuation-based inference
Session CS05 Room: Torrington
Contributions in multivariate financial time series Monday 19.12.2011    09:05 - 10:25
Chair: Alain Hecq Organizer: CFE 2011
  C632:   V. Berenguer-Rico, J. Gonzalo
  Co-summability: From linear to non-linear co-integration
  C686:   J. Stoeber, C. Czado
  Time varying dependence in high dimensional financial data sets
  C795:   J. Osiewalski, K. Osiewalski
  General hybrid MSV--MGARCH models of multivariate volatility - Bayesian analysis
  C774:   A. Hecq, J. Issler
  Permanent transitory decompositions under short and long-run present value model restrictions
Session CS43 Room: Bedford
Contributions in derivative pricing Monday 19.12.2011    09:05 - 10:25
Chair: Paolo Foschi Organizer: CFE 2011
  C191:   M. Fengler, L. Hin
  Semi-nonparametric estimation of the call price surface under no-arbitrage constraints
  C736:   A. Vaello-Sebastia, U. Ansejo, A. Bergara
  Capturing skewness and kurtosis by fitting the QQ-plot: A simple approach with an application to option pricing
  C821:   C. Epprecht, M. Pereira, A. Veiga
  Option pricing via nonparametric Esscher transform
  C861:   P. Foschi
  Pricing of American options in local volatility models
Session CS66 Room: Court
Contributions to Bayesian econometrics Monday 19.12.2011    09:05 - 10:25
Chair: Rachida Ouysse Organizer: CFE 2011
  C516:   S. Zeugner, M. Feldkircher
  Benchmark priors revisited: On adaptive shrinkage and the supermodel E ect in Bayesian model averaging
  C596:   R. Ouysse
  Bayesian moving average and principal components forecasts for large dimensional factor models
  C738:   C. Cakmakli
  Bayesian semiparametric dynamic Nelson-Siegel model
  C912:   M. Moser
  Interaction terms and restricted model spaces in Bayesian model averaging
Session CS75 Room: Woburn
Contributions in time series and panel data econometrics Monday 19.12.2011    09:05 - 10:25
Chair: Jean-Pierre Urbain Organizer: CFE 2011
  C695:   W. Wan Yaacob, M. Lazim, B. Yap
  Individual size and time period effects on the unconditional fixed effects negative binomial regression estimator
  C750:   A. Raknerud, B. Vatne, K. Rakkestad
  How banks' funding costs affect interest margins
  C875:   G. Everaert
  A panel analysis of the Fisher effect with an unobserved I(1) world real interest rate
  C812:   J. Urbain, S. Smeekes
  On the applicability of the sieve bootstrap in time series panels
Parallel session N: ERCIM Monday 19.12.2011 10:55 - 12:35

Session ES05 Room: B34
Bayesian nonparametric priors Monday 19.12.2011    10:55 - 12:35
Chair: Igor Pruenster Organizer: Jim Griffin , Sonia Petrone and Igor Pruenster
  E314:   F. Caron, Y. Teh
  A Bayesian nonparametric model for ranking
  E937:   E. Fox, D. Dunson
  Bayesian nonparametric covariance regression
  E852:   A. Lijoi, B. Nipoti
  Vectors of dependent random probabilities
  E495:   S. Williamson, Z. Ghahramani, S. MacEachern
  Constructing exchangeable priors via restriction
Session ES07 Room: B18
Mixture models Monday 19.12.2011    10:55 - 12:35
Chair: Christian Hennig Organizer: Christian Hennig
  E676:   I. Kosmidis, D. Karlis
  Model-based clustering via copulas
  E578:   J. Dupuy, A. Diop, A. Diop
  Maximum likelihood estimation in the logistic regression model with a cure fraction
  E709:   L. Bagnato, F. Greselin, S. Ingrassia, A. Punzo
  Normal discriminant analysis via the 2-terms eigenvalue decomposition
  E770:   A. Mohammadi, M. Salehi-Rad, E. Wit
  Using mixture of Gamma distributions for Bayesian analysis in an M/G/1 queue with optional second service
Session ES34 Room: B36
Invariant coordinate selection and dimension reduction Monday 19.12.2011    10:55 - 12:35
Chair: Hannu Oja Organizer: Hannu Oja
  E273:   A. Ruiz-Gazen
  Multivariate outliers detection using ICS
  E358:   K. Nordhausen, E. Liski, H. Oja
  Supervised invariant coordinate selection
  E376:   F. Critchley, A. Pires, C. Amado
  Invariant coordinate selection revisited: a symmetry group perspective
  E470:   D. Tyler, J. Wang
  Testing the equality of the roots in ICS
Session ES42 Room: G16
Point processes: modelling and forecasting Monday 19.12.2011    10:55 - 12:35
Chair: Paula Rodriguez Bouzas Organizer: Paula Rodriguez Bouzas
  E072:   A. Cebrian
  Modelling the occurrence of extreme heat events using a bivariate Poisson process
  E120:   M. Lieshout
  A J-function for inhomogeneous point processes with applications
  E438:   C. Caroni, D. Stogiannis
  Tests for outliers in power-law and inverse Gaussian models for event times
  E346:   N. Ruiz-Fuentes, P. Bouzas, G. Atsalakis
  Behavior comparison of turning points of stock prices
Session ES48 Room: B33
Multivariate nonparametrics Monday 19.12.2011    10:55 - 12:35
Chair: Daniel Vogel Organizer: Daniel Vogel
  E266:   K. Mosler, R. Dyckerhoff
  Weighted-mean regions of a probability distribution
  E375:   S. Taskinen, H. Oja
  Hettmansperger-Randles estimators for multivariate regression
  E866:   A. Duerre, D. Vogel, R. Fried
  The Fisher consistent transformed spatial sign covariance matrix and its properties
  E432:   D. Vogel, H. Dehling, R. Fried
  A nonparametric test for change-points in correlation
Session ES64 Room: B35
Fuzzy knowledge extraction and engineering Monday 19.12.2011    10:55 - 12:35
Chair: Anne Laurent Organizer: Anne Laurent and Sadok Ben Yahia
  E444:   S. Ben Yahia, A. Ben Jrad, C. Trabelsi
  Towards a fuzzy ontology learning from folksonomies
  E689:   M. Pelka, A. Dudek
  Comparison of fuzzy clustering methods for interval-valued symbolic data
  E551:   C. Marsala, M. Rifqi
  Characterizing forest of fuzzy decision trees errors
  E502:   A. Laurent, S. Ayouni, L. Di Jorio, S. Ben Yahia, P. Poncelet
  Mixing multiple fuzzy modalities for fuzzy gradual pattern mining
Session ES68 Room: B20
Microarray data analysis Monday 19.12.2011    10:55 - 12:35
Chair: Taesung Park Organizer: Taesung Park
  E228:   S. Lee, J. Kim, S. Lee
  Comparative evaluation of gene-set analysis methods in association with survival time
  E386:   H. Kim, E. Gelenbe
  Stochastic model based abnormality detection in a large-scale gene regulatory network
  E568:   S. Imoto
  NetworkProfiler: Uncovering cancer heterogeneity in transcriptome data
  E574:   T. Park, J. Lee, S. Ahn
  Gene set analysis for SNPs with low minor allele frequencies
Parallel session N: CFE Monday 19.12.2011 10:55 - 12:35

Session CSI04 Room: Beveridge
Financial time series modelling Monday 19.12.2011    10:55 - 12:35
Chair: Christian Francq Organizer: CFE 2011
  C179:   F. Drost, I. Becheri, B. Werker
  Asymptotic equivalence of continuously and discretely sampled jump-diffusion models
  C297:   J. Zakoian, C. Francq
  Testing strict stationarity in GARCH models
  C563:   A. Rahbek
  Reduced rank autoregression with volatility induced stationarity
Session CS09 Room: Court
High frequency data modeling Monday 19.12.2011    10:55 - 12:35
Chair: Massimiliano Caporin Organizer: Massimiliano Caporin and Eduardo Rossi
  C206:   K. Wohlrabe, S. Mittnik, N. Robinzonov
  Market uncertainty and macroeconomic announcements: High-frequency evidence from the German DAX
  C272:   M. Caporin, A. Ranaldo, G. Velo
  Stylized facts and information asymmetry on high frequency precious metals spot prices
  C347:   E. Rossi, P. Santucci de Magistris
  Indirect inference for long memory stochastic volatility model with high-frequency data
  C160:   P. Santucci de Magistris, S. Grassi
  A dynamic multifactor model for high an low frequency volatility activity
Session CS18 Room: S261
Bayesian financial risk management Monday 19.12.2011    10:55 - 12:35
Chair: Richard Gerlach Organizer: Richard Gerlach
  C172:   B. Choy, N. Wichitaksorn, J. Wang, R. Gerlach
  Stochastic volatility models and quantile regression using asymmetric Laplace error distribution via uniform scale mixtures
  C220:   G. Tsiotas
  Evaluating value at risk and expected shortfall using generalised asymmetric volatility models
  C389:   G. Peters, M. Briers, P. Shevchenko, A. Doucet
  Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
  C833:   B. Hudson, R. Gerlach
  Estimating portfolio value at risk using a skew-t copula-GARCH model
Session CS20 Room: Senate
Non linearity and business cycles Monday 19.12.2011    10:55 - 12:35
Chair: Dominique Guegan Organizer: Dominique Guegan
  C370:   P. Rakotomarolahy, D. Guegan
  Variable selection for prediction purpose of real economic activity
  C517:   P. Addo, D. Guegan
  A test for a new modelling: The univariate MT-STAR model
  C368:   L. Cales, M. Billio, D. Guegan
  A rank-based approach to cross-sectional analysis
  C659:   M. Pourroy, B. Carton, D. Coulibaly
  Monetary policy, food inflation and the business cycle.
Session CS23 Room: S264
Identification-robust inference and large models Monday 19.12.2011    10:55 - 12:35
Chair: Lynda Khalaf Organizer: Lynda Khalaf
  C603:   R. Luger
  Testing for GARCH effects: An exact procedure based on quasi-likelihood ratios
  C604:   B. Antoine, O. Boldea
  Efficient inference with time-varying identification strength
  C630:   C. Yelou, J. Bernard, L. Khalaf, M. Kichian
  Exact inference with time varying parameters in linear models
  C601:   L. Khalaf, G. Kapetanios, M. Marcellino
  Factor based identification-robust inference in IV regressions
Session CS29 Room: Woburn
Modelling and forecasting financial risk Monday 19.12.2011    10:55 - 12:35
Chair: Stefan Mittnik Organizer: Michael McAleer
  C318:   K. Andres, A. Harvey
  Score-based range models
  C380:   I. Ishida, M. McAleer, K. Oya
  Estimating the extended Heston stochastic volatility model with Jacobi stochastic leverage for S\&P500 and VIX
  C431:   P. Araujo Santos, J. Jimenez-Martin, M. McAleer, T. Perez Amaral
  Optimal combination of risk forecasts under the Basel accord
  C790:   S. Mittnik
  Solvency II calibrations: Where curiosity meets curiosity
Session CS30 Room: Jessel
Quantitative assessment of financial stability and macro-policies Monday 19.12.2011    10:55 - 12:35
Chair: Costas Milas Organizer: Costas Milas
  C498:   A. Audzeyeva, K. Schenk-Hoppe
  The risk of default and the term-structure of sovereign yield spreads
  C286:   M. Uddin, A. Boateng, R. Naraidoo
  A forecasting analysis of the inward cross-border mergers and acquisitions in the UK: A macroeconomic perspective
  C381:   T. Sekhposyan, M. Owyang
  Stabilization effects of the Euro area monetary policy
  C084:   C. Milas, G. Legrenzi
  Debt sustainability and financial crises: Evidence from the GIIPS
Session CS33 Room: Bloomsbury
Bayesian econometrics and applications Monday 19.12.2011    10:55 - 12:35
Chair: Teruo Nakatsuma Organizer: Yasuhiro Omori
  C140:   J. Nakajima, M. West
  Bayesian analysis of latent threshold dynamic models
  C296:   K. McAlinn, T. Nakatsuma
  GPGPU parallel computing for Bayesian portfolio selection with massive number of assets
  C388:   S. Shirota, T. Hizu, Y. Omori
  Realized stochastic volatility with leverage and long memory
  C727:   G. Kobayashi, H. Kozumi
  Transdimensional approximate Bayesian computation for model choice
Session CS41 Room: Bedford
Derivative pricing Monday 19.12.2011    10:55 - 12:35
Chair: Jeroen Rombouts Organizer: Jeroen Rombouts
  C022:   A. Taamouti, B. Feunou, J. Fontaine, R. Tedongap
  The equity premium and the maturity structure of uncertainty
  C184:   F. Violante, J. Rombouts, L. Stentoft
  Testing and evaluating dynamic correlations in terms of Dow Jones industrial average index options pricing
  C419:   L. Stentoft, J. Rombouts
  Empirical performance of GARCH option pricing models: Evidence from 139,879 individual stock options
Session CS51 Room: Gordon
Financial econometrics modelling Monday 19.12.2011    10:55 - 12:35
Chair: Elias Tzavalis Organizer: Elias Tzavalis
  C538:   M. Lof
  Noncausality and asset pricing
  C550:   C. Louca, P. Andreou, C. Savva
  Influence of market conditions on event-study: The case of merger and acquisition announcement effects
  C961:   G. Kapetanios, N. Bailey, H. Pesaran
  Exponent of cross-sectional dependence: Estimation and inference
  C193:   E. Tzavalis, L. Rompolis
  Retrieving risk neutral moments and expected quadratic variation from option prices
Session CS60 Room: Torrington
Econometrics with R Monday 19.12.2011    10:55 - 12:35
Chair: Achim Zeileis Organizer: Achim Zeileis and Christian Kleiber
  C452:   C. Lupi
  Panel covariate augmented Dickey-Fuller tests with R
  C454:   G. Piras
  More on spatial models in R: spse
  C467:   C. Kleiber
  punitroots: Infrastructure for panels with unit roots
  C480:   G. Millo
  ML estimation of spatially and serially correlated panels with random effects: an estimation framework and a software implementation
Parallel session O: ERCIM Monday 19.12.2011 14:05 - 15:45

Session ESI01 Room: Beveridge
Robust methods Monday 19.12.2011    14:05 - 15:45
Chair: Alastair Young Organizer: ERCIM 2011
  E208:   S. Van Aelst
  Robust correlations revisited
  E525:   A. Gordaliza, L. Garcia-Escudero, C. Matran, A. Mayo-Iscar
  Robust cluster analysis based on trimming: Review and advances
  E559:   M. Riani
  Breakdown and efficiency in complex models
Session ES03 Room: B36
Imprecision in statistical data analysis I Monday 19.12.2011    14:05 - 15:45
Chair: Olivier Strauss Organizer: Thierry Denoeux and Olivier Strauss
  E811:   B. Sinova, A. Colubi, M. Gil, S. Van Aelst
  The mids/ldev/rdev characterization of a fuzzy number. Some statistical applications
  E838:   B. Quost, T. Denoeux
  Clustering imprecise data using the fuzzy EM algorithm
  E744:   M. Symeonaki, A. Kazani, K. Michalopoulou
  Fuzzifying Likert scales with factor analysis techniques
  E343:   J. Verwaeren, W. Waegeman, B. De Baets
  Incorporating imprecise prior knowledge in multiple output regression
  E156:   M. Odejar
  Messy data analysis of interval data
Session ES82 Room: B34
Clustering and classification Monday 19.12.2011    14:05 - 15:45
Chair: Maria Brigida Ferraro Organizer: ERCIM 2011
  E878:   S. Kanj, F. Abdallah, T. Denoeux
  Multi-label classification in the belief function framework using the evidential random k-labelsets method
  E892:   A. Daher, T. Dhorne
  Spatial clustering through aggregation control
  E905:   K. Payne, A. Marshall, K. Cairns, E. McCall, S. Craig
  Modelling the development of late-onset sepsis and corresponding length of stay within preterm neonatal care
  E884:   D. Prastyo, W. Haerdle, R. Moro
  Evolutionary algorithm to optimise a support vector machine for probability of default prediction
  E810:   G. Menardi, A. Azzalini
  Identification of connected regions in density-based clustering methods: a new dimension-independent technique
Session ES83 Room: B33
Contributions in parametric and semiparametric inference Monday 19.12.2011    14:05 - 15:45
Chair: M. Dolores Jimenez-Gamero Organizer: ERCIM 2011
  E229:   J. Gastwirth, W. Xu, Q. Pan
  Estimation of Cox proportional hazards models in the presence of a negatively correlated frailty
  E798:   I. Barranco-Chamorro, M. Jimenez-Gamero
  Interval estimation of parametric functions in partially non-regular log-exponential models
  E951:   A. Punzo, F. Greselin
  Closed likelihood-ratio testing procedures to assess similarity of covariance matrices
  E938:   S. Minotti
  Mixtures of regressions with Student-t errors
Session ES60 Room: G16
Computer-aided data analysis Monday 19.12.2011    14:05 - 15:45
Chair: Dietmar Maringer Organizer: ERCIM2011
  E733:   R. Xuriguera, M. Arias, A. Arratia
  Forecasting financial time series with Twitter
  E735:   K. Okada
  Bayesian inequality constrained multidimensional scaling
  E845:   S. Scheuring
  Multivariate Markov chain approximations
  E809:   R. Almeida, N. Basturk, U. Kaymak, J. Sousa
  Fuzzy GARCH Models
  E668:   S. Arima, A. Farcomeni
  A Bayesian autoregressive three-state HMM for switching monotonic regimes for microarray time course data
Session ES75 Room: B35
Contributions to extreme value theory and applications Monday 19.12.2011    14:05 - 15:45
Chair: Juerg Huesler Organizer: ERCIM 2011
  E602:   K. Knight
  Extremal dependence and the ACE algorithm
  E633:   M. Gomes, D. Pestana
  A simple generalization of the Hill estimator
  E704:   D. Jaruskova
  Asymptotic behavior of max-type test statistic for detecting multiple change points
  E843:   L. Cavalcante, M. Brito, A. Freitas
  Bias reduction of the geometric-type estimator and high order quantiles
  E925:   J. Dienstbier, J. Picek
  Tail regression quantile process and its applications
Session ES84 Room: B18
Statistical algorithms and computer experiments Monday 19.12.2011    14:05 - 15:45
Chair: Cristian Gatu Organizer: ERCIM 2011
  E759:   C. Yazici, F. Yerlikaya-Ozkurt , I. Batmaz
  A computational approach to nonparametric regression: Bootstrapping the CMARS method
  E881:   C. Chevalier, D. Ginsbourger, V. Picheny, Y. Richet
  KrigInv, an R package for sequential inversion of expensive-to-evaluate black-box simulators
  E758:   I. Batmaz, F. Yerlikaya-Ozkurt, C. Yazici
  New software for predictive data mining: The conic multivariate adaptive regression splines (CMARS) algorithm
  E583:   S. Jolani
  Stochastic version of the EM algorithm for analysis of generalized sample selection models
  E830:   M. Farah, A. Kottas, R. Morris
  Flexible Bayesian modeling for emulation and calibration of stochastic simulators
Session ES50 Room: B20
Computational statistics Monday 19.12.2011    14:05 - 15:45
Chair: Klea Panayidou Organizer: ERCIM 2011
  E943:   S. Hadjiantoni, E. Kontoghiorghes
  Efficient algorithms for the re-estimation of the general linear and SUR models after deleting observations
  E591:   F. Sobotka, R. Radice, G. Marra, T. Kneib
  A flexible instrumental variable approach to semiparametric expectile regression
  E722:   M. Martinez-Miranda, M. Gamiz Perez, J. Nielsen
  Smoothing survival densities in practise
  E690:   H. Noh, K. Chung, I. Van Keilegom
  Variable selection of varying coefficient models in quantile regression
  E829:   K. Panayidou
  Tree learning and variable selection
Parallel session O: CFE Monday 19.12.2011 14:05 - 15:45

Session CS77 Room: S264
Contributions in time series econometrics II Monday 19.12.2011    14:05 - 15:45
Chair: Alessandra Luati Organizer: CFE 2011
  C581:   J. Abril, M. Abril
  Saddlepoint approximations to the distribution of the estimator of the parameter in a non-stationary AR(1) model
  C608:   K. Akdogan, M. Chadwick
  Nonlinearities in CDS-bond basis
  C649:   M. Meitz, P. Saikkonen
  Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity
  C742:   E. Pavlidis, I. Paya, D. Peel
  Nonlinear causality tests and multivariate conditional heteroskedasticity: A simulation study
  C725:   A. Noriega, D. Ventosa-Santaularia
  A simple test for spurious regressions
Session CS80 Room: Court
Econometric modelling and applications II Monday 19.12.2011    14:05 - 15:45
Chair: Paolo Foschi Organizer: CFE 2011
  C033:   G. Liu
  Covariance and variance transform for unimodal distribution with applications to options
  C041:   M. Bannour, Y. Fahmi, M. Slouma , S. Ben Jabeur
  Predicting corporate financial distress based on PLS discriminant analysis and neural networks technique
  C055:   J. Murteira, E. Ramalho, J. Ramalho
  Regression analysis of multivariate fractional data
  C289:   S. Wagner, S. Kloessner
  Quantifying the impact of monetary policy operations on commercial bank rates
  C939:   F. Galli, A. Cosma
  A nonparametric ACD model
Session CS94 Room: Gordon
Financial applications Monday 19.12.2011    14:05 - 15:45
Chair: Patrick Burns Organizer: CFE 2011
  C680:   L. Hass, D. Schweizer, D. Cumming
  Private equity benchmarks and portfolio optimization
  C780:   F. Fernandez-Rodriguez, E. Acosta-Gonzalez, R. Armas-Herrera
  Index tracking, cointegration and picking up stocks with genetic algorithms
  C185:   O. Nneji, C. Brooks, C. Ward
  A study of equity and housing bubbles spillover to REITs
  C607:   P. Burns
  Portfolio optimization inside out
Session CS10 Room: S261
Contributions in applied financial econometrics Monday 19.12.2011    14:05 - 15:45
Chair: Christopher Baum Organizer: CFE 2011
  C734:   F. Ziegelmann, O. Silva Filho, M. Dueker
  Modeling dependence dynamics through copulas with regime switching
  C740:   D. Tafin Djoko, C. Starica
  Hedge fund replication: A Dynamic performance-adaptive local linear regression approach
  C264:   I. Andrievskaya, H. Penikas
  Copula-based Russian banking system capital adequacy modelling within Basel II IRB framework
  C373:   H. Basse Mama
  The informative role of stock markets in firm investment decisions
Session CS06 Room: Bedford
Filtering Monday 19.12.2011    14:05 - 15:45
Chair: Tommaso Proietti Organizer: CFE 2011
  C294:   M. Belmonte, O. Papaspiliopoulos, M. Pitt
  Particle filter estimation of duration-type models
  C667:   J. Polanco-Martinez, J. Fernandez-Macho
  An empirical analysis of some peripheral EU stock market indices: A wavelet correlation approach
  C763:   P. Zahradnik
  Extracting latent price and volatility processes through particle filtering
  C900:   J. Kingeski Galimberti, M. Moura
  Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts
  C825:   M. Rindisbacher, J. Detemple
  A Structural model of dynamic market timing: Theory and estimation
Session CS31 Room: Woburn
Contributions in Bayesian econometrics and applications Monday 19.12.2011    14:05 - 15:45
Chair: Richard Gerlach Organizer: CFE 2011
  C642:   P. Solibakke
  Forecasting carbon phase II moments using stochastic volatility models
  C748:   H. Shang, X. Zhang
  Bayesian bandwidth estimation for local linear fitting in a nonparametric regression model
  C820:   H. Wagner, L. Jacobi, S. Fruehwirth-Schnatter
  Bayesian treatment effects models for panel outcomes with stochastic variable selection
  C841:   R. Solgi, A. Mira
  A Bayesian semiparametric multiplicative error model for realized volatility
  C665:   D. Gefang
  Forecasting with the double adaptive elastic-net Lasso - A Bayesian approach
Session CS36 Room: Torrington
Forecasting Value-at-Risk Monday 19.12.2011    14:05 - 15:45
Chair: Rodney Wolff Organizer: CFE 2011
  C056:   J. Fermanian
  The limits of granularity adjustments
  C645:   A. Fuertes, J. Olmo
  Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
  C876:   A. Dias
  Market value in the estimation of equity Value-at-Risk
  C864:   R. Wolff, K. Marumo
  Non-parametric estimation of copulae
  C441:   S. Henzel, J. Mayr
  The mechanics of VAR forecast pooling: A DSGE model based Monte Carlo study
Session CS49 Room: Jessel
Contributions in volatility estimation and forecasting Monday 19.12.2011    14:05 - 15:45
Chair: Simona Sanfelici Organizer: CFE 2011
  C877:   S. Nagata
  Consistent estimation of integrated volatility using intraday absolute returns for SV jump diffusion processes
  C911:   M. Heiden
  Forecasting the realized covariance matrix: A comparative approach
  C458:   F. Spazzini, E. Rossi, P. Santucci de Magistris
  A Copula-DCC model with daily range
  C610:   H. Veiga, C. Breto
  Forecasting volatility: Continuous time vs discrete time
  C945:   R. Mohnot
  On the effect of crisis on stock market predictability: The case of the Spanish stock market
Session CS47 Room: Bloomsbury
Financial time series Monday 19.12.2011    14:05 - 15:45
Chair: Michele La Rocca Organizer: CFE 2011
  C163:   T. Lee, B. Seo
  Estimated quasi-maximum likelihood estimator for GARCH models based on non-parametric MLE
  C461:   M. Gatumel, F. Ielpo
  The number of regimes accross asset returns: Identification and economic value
  C548:   A. Lawrance
  Volatility graphics for financial time series and volatility modeling
  C747:   B. Koo, O. Linton
  Robust estimation of semiparametric multiplicative volatility models
  C887:   S. Han, K. Triantafyllopoulos
  Adaptive filtering for algorithmic pairs trading
Session CS67 Room: Senate
Financial modeling Monday 19.12.2011    14:05 - 15:45
Chair: Panayiotis Andreou Organizer: CFE 2011
  C619:   L. Ramprasath, T. Durairajan
  A simple property for estimators of diffusion models
  C775:   L. Cutillo, A. Orlando, M. Carfora
  Modelling the European Central Bank official rate: a stochastic approach
  C916:   S. Jacob Leal
  Fundamentalists, chartists and asset pricing anomalies
  C036:   C. Baumeister, G. Peersman
  The role of time-varying price elasticities in accounting for volatility changes in the crude oil market
  C223:   T. Shibata, M. Nishihara
  Investment timing under debt issuance constraint
Parallel session P: ERCIM Monday 19.12.2011 16:15 - 17:35

Session ESI02 Room: Beveridge
Bayesian nonparametrics Monday 19.12.2011    16:15 - 17:35
Chair: Stephen Walker Organizer: ERCIM 2011
  E372:   I. Pruenster, S. Favaro, A. Lijoi, R. Mena
  A Bayesian nonparametric approach to species sampling problems
  E571:   K. Ickstadt, M. Schafer, J. Wieczorek
  Nonparametric Bayesian modelling in systems biology
  E814:   M. De Iorio
  Bayesian feature selection for classification of metabolite NMR Spectra
Session ES61 Room: Woburn
Contributions in nonparametric statistics Monday 19.12.2011    16:15 - 17:35
Chair: Juan Carlos Pardo-Fernandez Organizer: ERCIM2011
  E090:   M. Vollmer, C. Bandt
  A new independence test for continuous variables
  E765:   J. Pardo-Fernandez, C. Heuchenne
  Testing for one-sided alternatives in nonparametric censored regression
  E792:   L. Azzimonti, L. Sangalli, P. Secchi, M. Domanin
  Blood-flow velocity field estimation via spatial spline models with a PDE penalization
  E778:   A. Daouia, B. Park
  On projection-type estimators of multivariate isotonic functions
Session ES73 Room: Jessel
Contributions on high-dimensional data analysis Monday 19.12.2011    16:15 - 17:35
Chair: Ejaz Ahmed Organizer: ERCIM 2011
  E141:   L. Hearne
  Multivariate density estimation using geometric methods
  E543:   K. Glombek
  Testing for a large dimensional covariance matrix using the semicircle law
  E385:   D. Koch, S. Van Bellegem
  Large portfolio optimization using wavelet thresholding
  E726:   J. Lee, G. Kim, Y. Kim, H. Oh
  Sparse estimation of time-frequency surface for sound signals using regularized Bayesian methods
Session ES79 Room: Court
Contributions to robust analysis of complex data sets Monday 19.12.2011    16:15 - 17:35
Chair: Christophe Croux Organizer: Christophe Croux and Stefan Van Aelst
  E590:   G. Haesbroeck
  Robust multivariate coefficients of variation
  E639:   K. Mukherjee
  Robust estimation of conditional heteroscedastic models and forecasting of value-at-risk
  E915:   B. Nielsen, S. Johansen
  Asymptotic theory for iterated one-step Huber-skip estimators
  E088:   M. Zhelonkin, M. Genton, E. Ronchetti
  On the robustness of two-stage estimators
Session ES54 Room: Senate
Imprecision in statistical data analysis II Monday 19.12.2011    16:15 - 17:35
Chair: Angela Blanco-Fernandez Organizer: Ana Colubi and Thierry Denoeux
  E475:   W. Lamari, B. Ben Yaghlane, C. Simon
  Dynamic directed evidential networks with conditional belief functions: Application to system reliability
  E687:   E. Ramasso, M. Rombaut, N. Zerhouni
  Joint prediction of observations and states in time-series: A partially supervised prognostics approach based on belief functions and K-nearest neighbours
  E728:   S. Das
  Two-sample inference about mean, variance and proportion using imprecise data
  E835:   A. Antonucci, R. de Rosa
  Time series classification by imprecise hidden Markov models: Supporting continuous variables
Session ES78 Room: Bloomsbury
Contributions in applied statistics Monday 19.12.2011    16:15 - 17:35
Chair: Agustin Mayo-Iscar Organizer: ERCIM 2011
  E764:   P. Mpesmpeas
  Modelling population dynamics from repeated surveys
  E880:   C. Dooley, J. Hinde, J. Newell
  Propensity scores in observational studies
  E857:   O. Anacleto-Junior, C. Queen, C. Albers
  Graphical model representations of multivariate time series for road traffic flow forecasting
  E873:   D. Sanjel, S. Provost
  Semi-nonparametric approximations to the distribution of Portmanteau statistics
Parallel session P: CFE Monday 19.12.2011 16:15 - 17:35

Session CS78 Room: S261
Stochastic volatility Monday 19.12.2011    16:15 - 17:35
Chair: Alessandra Luati Organizer: CFE 2011
  C503:   F. Venditti , M. Marcellino, M. Porqueddu
  Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
  C681:   P. Veerhuis, G. Peters, R. Gerlach
  A timely analysis of unconventional monetary policy via dynamic Nelson Seigel models
  C710:   E. Ortega, J. Alonso
  Measuring the trading volume in heterogeneous markets with stochastic volatility
  C803:   A. Antypas, N. Kourogenis
  Annualizing volatility under long memory in high frequency variance
Session CS13 Room: Torrington
Bayesian quantile regression Monday 19.12.2011    16:15 - 17:35
Chair: Boris Choy Organizer: Cathy Chen
  C104:   K. Yu
  Bayesian methods in quantile regression: a review
  C188:   R. Gerlach, C. Chen, L. Lin
  Bayesian estimation and forecasting for semi-parametric conditional expected shortfall models
  C552:   Z. Lu
  Bayesian copula-based skewed-EWMA quantile forecasting for portfolios
Session CS79 Room: B20
Financial markets Monday 19.12.2011    16:15 - 17:35
Chair: Ana-Maria Fuertes Organizer: CFE 2011
  C616:   V. Zakamulin
  Long-term mean reversion and predictability of the US stock market returns
  C673:   Y. Zhao, X. Xia, H. Xiao, Y. Wang
  Private equity placements, cash dividend and tunneling: Empirical evidences from listed companies in China
Session CS22 Room: Bedford
Density forecasting using realized measures Monday 19.12.2011    16:15 - 17:35
Chair: Florian Ielpo Organizer: Florian Ielpo
  C154:   S. Laurent, C. Lecourt, F. Palm
  Testing for jumps in GARCH models, a robust approach
  C167:   B. Sevi, J. Chevallier, F. Ielpo
  The contribution of jumps for forecasting the density of returns
  C178:   D. Noureldin, N. Shephard, K. Sheppard
  Multivariate high-frequency-based volatility (HEAVY) models
Session CS27 Room: Gordon
Analysis of large-dimensional datasets: recent advances Monday 19.12.2011    16:15 - 17:55
Chair: Marco Lippi Organizer: Marco Lippi
  C241:   G. Motta, M. Barigozzi, M. Lippi
  Recent advances in factor analysis: from stationary to evolutionary
  C242:   A. Conti, M. Barigozzi, M. Luciani
  Do Euro area countries respond asymmetrically to the common monetary policy?
  C504:   B. Funovits, E. Felsenstein, B. Anderson, M. Deistler, W. Chen
  Generalized dynamic factor models and singular ARMA models
Session CS82 Room: S264
Computational econometrics and applications II Monday 19.12.2011    16:15 - 17:35
Chair: Roderick McCrorie Organizer: CFE 2011
  C101:   J. Juneja
  Validating the CPC model using parametric and non-parametric inference based empirical algorithmic methods
  C643:   S. Kriete-Dodds, D. Maringer
  Overconfidence and credit cards
  C901:   R. McCrorie, C. Liang
  Computational methods for pricing Asian options: An evaluation
  C745:   M. Vermorken, F. Medda, T. Schroeder
  ICA based asset allocation
Session CS62 Room: B35
Financial econometrics for risk management Monday 19.12.2011    16:15 - 17:35
Chair: Chung-Ming Kuan Organizer: Chung-Ming Kuan
  C791:   H. Chuang, C. Kuan
  Predicting defaults with regime switching intensity: Model and empirical evidence
  C077:   K. Kato
  Weighted-Nadaraya Watson estimation of conditional expected shortfall
  C783:   A. Fernandez-Perez, A. Fuertes, J. Miffre
  Idiosyncratic risk-based commodity strategies
  C613:   J. Yeh, M. Yun
  Identification of price jumps, cojumps and tail dependence in financial asset prices
Session CS71 Room: B33
Regression trees and structural breaks Monday 19.12.2011    16:15 - 17:35
Chair: Marco Reale Organizer: Marco Reale
  C317:   S. Grassi, P. Santucci de Magistris
  When long memory meets the Kalman filter: A comparative study
  C491:   M. Reale, W. Rea, L. Oxley, J. Brown
  Estimators for long range dependence: a simulation study
  C658:   L. Kristoufek
  Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations
Session CS58 Room: G16
Contributions in econometrics and financial markets Monday 19.12.2011    16:15 - 17:35
Chair: Massimiliano Caporin Organizer: CFE 2011
  C162:   C. Zedan
  Competition and cascades in the financial markets: An agent-based network model of endogenous mergers
  C896:   P. Donati
  Modelling spillovers and measuring their persistence: Application to credit default swap premia
  C831:   C. Pakel
  Bias reduction in GARCH panels, with an analysis of hedge fund volatility
  C628:   M. Asai
  Heterogeneous markets effects for asymmetric dynamic conditional correlation model with stock return and range
Session CS73 Room: B34
Short-term macroeconomic forecasting: lessons from the crisis Monday 19.12.2011    16:15 - 17:35
Chair: Laurent Ferrara Organizer: Laurent Ferrara
  C200:   J. Castle, M. Clements, D. Hendry
  Forecasting by factors, by variables, by both, or neither
  C146:   M. Mogliani, L. Ferrara, M. Marcellino
  The return of non-linearity: Macroeconomic forecasting during the Great Recession
  C091:   L. Ferrara, F. Bec, O. Bouabdallah
  The possible shapes of recoveries in Markov-switching models
Session CS74 Room: B36
Computer intensive methods in econometrics Monday 19.12.2011    16:15 - 17:35
Chair: Oliver Scaillet Organizer: Dimitrios Thomakos and Dimitris Politis
  C180:   J. Maheu, M. Jensen
  Bayesian semiparametric multivariate GARCH modeling
  C194:   O. Scaillet, P. Gagliardini, E. Ossola
  Time-varying risk premium in large cross-sectional equity datasets
  C252:   M. La Rocca, F. Giordano, C. Perna
  Neural network sieve bootstrap for nonlinear time series analysis