JOINT PROGRAMME CFE-ERCIM 2011
KEYNOTE TALKS
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 Eect 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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |