PROGRAMME ERCIM08 and CFE08
PLENARY TALKS
| Plenary talk 1 | Thursday, 19.06.2008 | 09:00 - 09:55 | Room: GGA |
| Possibly ill-behaved posteriors in econometric models: On the connection between model structures, non-elliptical credible sets and neural network Simulation | |||
| Speaker: Herman Van Dijk | Chair: Marc Paolella | ||
| Plenary talk 2 | Thursday, 19.06.2008 | 16:25 - 17:20 | Room: GGA |
| Iterative smoothing algorithms and their application in finance | |||
| Speaker: Oliver Linton | Chair: Berc Rustem | ||
| Plenary talk 3 | Friday, 20.06.2008 | 11:20 - 12:15 | Room: GGA |
| A parallel GMRES method preconditioned by a Multiplicative Schwarz iteration | |||
| Speaker: Bernard Philippe | Chair: Yousef Saad | ||
| Plenary talk 4 | Saturday, 21.06.2008 | 17:20 - 18:15 | Room: GGA |
| Exploiting nonnegativity in matrix and tensor factorizations to improve topic detection and tracking in text mining | |||
| Speaker: Michael W. Berry | Chair: Ahmed Sameh | ||
PARALLEL SESSIONS
| Parallel session B | Thursday, 19.06.2008 | 10:15 - 12:15 |
| Session ES02 | Room: GPA |
| Variable selection and robustness | Chair: Stefan Van Aelst |
| #53: S. Flores | |
| On the efficient calculation of robust regression estimators | |
| #98: P. Buhlmann | |
| Robustness for high-dimensional data analysis | |
| #9: C. Croux, S. Gelper | |
| Variable selection for time series forecasting using the groupwise LARS algorithm | |
| #93: S. Van Aelst, J. Khan, R. Zamar | |
| Fast robust variable selection with missing data |
| Session ES15 | Room: B104 |
| Time series estimation and prediction | Chair: Anna Staszewska |
| #50: M. Pipien | |
| A coordinate free conditional distribution in BEKK model: Bayesian analysis for WSE | |
| #74: G. Sbrana | |
| Aggregation of vector ARMA processes: some further results | |
| #69: A. Staszewska | |
| Confidence bands for VAR forecast paths |
| Session ES16 | Room: GB1 |
| Statistics with incomplete data | Chair: Gil Gonzalez-Rodriguez |
| #83: M. Steinbrecher, R. Kruse | |
| Pruning decision trees with fuzzy concepts | |
| #84: R. Cao, J. Vilar, M. Ausin | |
| Aggregate loss models: a nonparametric approach | |
| #85: W. Trutschnig | |
| A possible extension of upper and lower probabilities to the case of fuzzy random variables | |
| #99: A. Colubi, M. Gil | |
| Hypothesis testing about the means of fuzzy random variables. | |
| #102: G. Gonzalez-Rodriguez | |
| Fuzzy techniques in the analysis of distributions of real random variables. |
| Session CS01 | Room: E003 |
| Time series and financial econometrics | Chair: Christian Francq |
| #15: A. El Ghini | |
| Asymptotic properties of sample inverse autocorrelations under weak assumptions | |
| #9: F. Pegoraro, H. Bertholon, A. Monfort | |
| Econometric asset pricing modelling | |
| #48: J. Zakoian, C. Francq | |
| Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons | |
| #53: A. Gautier | |
| A guided tour of periodic time series models and applications |
| Session CS04 | Room: B013 |
| Decision making under uncertainty | Chair: Daniel Kuhn |
| #13: D. Gerogiorgis, E. Pistikopoulos | |
| Fractal scaling in crude oil price evolution via time series analysis of historical data | |
| #28: R. Hochreiter | |
| Evaluating and extending clustering techniques to generate financial scenarios for stochastic programming models | |
| #33: E. Constantinide, C. Charalambous, S. Martzoukos | |
| Option pricing on non-recombining implied trees assuming serial dependence of returns | |
| #243: S. Zymler, B. Rustem, D. Kuhn | |
| Optimal derivative Insurance for robust portfolio optimisation | |
| #123: D. Kuhn, P. Parpas, B. Rustem | |
| Dynamic mean-variance portfolio analysis under model risk |
| Session CS06 | Room: GGA |
| Multivariate GARCH | Chair: Marc Paolella |
| #16: S. Broda, M. Paolella | |
| CHICAGO: a fast and accurate method for portfolio risk calculation | |
| #23: C. Bos, R. Kraeussl | |
| Optimal portfolio allocation using daily correlation modelling | |
| #29: A. Palandri | |
| Sequential conditional correlations: inference and evaluation | |
| #251: G. Gallo, F. Cipollini | |
| Semiparametric vector MEM |
| Session CS13 | Room: B103 |
| Applied macroeconometrics | Chair: Martin Wagner |
| #31: K. Neusser, H. Dellas, M. Walti | |
| Fiscal policy in open economies | |
| #39: D. Burren | |
| The role of sectoral shifts in the great moderation | |
| #56: G. Baeurle, D. Burren | |
| Business cycle accounting with model consistent expectations | |
| #67: M. Wagner, S. Hong | |
| Nonlinear cointegration analysis of the enivronmental kuznets |
| Session CS17 | Room: AUM |
| Dynamic factor models: analysis and real-time forecasting | Chair: Christian Schumacher |
| #54: G. Moretti, L. Monteforte | |
| Real time forecasts of inflation: the role of financial variables | |
| #185: V. Bystrov | |
| Forecasting performance of dynamic factor models in short samples with structural breaks | |
| #49: C. Schumacher, M. Marcellino | |
| Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP | |
| #93: M. Deistler, B. Anderson | |
| Generalized linear dynamic factor models - a structure theory |
| Session CS18 | Room: ALG |
| Financial econometrics - 1 | Chair: Michael Wolf |
| #57: L. Mancini, J. Fan | |
| Option pricing with aggregation of physical models and nonparametric statistical learning | |
| #60: L. Camponovo, O. Scaillet, F. Trojani | |
| Robust fast subsampling for time series | |
| #109: A. Vaona | |
| The sensitivity of nonparametric misspecification tests to disturbance autocorrelation | |
| #55: M. Wolf, O. Ledoit | |
| Robust performance hypothesis testing with the Sharpe ratio |
| Session CS25 | Room: B217 |
| Credit risk, financial markets and computational methods | Chair: Sandra Paterlini |
| #85: D. Fantazzini | |
| Forecasting the default probability without accounting data | |
| #107: J. Paha, M. Lyra, P. Winker, S. Paterlini | |
| Optimization heuristics for determining internal rating grading scales | |
| #115: M. Lyra, P. Winker, C. Sharpe | |
| Least median of squares estimation by optimization heuristics with an application to the CAPM | |
| #161: A. Cipollini, F. Fiordelisi | |
| Systemic risk in the European banking system | |
| #122: T. Yener, S. Mittnik | |
| Estimating risk capital for correlated rare events |
| Parallel session C | Thursday, 19.06.2008 | 14:00 - 16:00 |
| Session ES06 | Room: GGA |
| Computational methods for mixtures | Chair: Sylvia Fruehwirth-Schnatter |
| #19: B. Gruen, F. Leisch | |
| Finite mixture model diagnostics using the bootstrap | |
| #15: P. Deschamps | |
| A flexible prior distribution for markov switching autoregressions with student-t errors | |
| #14: H. Lopes, N. Polson, C. Carvalho, M. Johannes | |
| On mixture of Kalman filtering and learning | |
| #3: S. Fruehwirth-Schnatter | |
| Bayesian estimation of finite mixtures of univariate and multivariate skew-normal and skew-t distributions |
| Session ES17 | Room: GB1 |
| Probabilistic methods in learning problems | Chair: Ana Colubi |
| #67: U. Kaymak | |
| Probabilistic fuzzy systems in financial modelling | |
| #49: M. Verleysen, D. Francois | |
| Parameter-free feature selection with mutual information | |
| #87: T. Martin, Y. Shen | |
| Fuzzy text mining and digital obesity | |
| #96: S. Borra, A. Di Ciaccio | |
| The estimation of prediction error for neural networks: a simulation study. | |
| #114: C. Charalambous | |
| Application of neural networks and support vector machines to pricing European options |
| Session ES22 | Room: GPA |
| Robustness with high dimensional data | Chair: Stefan Van Aelst |
| #7: E. Roelant, S. Van Aelst, G. Willems | |
| Fast bootstrap for robust Hotelling tests | |
| #11: G. Willems, E. Vandervieren, S. Van Aelst | |
| Stahel-Donoho estimators with cellwise weights | |
| #6: K. Boudt, C. Croux, S. Laurent | |
| Outlyingness weighted quadratic covariation | |
| #64: A. Christmann, I. Steinwart | |
| On non-parametric robust quantile regression by support vector machines |
| Session CS02 | Room: B013 |
| International financial management | Chair: Ana-Maria Fuertes |
| #4: J. Olmo, J. Gonzalo | |
| Optimal asset allocation under comovements and downside-risk measures | |
| #41: A. Audzeyeva | |
| Sovereign rating transitions: finite-sample properties of alternative estimators | |
| #125: W. Semmler, L. Bernard | |
| The credit crisis: a regime-change approach to analyzing imbedded markets | |
| #210: O. Sheremet, A. Lucas | |
| Dependence in the insurance sector and possibilities for international diversification | |
| #222: Y. Mert Kantar, M. Memmedli, I. Usta | |
| Analysis of multi-objective portfolio models for the Istanbul stock exchange |
| Session CS09 | Room: AUM |
| Non-linear estimation, multivariate and structural models | Chair: Lynda Khalaf |
| #73: A. Prokhorov | |
| Likelihood based estimation for multivariate time series processes | |
| #100: A. Maynard, D. Bauer | |
| Persistence-robust causality testing | |
| #166: G. Kundhi, P. Rilstone | |
| Edgeworth expansions for nonlinear estimators | |
| #193: B. Chu, G. Christodoulakis | |
| A method to estimate the preference structure of joint financial forecast decisions | |
| #24: M. Kichian, J. Dufour, L. Khalaf | |
| Examining the role of real wage rigidities for Canadian inflation |
| Session CS12 | Room: E003 |
| Integer valued time series and related topics - 1 | Chair: Konstantinos Fokianos |
| #138: R. Jung, A. Tremayne | |
| Count time series with overdispersed data | |
| #101: F. Drost, R. van den Akker, B. Werker | |
| Efficient estimation of semiparametric integer-valued autoregressive models | |
| #36: G. Kauermann | |
| Specification of landmarks and forecasting water temperature | |
| #208: A. Rahbek, K. Fokianos, D. Tjostheim | |
| Poisson autoregression Integer valued GARCH | |
| #228: I. Usta, A. Shamilov, Y. Mert Kantar | |
| The new models for skew and kurtotic data via maximum entropy distributions based on specified moment functions |
| Session CS14 | Room: B103 |
| Financial risk management | Chair: Cathy W.S. Chen |
| #35: P. Yu, E. Wu, W. Li | |
| Value-at-Risk estimation using flexible ICA-GARCH models | |
| #34: C. Chen, W. Lee | |
| Bayesian forecasting for financial risk management | |
| #192: A. Amendola, G. Storti | |
| Combination of conditional covariance matrix forecasts | |
| #91: W. Yip, M. So | |
| Dependence measures for risk management | |
| #246: G. Stahl, H. Zwiesler, D. Reuss, D. Bergmann | |
| Computational aspects of nested Monte Carlo simulations for risk management purposes |
| Session CS15 | Room: B104 |
| Risk management | Chair: Zhengjun Zhang |
| #40: J. Hill | |
| Tail and non-tail memory with applications to GARCH processes | |
| #239: G. De Rossi | |
| Equity volatility and the business cycle: a factor model approach | |
| #195: T. Wenger | |
| Quantile approximation in small models for integrated risk management | |
| #148: T. Niguez, J. Perote | |
| The general moments expansion: an application for financial risk | |
| #95: A. Derviz | |
| Computing equilibria of a fast-trading electronically brokered security market model |
| Session CS31 | Room: ALG |
| Inference in time series and econometrics | Chair: Alessandra Luati |
| #184: M. Gerolimetto, L. Bisaglia, I. Procidano | |
| Changes in regime and cointegration analysis | |
| #225: R. Seri, C. Choirat | |
| Computing weighted chi-square distributions and related quantities | |
| #158: J. Beran, S. Ghosh, M. Schutzner | |
| From short to long memory: aggregation and estimation | |
| #214: L. Fanelli | |
| Likelihood-based recursive tests of the adaptive learning hypothesis | |
| #162: A. Luati, T. Proietti | |
| On the equivalence between the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing |
| Session CS36 | Room: B217 |
| Time series forecasting | Chair: Marc Wildi |
| #176: P. Dechpichai, P. Davy | |
| A nonlinear neural network approach to simultaneous prediction of non-constant mean and volatility for long-tailed distribution | |
| #10: M. Willner | |
| Forecasting international stock market returns | |
| #244: S. Mittnik, C. Pigorsch, U. Pigorsch | |
| A multivariate generalized hyperbolic stochastic volatility model and the use of realized covariances | |
| #71: M. Wildi | |
| Winner of the NN3-forecasting competition: an application of customized optimization criteria in forecasting |
| Parallel session E | Friday, 20.06.2008 | 09:00 - 11:00 |
| Session ES08 | Room: GPA |
| Statistical software | Chair: Petko Yanev |
| #20: S. Klinke, C. Wagner | |
| Visualizing exploratory factor analysis models | |
| #105: S. Theussl | |
| Getting the most out of your CPUs: parallel computing strategies in R | |
| #65: A. Bejan | |
| Tracy-Widom and Painleve II: computational aspects and realisation in S-Plus |
| Session ES09 | Room: B104 |
| Statistics for dependent data and econometric models | Chair: Jean-Michel Zakoian |
| #25: C. Francq, J. Zakoian | |
| Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models | |
| #28: P. Alquier | |
| PAC-Bayesian bounds and model selection | |
| #31: H. Raissi | |
| Autocorrelation based tests for vector error correction models with uncorrelated but nonindependent errors | |
| #32: H. Harari-Kermadec | |
| Regenerative block empirical likelihood for Markov chains |
| Session ES18 | Room: GB1 |
| Intelligent data analysis | Chair: Christian Borgelt |
| #56: E. Come, T. Denoeux, L. Oukhellou, P. Aknin | |
| Learning from data with soft class labels using mixture models and belief functions | |
| #72: F. Klawonn | |
| Probabilistic noise clustering as M-estimators | |
| #75: J. Sousa, S. Vieira | |
| Multi-criteria ant feature selection in intelligent classification | |
| #97: C. Borgelt | |
| Accelerating fuzzy clustering |
| Session CS05 | Room: B217 |
| Markov-switching models for financial returns | Chair: A. Amendola |
| #14: D. Ardia | |
| Bayesian estimation of a Markov-switching threshold GJR model | |
| #106: L. Morales-Arias, T. Lux | |
| Forecasting volatility under fractality, regime-switching, long memory and Student-t innovations | |
| #30: A. Valdesogo Robles | |
| Modeling international financial returns with a multivariate regime switching copula | |
| #124: M. Demetrescu, T. Alp | |
| Joint forecasts of Dow Jones stocks under general multivariate loss function |
| Session CS22 | Room: B103 |
| Asset price dynamics and portfolio choice | Chair: Willi Semmler |
| #150: M. Lopez, N. Rodriguez, J. Prada | |
| Financial accelerator mechanism: evidence for Colombia | |
| #164: W. Semmler, L. Gruene, K. Oehrlein | |
| Dynamic consumption and portfolio decisions with time varying asset returns | |
| #99: J. Ramalho, J. Silva | |
| A two-part fractional regression model for capital structure choices | |
| #197: D. Ferrari, S. Paterlini, F. Pattarin | |
| Efficient and robust estimation of asset returns via the Maximum Lq-Likelihood method |
| Session CS24 | Room: ALG |
| Time series and signal extraction | Chair: Tommaso Proietti |
| #105: A. Alonso, C. Garcia-Martos, J. Rodrigez, M. Sanchez | |
| Seasonal dynamic factor analysis and bootstrap inference: application to electricity market forecasting | |
| #153: O. Scaillet, P. Bajgrowicz | |
| Technical trading revisited: persistence tests, transaction costs, and false discoveries |
| #86: C. Wong, H. Chin | |
| Mixture vector autoregressive model with parameter constraints | |
| #116: T. Proietti | |
| Estimation of common factors under cross-sectional and temporal aggregation constraints: nowcasting monthly GDP and its main components |
| Session CS26 | Room: E003 |
| Computational and financial econometrics with R | Chair: Christian Kleiber |
| #179: Y. Croissant | |
| Mixed logit estimation with R: the rplogit package | |
| #198: F. Novomestky | |
| Least absolute deviation regression: a lexicographical linear goal programming formulation | |
| #174: P. Chen, D. Bluschke, V. Bluschke, J. Zeng | |
| Subs4coint | |
| #87: C. Kleiber | |
| Fast and accurate asymptotic p values for the Nyblom-Hansen test and related statistics |
| Session CS28 | Room: AUM |
| Simulation based Bayesian inference for dynamic and financial models | Chair: Herman van Dijk |
| #88: G. Moura, G. Moura, J. Richard | |
| Dynamic panel probit models for current account reversals and their efficient estimation | |
| #140: C. Bos, S. Koopman, M. Ooms | |
| Long memory modelling of inflation with stochastic variance and structural breaks | |
| #152: B. Diris, F. Palm, P. Schotman | |
| Long-term strategic asset allocation: an out-of-sample evaluation |
| #252: I. McKeague, S. Lopez-Pintado | |
| Principal components for gradients of sparse functional data | |
| #188: L. Sogner | |
| Term structure estimation and highly persistent processes in a Bayesian context |
| Session CS33 | Room: B013 |
| Econometric analysis of financial markets | Chair: Ana-Maria Fuertes |
| #44: M. Izzeldin, A. Fuertes | |
| On the adequacy of the GMM method for conducting inference within the MDH model: A Monte Carlo study | |
| #11: J. Kuo, X. Liu, J. Coakley | |
| Pricing libor options | |
| #18: O. Martinez | |
| A new way of measuring the quality of stock market | |
| #142: J. Jho, V. Kaishev | |
| On some mixture distributions and their extreme value behavior | |
| #43: A. Fuertes, M. Izzeldin, E. Kalotychou | |
| On forecasting daily stock volatility: the role of intraday-information and market conditions |
| Parallel session G | Friday, 20.06.2008 | 14:00 - 16:00 |
| Session ES11 | Room: B103 |
| Robust methods for data analysis | Chair: Mia Hubert |
| #13: J. Kalina | |
| Computing robust GMM estimators | |
| #34: M. Debruyne | |
| Robust support vector machine classification | |
| #38: S. Gelper | |
| Robust online scale estimation in time series: a model-free approach | |
| #62: M. Oliveira, A. Pacheco, C. Pascoal, R. Valadas, P. Salvador | |
| Robust estimation of parameters of a truncated bivariate normal distribution | |
| #101: M. Hubert, S. Van der Veeken | |
| A robust transformation to symmetry |
| Session ES14 | Room: B013 |
| Computational statistics in learning | Chair: Cira Perna |
| #66: P. Groenen, G. Nalbantov, C. Bioch | |
| A majorization algorithm to linear support vector machines with different hinge errors | |
| #113: C. Gatu, E. Kontoghiorghes | |
| Regression subset selection with non-negative coefficients | |
| #106: E. Biganzoli, F. Ambrogi, P. Boracchi | |
| Partial logistic artificial neural networks for the flexible modelling of censored survival data | |
| #95: C. Perna, M. La Rocca | |
| Multiple testing for variable selection in neural network models |
| Session ES20 | Room: GB1 |
| Computational statistics in life sciences | Chair: Athanassios Kondylis |
| #89: C. Siani, C. de Peretti, G. Duru | |
| Accounting for uncertainty around the incremental cost-effectiveness ratio adjusted by the quality of life | |
| #118: F. Martin, I. Gunduz , N. Ivanov | |
| A multiple random classifiers strategy for the ab initio core promoter recognition in Nicotiana tabacum | |
| #40: D. Heinzmann, S. Ruegg, A. Barbour, P. Torgerson | |
| Modeling of infectious disease dynamics based on a simultaneous use of multiple information inputs | |
| #58: I. Irigoien, S. Vives, C. Arenas | |
| Finding profiles in microarray time-course experiments with replicates. | |
| #112: A. Kondylis, J. Whittaker | |
| Adaptive preconditioning of Krylov subspaces and PLS regression |
| Session CS10 | Room: E003 |
| Bayesian analysis of latent variable models and volatility models | Chair: Yasuhiro Omori |
| #26: K. Miyawaki, Y. Omori | |
| Tobit model with covariate dependent threshold | |
| #27: K. Kakamu, Y. Ohtsuka, T. Oga | |
| Electric demand forecasting by bayesian spatial autoregressive seasonal ARMA (p,q) model | |
| #46: H. Kozumi, K. Miyawaki, K. Kakamu | |
| Bayesian analysis of spatial stochastic frontier models | |
| #50: H. Wago, K. Yano, S. Sato | |
| Multivariate stochastic volatility models with dynamic correlations: a Monte Carlo particle filtering approach | |
| #157: K. Oya | |
| Bias corrected realized volatility with dependent microstructure noise |
| Session CS19 | Room: B217 |
| Computational econometrics - 1 | Chair: Peter Wechselberger |
| #147: C. De Mol, J. Brodie, I. Daubechies, D. Giannone, I. Loris | |
| Sparse and stable Markowitz portfolios | |
| #168: M. Belmonte, O. Papaspiliopoulos, M. Pitt | |
| On-line state and parameter estimation of Cox process. | |
| #144: W. Rinnergschwentner | |
| The efficient frontier as a stochastic phenomenon | |
| #189: L. Lukas | |
| Visual recurrence analysis of simulated foreign exchange rate with encryption scheme for color images | |
| #59: P. Wechselberger, S. Lang, W. Steiner | |
| Random scaling of nonlinear functions |
| Session CS20 | Room: AUM |
| Econometric methods and applications for financial time series | Chair: Giampiero Gallo |
| #63: F. Corsi, F. Audrino | |
| Measuring and modeling tick-by-tick stock-bond realized correlation | |
| #201: G. De Luca, G. Rivieccio, P. Zuccolotto | |
| The analysis of multivariate returns via asymmetric archimedean copulae | |
| #139: E. Rossi, F. Spazzini | |
| Model and distribution uncertainty in multivariate GARCH estimation | |
| #241: J. Caiado, N. Crato | |
| Parametric and nonparametric methods for clustering of financial time series |
| Session CS21 | Room: ALG |
| Time series components and volatility | Chair: Stephen Pollock |
| #64: E. Ruiz, A. Espasa, S. Pellegrini | |
| The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances | |
| #81: K. Lam | |
| Nonlinear transformation in MEM-GARCH for robust volatility forecasting | |
| #171: G. Perendia | |
| Estimating and forecasting yield curve using partial information Kalman filter and DSGE | |
| #65: Stephen Pollock | |
| The realisation of finite-sample frequency-selective filters |
| Session CS29 | Room: B104 |
| Dynamics of financial markets | Chair: Maral Kichian |
| #97: J. Dollery, J. Coakley, N. Kellard | |
| An empirical investigation of static and time-varying long-range dependence in futures returns | |
| #209: D. Wang, N. Kellard | |
| Does East affect West? A dynamic spillover analysis between Chinese and US futures markets | |
| #131: C. Hsiao, C. Chiarella | |
| Nonlinear spot interest rates and bond prices: an empirical study | |
| #38: O. Erdem | |
| The effectiveness of prepayment penalty ban in Turkey | |
| #126: E. Tham | |
| Fundamental and speculative factors behind the energy price |
| Session PS07 | Room: GGA |
| Robust multilevel methods and parallel algorithms - 1 | Chair: Johannes Kraus |
| #25: U. Yang, R. Falgout, J. Brannick | |
| Compatible relaxation in parallel algebraic multigrid | |
| #19: C. Flaig, P. Arbenz, C. Bekas, H. van Lenthe, U. Mennel, R. Muller, M. Sala | |
| A scalable multi-level preconditioner for matrix-free micro-finite element analysis of human bone structures | |
| #27: E. Karer, J. Kraus | |
| On the strength of nodal dependence in AMG for vector-field problems | |
| #24: H. Yang, W. Zulehner | |
| An algebraic multigrid (AMG) solver for a finite element (FEM) discretization of the Stokes/Navier-Stokes system on hybrid meshes and its parallelization | |
| #20: M. Neytcheva | |
| Elementwise construction of block two-by-two preconditioners |
| Session PS11 | Room: GPA |
| Krylov space methods and applications | Chair: Mario Arioli |
| #47: P. Jiranek, M. Rozloznik, M. Gutknecht | |
| On the numerical behavior of Simpler GMRES and GCR | |
| #64: J. Hogg, J. Scott | |
| On the use of mixed precision for the fast and robust solution of sparse symmetric linear systems. | |
| #65: M. Arioli, I. Duff | |
| Backward stability of FGMRES | |
| #68: S. Djungu, P. Manneback | |
| Block algorithms for computing PageRank by sites |
| Parallel session H | Friday, 20.06.2008 | 16:25 - 18:30 |
| Session ES01 | Room: B103 |
| Robustness in theory and practice | Chair: Peter Filzmoser |
| #4: S. Huber | |
| Applications of robust statistics in operational risk measurement | |
| #5: J. Jureckova, J. Picek, A. Saleh | |
| Rank tests in linear models with measurement errors | |
| #36: C. Agostinelli, M. Salibian Barrera | |
| An algorithm for LARS and LASSO based on S-estimators | |
| #16: P. Filzmoser, A. Ruiz-Gazen, C. Thomas | |
| Tools for local multivariate outlier detection |
| Session ES05 | Room: B104 |
| Small area estimation | Chair: Domingo Morales |
| #18: T. Hobza, M. Herrador, M. Esteban, D. Morales | |
| An unit level model with fixed or random domain effects in small area estimation problems | |
| #79: M. Ugarte, T. Goicoa, A. Militino | |
| Spline smoothing in small area estimation | |
| #115: I. Molina, N. Salvati, M. Pratesi | |
| Bootstrap estimation of the mean squared error under a Spatial Fay-Herriot model | |
| #116: N. Tzavidis, N. Salvati | |
| Borrowing strength over space in small area estimation using M-quantile geographically weighted models |
| Session ES13 | Room: B013 |
| Mixture models and clustering | Chair: Christian Hennig |
| #42: A. Mayo-Iscar, J. Cuesta-Albertos, C. Matran-Bea | |
| From clustering to mixture models. | |
| #29: M. Romanazzi, C. Agostinelli | |
| Local depth | |
| #109: P. Coretto, C. Hennig | |
| The robust improper ML estimate for finite location-scale mixtures and how to choose the improper density | |
| #117: C. Gormley, T.B. Murphy | |
| Mixture models, clustering and covariates | |
| #61: C. Hennig | |
| How to join normal mixture components |
| Session CS07 | Room: AUM |
| Graph based modelling | Chair: Marco Reale |
| #21: C. Cappelli, F. Di Iorio | |
| Regression trees for regime changes analysis | |
| #120: A. Mercatanti | |
| Assessing the effect of debit cards on households' spending under the unconfoundedness assumption | |
| #238: A. Rea, M. Reale, C. Scarrott | |
| Graphical models of multivariate volatility | |
| #242: M. Reale, W. Rea, L. Oxley, C. Price | |
| A test for H self-similarity |
| Session CS16 | Room: ALG |
| Numerical methods in econometrics | Chair: Ioannis C. Demetriou |
| #177: E. Vassiliou, I. Demetriou | |
| A linearly distributed-lag estimator with r-convex coefficients | |
| #119: Y. Bassiakos | |
| A study of total investor wealth for investors in the Athens stock exchange | |
| #76: A. Taamouti, J. Dufour | |
| Exact optimal and adaptive inference in linear and nonlinear models | |
| #156: C. Miani, S. Bellavia | |
| An ad hoc inexact Newton method for model simulation. | |
| #167: I. Demetriou, S. Papakonstantinou | |
| The least sum of absolute change to univariate data that gives convexity |
| Session CS32 | Room: B217 |
| Stochastic volatility models | Chair: Gianna Figa-Talamanca |
| #186: E. Taufer, M. Bee | |
| Characteristic function estimation of stochastic volatility model | |
| #145: A. Perez Espartero, E. Ruiz Ortega | |
| The Taylor effect: a new tool for model adequacy in stochastic volatility models | |
| #236: G. Figa-Talamanca | |
| Path properties of simulation schemes for continuous stochastic volatility models | |
| #223: K. Kalogeropoulos | |
| Likelihood-based inference for stochastic volatility models using asset and option prices |
| Session CS47 | Room: E003 |
| Integer valued time series and related topics - 2 | Chair: Konstantinos Fokianos |
| #169: R. Fried | |
| Outlier estimation and detection for INGARCH processes | |
| #32: A. Latour, L. Truquet | |
| Integer-valued model miming classical econometric models | |
| #104: C. Czado, T. Nguyen, G. Mueller | |
| Ordinal stochastic volatility and stochastic volatility models for price changes: an empirical comparison | |
| #108: J. Vilar-Fernandez, A. Alonso, J. Vilar-Fernandez | |
| Nonlinear time series clustering based on nonparametric forecast densities | |
| #94: K. Fokianos | |
| On comparing several spectral densities |
| Session PS03 | Room: GGA |
| Parallel preconditioners | Chair: Ahmed Sameh |
| #17: A. Grama, M. Manguoglu, M. Koyuturk, A. Sameh | |
| Parallel banded preconditioners for non-symmetric linear system solvers | |
| #10: A. Basermann, J. Schmidt | |
| Block incomplete LU preconditioning on modern hardware platforms | |
| #9: A. Haidar, L. Giraud, S. Pralet | |
| Algebraic preconditioners for parallel hybrid solvers | |
| #81: R. Alfredo, E. Quintana-Orti, G. Quintana-Orti, R. van de Geijn | |
| Parallel factorization of band matrices | |
| #13: A. Sameh, M. Naumov | |
| A parallel hybrid banded solver and its generalization to sparse linear systems |
| Session PS04 | Room: GPA |
| Parallel combinatorial scientific computing | Chair: Costas Bekas |
| #80: J. Her, F. Pellegrini | |
| Efficient and scalable parallel graph partitioning | |
| #44: R. Bisseling, T. van Leeuwen, U. Catalyurek | |
| A hybrid two-dimensional method for sparse matrix partitioning | |
| #42: M. Sosonkina, Y. Saad | |
| Hypergraph partitioning for sparse linear systems: a case study with discontinuous PDEs | |
| #14: C. Bekas, A. Curioni, P. Arbenz | |
| Very large scale graph partitioning problems in micro finite element analyses of human bone structure |
| Session PS09 | Room: GB1 |
| Large-scale sparse matrix computations | Chair: Daniela di Serafino |
| #28: B. Ucar | |
| A matrix partitioning interface to patoh in matlab | |
| #30: S. Filippone, P. D'Ambra, D. di Serafino | |
| MLD2P4: A package of scalable algebraic multilevel Schwarz preconditioners | |
| #32: A. Buttari, P. Amestoy, J. L'excellent | |
| Towards a parallel analysis phase for a multifrontal sparse solver. | |
| #37: L. Grigori, J. Demmel, H. Xiang | |
| Communication avoiding Gaussian elimination | |
| #58: R. Vuduc | |
| Programming models and techniques for sparse matrix kernels on multicore platforms |
| Parallel session I | Saturday, 21.06.2008 | 09:00 - 11:00 |
| Session ES04 | Room: GB1 |
| Depth and trimming in robustness | Chair: Alfonso Gordaliza |
| #88: I. Cascos | |
| Depth functions and random convex hulls | |
| #90: S. Lopez-Pintado, Y. Wei | |
| Depth for sparse functional data | |
| #94: P. Alvarez-Esteban, E. del Barrio, J. Cuesta-Albertos, C. Matran | |
| Assessing when a sample is mostly normal | |
| #81: A. Gordaliza, L. Garcia-Escudero, A. Mayo-Iscar, R. San Martin | |
| Robust clusterwise linear regression |
| Session ES10 | Room: B104 |
| Spatial and temporal computational statistics | Chair: Peter Congdon |
| #77: A. Bounekkar | |
| Spatial logistic regression based upon contiguity concept | |
| #12: J. Arteche, J. Orbe | |
| Bootstrap based bandwidth choice for log-periodogram regression | |
| #63: M. Frias Bustamante, M. Ruiz-Medina | |
| Computing functional estimators of the long-range dependence parameters in the spectral-wavelet domain | |
| #92: P. Yanev, P. Foschi, E. Kontoghiorghes | |
| Efficient algorithms for estimating the error-components seemingly unrelated regression model with serrialy correlated disturbances |
| Session ES12 | Room: B013 |
| Switches and structural breaks in a Bayesian framework | Chair: Gianni Amisano |
| #100: I. Vrontos, L. Meligkotsidou | |
| Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies | |
| #41: R. Casarin, M. Billio | |
| Identifying business cycle turning points with sequential Monte Carlo | |
| #55: D. Raggi, S. Bordignon, S. Di Sanzo | |
| Forecasting realized volatilities through long memory and switching regime models | |
| #39: G. Amisano, O. Tristani | |
| A DSGE model of the term structure with regime shifts |
| Session CS03 | Room: ALG |
| Financial econometrics - 2 | Chair: Olivier Scaillet |
| #7: D. Veredas, R. Pascual | |
| Quote quality in an order driven market | |
| #12: F. Ielpo, J. Da Fonseca, M. Grasselli | |
| Estimation the wishart affine stochastic correlation model using the characteristic function | |
| #52: E. Jondeau | |
| Contemporaneous aggregation of GARCH models and evaluation of the aggregation bias | |
| #137: O. Reznikova, C. Hafner | |
| Efficient estimation of a semiparametric dynamic copula model | |
| #22: F. Iacone | |
| A semiparametric analysis of the term structure of the US interest rates |
| Session CS23 | Room: B217 |
| Computational statistics | Chair: Cristian Gatu |
| #135: D. Gimenez, J. Lopez-Espin | |
| A genetic algorithm for estimation of simultaneous equation models | |
| #191: D. Santalova, A. Andronov, A. Svirchenkov | |
| On some generalization of seemingly unrelated regression equation models | |
| #202: G. Di Tollo, P. Balaprakash | |
| Index tracking by estimation-based local search | |
| #72: K. Knight | |
| Some asymptotics for elemental regression estimators | |
| #245: D. Lin | |
| Random number generation and computer experiment |
| Session CS27 | Room: E003 |
| Financial time series | Chair: Hwai-Chung Ho |
| #90: W. Chan, K. Hung, K. Kwong | |
| On testing some non-nested time series models with equal low-order unconditional moments | |
| #173: C. Lonnbark | |
| A corrected Value-at-Risk predictor | |
| #92: M. So, J. Lau | |
| A generalization of weighted Chinese restaurant type processes for a class of mixture time series models | |
| #79: H. Ho | |
| Sample quantile analysis for long-memory stochastic volatility models |
| Session CS37 | Room: B103 |
| Robust inference | Chair: Michele La Rocca |
| #37: V. Czellar, E. Ronchetti | |
| Second-order accurate and robust indirect inference | |
| #130: A. Van Oord, M. Martens, H. Van Dijk | |
| Robust optimisation of the equity price momentum strategy | |
| #75: D. La Vecchia, F. Trojani | |
| Infinitesimal robustness for diffussions | |
| #248: D. Vistocco, L. Michele | |
| Inference for style analysis coefficients: a robust approach |
| Session CS38 | Room: AUM |
| Extreme value and electricity prices | Chair: Carl Scarrott |
| #187: O. Snguanyat, V. Anh, Z. Yu | |
| Stochastic modelling of electricity prices | |
| #217: D. Maringer, E. Pliota | |
| De-clustering of extreme events: application of a time-varying threshold | |
| #117: P. Gagner | |
| Functional framework for bulding quantitative models using real time news event processing | |
| #181: C. Scarrott, A. Macdonald | |
| Quantile estimation using extreme value mixture models |
| Session PS13 | Room: GGA |
| Robust multilevel methods and parallel algorithms - 2 | Chair: Svetozar Margenov |
| #23: J. Kraus, I. Georgiev, S. Margenov | |
| Hierarchical multilevel splittings for discontinuous Galerkin approximations of elliptic problems with high-frequency-high-contrast coefficients | |
| #26: S. Tomar, J. Kraus | |
| Multilevel preconditioning in H(div) and applications to a posteriori error estimates | |
| #35: R. Blaheta, P. Byczanski, R. Kohut, J. Stary | |
| Parallel Schwarz type solvers for THM modelling | |
| #36: J. Stary, R. Blaheta, R. Kohut, A. Kolcun, S. Margenov | |
| Micro FEM analysis of geocomposites | |
| #21: Y. Vutov, R. Blaheta, S. Margenov | |
| Parallel PCG algorithms for numerical homogenization of voxel structures |
| Session PS14 | Room: GPA |
| SVD and Jacobi methods | Chair: Gabriel Oksa |
| #16: N. Bosner, J. Barlow, Z. Drmac | |
| Parallel versions of one-sided bidiagonalization | |
| #57: S. Singer, S. Singer, V. Hari, K. Bokulic, D. Davidovic, M. Juresic, A. Uscumlic | |
| Parallel implementations of the one--sided indefinite block Jacobi methods | |
| #52: V. Hari, V. Zadelj-Martic | |
| Convergence to diagonal form of general Jacobi-type processes | |
| #48: G. Oksa, M. Becka, L. Grigori, M. Vajtersic | |
| Optimal data distribution in the preconditioned parallel two-sided block Jacobi SVD algorithm |
| Parallel session J | Saturday, 21.06.2008 | 11:20 - 13:20 |
| Session ES03 | Room: B103 |
| Robust regression | Chair: Roland Fried |
| #23: C. Guddat | |
| Robust variable selection | |
| #27: K. Schettlinger, M. Borowski, U. Gather | |
| Online time series analysis by robust regression filters | |
| #33: J. Einbeck, L. Evers | |
| Dimension reduction for high dimensional regression problems based on local principal curves | |
| #37: R. Nunkesser | |
| Evolutionary algorithms for robust methods |
| Session ES07 | Room: B013 |
| Penalization approaches: algorithms, software and applications | Chair: Marta Avalos |
| #17: U. Schneider, B. Poetscher | |
| On the distribution of the adaptive Lasso estimator | |
| #35: F. Vanden Berghen | |
| Efficient implementation and experimentation with the LARS-lasso algorithm | |
| #47: N. Trendafilov, K. Vines | |
| Simple and interpretable discrimination | |
| #60: S. Meintanis, E. Tsionas | |
| Testing for the generalized normal-Laplace distribution with applications | |
| #45: M. Avalos | |
| Parsimonious additive logistic models |
| Session ES19 | Room: B104 |
| Time series and design specification | Chair: Janet Godolphin |
| #68: I. Mohamed | |
| Outlier evaluation for the bilinear time series model | |
| #71: H. Maruri Aguilar, H. Wynn | |
| Smooth polynomial interpolators | |
| #110: E. Godolphin | |
| Specification, identification and prediction of components of time series models in state space form | |
| #54: B. Darkhovskiy | |
| Non-asymptotical minimax estimation of parametric families of functionals in noise | |
| #111: J. Godolphin | |
| Missing values in experimental design |
| Session ES21 | Room: GB1 |
| Discriminant problems and sample coordination | Chair: Alina Matei |
| #107: F. Beninel, C. Biernacki | |
| Updating a discriminant rule | |
| #82: G. Arbia, M. Bee, G. Espa | |
| Estimating the logistic auto-logistic model with missing data: some simulation results | |
| #59: A. Matei | |
| Optimal sample co-ordination | |
| #80: D. Nedyalkova, L. Qualite, Y. Tille | |
| General framework for the rotation of units in repeated survey sampling |
| Session CS08 | Room: B217 |
| Term structure, risk, and monetary policy | Chair: Mario Padula |
| #194: G. Mazzi, M. Lemoine, P. Monperrus-Veroni, F. Reynes, X. Timbeau | |
| Real time estimation of potential output and output gap for the euro area | |
| #170: F. Peracchi, S. Leorato, A. Tanase | |
| Weighted expected shortall estimators | |
| #103: H. Bjornland, J. Halvorsen | |
| Monetary policy and exchange rate interactions. New empirical evidence |
| Session CS11 | Room: E003 |
| Option pricing | Chair: Zdenek Hlavka |
| #51: M. Kopa, M. Benko, M. Fengler, W. Hardle | |
| On extracting information implied in options | |
| #25: R. Timofeev, Y. Golubev, W. Hardle | |
| Monotonicity of pricing kernels | |
| #146: S. Sanfelici, M. Mancino, E. Rapini | |
| The economic value of the Fourier estimator of the integrated covariance in terms of dynamic portfolio management |
| Session CS45 | Room: AUM |
| Value at risk and volatility prediction | Chair: Marc Paolella |
| #219: M. Haas | |
| A skew-normal Markov-switching GARCH process with applications to financial risk assessment | |
| #143: M. Ausin, P. Galeano | |
| The Gaussian mixture dynamic conditional correlation model: Bayesian estimation, value at risk calculation and portfolio selection. | |
| #118: M. Bonato, C. Massimiliano, R. Angelo | |
| Forecasting realized (co)variances with block Wishart autoregressive model | |
| #110: J. Griffin, M. Steel | |
| Bayesian analysis of continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes for volatility estimation | |
| #149: D. Korobilis | |
| Bayesian parsimonious estimation of factor stochastic volatility models |
| Session CS46 | Room: ALG |
| Leverage, credit markets, financial integration | Chair: Lynda Khalaf |
| #96: G. Urga, A. Leccadito | |
| An econometric analysis of fractional models to credit risk pricing | |
| #58: M. Gagnon, M. Beaulieu, K. Linda | |
| The impact of political party convergence on tests of financial integration | |
| #121: R. Tunaru, G. Urga, A. Leccadito | |
| Statistical arbitrage between CDS and CMCDS markets | |
| #70: M. Voia, K. Huynh | |
| Analysis of nascent firms' conditional leverage distributions |
| Session PS01 | Room: GGA |
| Algebraic preconditioning of iterative methods | Chair: Miroslav Tuma |
| #8: O. Schenk | |
| Multilevel preconditioning for large-scale nonconvex PDE-constrained optimization | |
| #6: M. Bollhofer | |
| Recent advances in preconditioing large-scale symmetric indefinite systems | |
| #4: J. Mayer | |
| Symmetric permutations for I-matrices to avoid small pivots during incomplete factorization | |
| #7: J. Duintjer Tebbens, M. Tuma | |
| On the usage of triangular preconditioner updates in matrix-free environment. | |
| #3: T. Huckle | |
| Frobenius norm minimization and probing |
| Session PS06 | Room: GPA |
| Parallel dense numerical linear algebra | Chair: Peter Arbenz |
| #18: B. Parlett | |
| The envelope method | |
| #59: L. Karlsson, B. Kagstrom | |
| Dynamic node-scheduling of a multishift QR sweep algorithm | |
| #22: A. Martin-Huertas | |
| Parallel multilevel ILU preconditioners | |
| #60: A. Buluc, J. Gilbert | |
| Gaussian elimination based algorithms on the GPU |
| Parallel session K | Saturday, 21.06.2008 | 15:00 - 17:00 |
| Session CS34 | Room: B013 |
| Financial market analysis | Chair: Alessandra Amendola |
| #129: A. Czapkiewicz, W. Maslon | |
| The linear replication model in the cross-section of expected stock returns: evidence from Polish stock exchange | |
| #82: N. Aslanidis, C. Savva | |
| Modelling stock market correlations between new EU member states and the Eurozone | |
| #98: P. Artikis | |
| Empirical evidence from the Greek stock market on the Fama-French three factor model | |
| #218: T. Cesaroni | |
| Forecasting Euro area private consumption using economic sentiment indicators |
| Session CS35 | Room: B103 |
| Computational econometrics - 2 | Chair: Lynda Khalaf |
| #234: R. Nitze, P. Chen | |
| Bootstrapping methods for causal analysis of time series data | |
| #77: R. Ouysse | |
| Finite sample properties of the dependent bootstrap for conditional moment models | |
| #62: Q. Wang, P. Kuang, M. Schroder | |
| In-sample and out-of-sample bias in large scale data mining: evidence from trading rule performance | |
| #247: E. Leton, D. Pena, R. Romera | |
| Robust discriminant analysis based on partial least squares methods |
| Session CS39 | Room: AUM |
| Financial econometrics - 3 | Chair: Marc Paolella |
| #205: P. Tam | |
| Response surface estimates for the augmented Dickey-Fuller test with lag optimization | |
| #128: M. Orhan, A. Zaman | |
| Bias calculation and corrections of hccmes | |
| #206: A. Fiori | |
| Testing for right, left and overall excess kurtosis in financial variables |
| Session CS40 | Room: E003 |
| Multivariate financial econometrics | Chair: Yasuhiro Omori |
| #232: H. Hamdi | |
| Tests for vector error correction model when the errors are heteroscedastic | |
| #233: Y. Cui, A. Belke | |
| Monetary policy interdependence between the ECB and the Fed: the Taylor rule based VARX and VECM | |
| #154: C. Hanck, C. Bayer | |
| Is double trouble. How to combine cointegration tests | |
| #178: E. Rossi, P. Santucci de Magistris | |
| A no arbitrage fractional cointegration analysis of range based volatility |
| Session CS41 | Room: B104 |
| Econometric applications | Chair: Christian Francq |
| #133: L. Grassetti, R. Bellio | |
| Semiparametric stochastic frontier models for clustered data | |
| #47: P. St-Amour, J. Hugonnier, F. Pelgrin | |
| Health and (other) assets holdings | |
| #84: N. Ben Arfa | |
| DSGE model of a small open economy: France |
| Session PS10 | Room: GGA |
| Parallel eigensolvers and applications | Chair: Jose E. Roman |
| #45: C. Campos, R. Ralha, V. Hernandez, D. Guerrero | |
| Towards a parallel code without communication for the eigenvalues of symmetric tridiagonals | |
| #34: O. Marques | |
| Experiences in the computation of interior eigenvalues for electronic structure calculations | |
| #73: R. Dusseaux, K. Ait Braham, N. Emad | |
| Eigenvalue system for the scattering from rough surfaces saving in computation time by a physical approach | |
| #33: J. Roman, M. Kammerer, F. Merz, F. Jenko | |
| Fast eigenvalue calculations in a massively parallel plasma turbulence code | |
| #82: P. Vasconcelos, F. Almeida, J. Roman | |
| A parallel code for computing eigenvalues of integral operators |
| Session PS15 | Room: GPA |
| Parallelizing iterative methods | Chair: Thomas Huckle |
| #55: M. Bolten | |
| Highly scalable multigrid method for circulant and Toeplitz matrices using non-Galerkin coarse grid operators | |
| #40: M. Emans | |
| AMG for equation systems in commercial fluid dynamics software | |
| #41: J. Mas, J. Cerdan, J. Marin | |
| Symmetric low rank updates of ISM based preconditioners | |
| #54: E. Varnik, U. Naumann | |
| Exploiting constant Jacobian entries in seed matrix construction |
Created by Computing & Statistics 2007