PROGRAMME CFE09 and ERCIM09
KEYNOTE TALKS
| Keynote talk 1 |
Thursday, 29.10.2009 |
09:20 - 10:10 |
Room: 1 |
| Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models |
| Speaker: Neil Shephard
Co-authors: T. Flury. |
Chair: Richard T. Baillie
|
| Keynote talk 2 |
Friday, 30.10.2009 |
10:50 - 11:40 |
Room: 1 |
| Robust multivariate scale estimators for volatility estimation of financial time series |
| Speaker: Christophe Croux
Co-authors: K. Boudt and S. Laurent. |
Chair: Peter Rousseeuw |
| Keynote talk 3 |
Saturday, 31.10.2009 |
17:00 - 17:50 |
Room: 1 |
| Dynamic factor analysis by maximum likelihood |
| Speaker: Siem Jan Koopman |
Chair: Herman K. Van Dijk |
PARALLEL SESSIONS
| Parallel session B |
Thursday, 29.10.2009 |
10:50 - 12:30 |
|
| Session ES03 |
Room: 6 |
| Robust analysis of complex data sets 1 |
Thursday 29.10.2009 10:50 - 12:30 |
| Chair: Stefan Van Aelst |
Organizer: Stefan Van Aelst |
| |
E034: E. Vandervieren, S. Van Aelst, G. Willems |
| |
Adaptations of the Stahel-Donoho estimator |
| |
E073: S. Shinmura |
| |
New model selection method by k-fold cross validation |
| |
E131: C. Mueller, L. Denecke |
| |
Estimators and tests for Copulas based on likelihood depth |
| |
E110: S. Van Aelst, G. Willems |
| |
Robust Bootstrap Tests in Manova Models
|
| Session ES32 |
Room: 3 |
| Soft Computing and Statistics |
Thursday 29.10.2009 10:50 - 12:30 |
| Chair: Gil Gonzalez-Rodriguez |
Organizer: Gil Gonzalez-Rodriguez
and Maria Angeles Gil |
| |
E060: R. Jasinevicius, K. Kavaliauskas, R. Krusinskiene, V. Petrauskas |
| |
Fuzzy expert maps: development and applications |
| |
E125: E. Come, L. Oukhellou, T. Denoeux, P. Aknin |
| |
Noiseless IFA with soft labels with applications |
| |
E188: R. Almeida, U. Kaymak |
| |
Takagi-Sugeno Belief Models |
| |
E119: A. Ramos-Guajardo, G. Gonzalez-Rodriguez, M. Gil, A. Colubi |
| |
K-sample homocedasticity test for fuzzy random variables
|
| Session ES38 |
Room: 5 |
| Evolutionary procedures |
Thursday 29.10.2009 10:50 - 12:30 |
| Chair: Irene Poli |
Organizer: Irene Poli |
| |
E200: M. Borrotti, D. De Lucrezia, G. Minervini |
| |
Evolutionary experimental designs for synthetic proteins |
| |
E199: D. Slanzi, I. Poli |
| |
Evolutionary Bayesian networks for high-dimensional stochastic
optimization. |
| |
E198: G. Zemella, D. De March |
| |
The optimisation of building envelopes with evolutionary procedures |
| |
E201: C. Pizzi, F. Parpinel, M. Soligo |
| |
Spline regression for an evolutionary approach to experimental design.
|
| Session ES42 |
Room: 7 |
| Time series modelling and computation 1 |
Thursday 29.10.2009 10:50 - 12:30 |
| Chair: Konstantinos Fokianos |
Organizer: Konstantinos Fokianos and
Roland Fried |
| |
E132: P. Doukhan |
| |
Weak dependence, models and some applications |
| |
E154: R. Dahlhaus, J. Neddermeyer |
| |
Phase estimation for fluctuation processes |
| |
E153: U. Makov, S. Bar-Lev, Y. Awad |
| |
Extensions of the Lee-Carter model for mortality projections |
| |
E039: K. Fokianos |
| |
Linear and loglinear Poisson autoregression
|
| Session CS01 |
Room: 10 |
| Business cycle: modelling and forecasting |
Thursday 29.10.2009 10:50 - 12:30 |
| Chair: Gian Luigi Mazzi |
Organizer: Monica Billio |
| |
C040: P. Rakotomarolahy, D. Guegan |
| |
Multivariate nearest neighbours approach to forecast business cycle |
| |
C087: L. Carati, J. Anas, M. Billio, G. Mazzi |
| |
Alternative specification of business cycle and growth cycle
coincident indicators |
| |
C327: C. Cicconi |
| |
On the estimation of common factors in the presence of block structures |
| |
C111: G. Mazzi, M. Billio, L. Ferrara, D. Guegan |
| |
Evaluation of non-linear time series models for real-time business
cycle analysis |
| Session CS06 |
Room: 4 |
| Environment and finance |
Thursday 29.10.2009 10:50 - 12:30 |
| Chair: Massimiliano Caporin |
Organizer: Massimiliano Caporin |
| |
C033: D. Guegan, A. Diongue |
| |
Temperature modellings and weather derivatives |
| |
C034: M. Frunza, D. Guegan |
| |
An economical view of the carbon market |
| |
C358: G. Gruell, L. Taschini |
| |
An empirical analysis of a reduced-form permit price model |
| |
C074: M. Caporin, J. Pres |
| |
Modelling and forecasting wind speed with an example on wind
derivatives pricing
|
| Session CS24 |
Room: 9 |
| Graph based modelling and causality |
Thursday 29.10.2009 10:50 - 12:30 |
| Chair: Marco Reale |
Organizer: Marco Reale |
| |
C177: G. Tunnicliffe Wilson |
| |
Partial correlation graphs and structured time series models |
| |
C187: M. Hodge, J. Brown, M. Reale |
| |
Comparing models with deformation metrics |
| |
C211: A. Mercatanti |
| |
Identifiability of causal effects with non-ignorable missing data
using instrumental variables |
| |
C224: J. Brown, W. Rea, M. Reale |
| |
Improving an algorithm for break points detection based on regression
trees
|
| Session CS39 |
Room: 1 |
| Energy econometrics |
Thursday 29.10.2009 10:50 - 12:30 |
| Chair: Marius Ooms |
Organizer: Siem Jan Koopman and
Marius Ooms |
| |
C104: F. Nielsen, M. Nielsen, N. Haldrup |
| |
A vector autoregressive model for electricity prices subject to long
memory and regime switching |
| |
C197: C. Garcia-Martos, S. Koopman, M. Ooms |
| |
Estimation for unobserved component models with multiple stochastic
variances using simulated maximum likelihood |
| |
C173: V. Dordonnat, M. Ooms |
| |
Dynamic factors in periodic time-varying regression models |
| |
C262: A. Pierrot, N. Laluque, Y. Goude |
| |
Short-term electricity load forecasting with Generalized Additive Models
|
| Session CS64 |
Room: 2 |
| Panel data models |
Thursday 29.10.2009 10:50 - 12:30 |
| Chair: Yasuhiro Omori |
Organizer: Yasuhiro Omori |
| |
C066: G. Kobayashi, H. Kozumi |
| |
Bayesian and non-Bayesian analysis of quantile regression for
longitudinal data |
| |
C292: L. Meligkotsidou, E. Tzavalis, I. Vrontos |
| |
A Bayesian analysis of unit roots in panel data models with
cross-sectional dependence |
| |
C073: M. Demetrescu, A. Tarcolea |
| |
A panel examination of long-range dependence in DAX volatilities
|
| Session CS65 |
Room: 8 |
| Quantitative risk management 1 |
Thursday 29.10.2009 10:50 - 12:30 |
| Chair: Marc Paolella |
Organizer: Marc Paolella |
| |
C185: T. Bellotti, J. Crook |
| |
An exercise in stress testing for retail credit cards |
| |
C284: H. Tsukahara |
| |
Estimation of distortion risk measures |
| |
C260: M. Wolf, D. Wunderli |
| |
Fund-of-funds construction by statistical multiple testing methods
|
| |
C012: J. Krause, M. Paolella, M. Haas |
| |
Fast estimation of highly parameterized GARCH models
|
| Parallel session C |
Thursday, 29.10.2009 |
14:00 - 16:00 |
|
| Session ES05 |
Room: 5 |
| Statistical signal extraction and filtering 1 |
Thursday 29.10.2009 14:00 - 16:00 |
| Chair: D.S.G Pollock |
Organizer: D.S.G. Pollock,
Tommaso Proietti and Esther Ruiz |
| |
E217: S. Pollock, E. Mise |
| |
Alternative methods of seasonal adjustment |
| |
E070: T. Proietti, A. Luati |
| |
Low-pass filter design using locally weighted polynomial regression
and discrete prolate spheroidal sequences |
| |
E137: A. Luati, T. Proietti |
| |
Hyper-spherical and elliptical stochastic cycles |
| |
E221: M. Deistler, B. Anderson, A. Filler, C. Zinner, W. Chen |
| |
Generalized linear dynamic factor models: an approach via singular
autoregressions
|
| Session ES24 |
Room: 6 |
| Advances in robust data analysis |
Thursday 29.10.2009 14:00 - 16:00 |
| Chair: Luis Angel Garcia-Escudero |
Organizer: Alfonso Gordaliza and
Luis Angel Garcia-Escudero |
| |
E076: P. Alvarez Esteban |
| |
Statistical applications of over-fitting due to trimmings |
| |
E097: T. Bellini, M. Riani |
| |
Robust analysis of default intensity |
| |
E082: S. Kuhnt |
| |
An outlier robust Edwards-Havranek procedure for graphical models |
| |
E123: R. Romera, D. Pena |
| |
Robust partial least squares regression |
| |
E061: L. Garcia-Escudero, A. Gordaliza, A. Mayo-Iscar |
| |
Tolerance zones through robust clustering techniques
|
| Session ES34 |
Room: 3 |
| Statistical applications with fuzzy sets |
Thursday 29.10.2009 14:00 - 16:00 |
| Chair: Frank Klawonn |
Organizer: Ana Colubi |
| |
E037: E. Bongiorno, G. Aletti, V. Capasso |
| |
A fuzzy set-valued stochastic framework for birth-and-growth process.
Statistical aspects. |
| |
E063: A. Colubi, E. Fernandez, S. Anadon |
| |
Reconstruction of flood chronologies on the basis of historical
information |
| |
E120: M. Gil, G. Gonzalez-Rodriguez, A. Ramos-Guajardo |
| |
Collecting and analyzing survey data using fuzzy random variables |
| |
E178: G. Ayala |
| |
Fuzzy temporal random sets: a probabilistic tool in image and video
processing |
| |
E100: W. Waegeman, J. Verwaeren, B. De Baets |
| |
Learning ordinal partial class memberships with kernel-based
proportional odds models
|
| Session ES41 |
Room: 10 |
| Computational statistics 1 |
Thursday 29.10.2009 14:00 - 16:00 |
| Chair: Marc Hofmann |
Organizer: Erricos John Kontoghiorghes |
| |
E192: K. Panayidou, S. Lauritzen |
| |
Tree structure for variable selection |
| |
E173: M. Nadif, G. Govaert |
| |
Different variants of model-based coclustering of continuous data |
| |
E179: C. Charalambous, J. Pan, M. Tranmer |
| |
Variable selection in joint mean-variance models using H-likelihood |
| |
E047: Y. Lovcha |
| |
Seasonal misspecification in long memory processes: a simulation study |
| |
E031: D. Nikolakis, J. Goulionis, V. Benos |
| |
The use of the Scan and Grimson disease clusters tests in order to
avoid the epidemic's spread
|
| Session CS10 |
Room: 2 |
| Bayesian econometrics 1 |
Thursday 29.10.2009 14:00 - 16:00 |
| Chair: Wai-Sum Chan |
Organizer: Cathy W. S. Chen |
| |
C010: B. Choy, J. Chan, J. Wong |
| |
Comparison of two different methods for Bayesian student-t volatility
model |
| |
C183: B. Siliverstovs |
| |
Evaluating short-run forecasting properties of the KOF employment
indicator for Switzerland in real time |
| |
C351: R. Gerlach, Q. Chen |
| |
Expected shortfall and Value at Risk via the asymmetric Laplace
distribution |
| |
C352: J. Chan, P. Yu, C. Lam, S. Choy |
| |
Extension of geometric process model to conditional autoregressive
range models |
| |
C145: C. Chen, K. Lee |
| |
Structural break in Instability of return prediction models with
heteroskedasticity
|
| Session CS11 |
Room: 4 |
| Quantitative risk management 2 |
Thursday 29.10.2009 14:00 - 16:00 |
| Chair: Marc Paolella |
Organizer: Marc Paolella |
| |
C248: P. Araujo Santos, I. Fraga Alves |
| |
Conditional EVT for VaR estimation: comparison with a new independence
test. |
| |
C014: S. Broda, M. Paolella |
| |
Saddlepoint approximation of expected shortfall for transformed means |
| |
C154: C. Kourouyiannis, E. Andreou, A. Kourtellos |
| |
Value at Risk and Expected Shortfall: A Forecast Combination Approach |
| |
C313: M. Doronzo |
| |
Measuring market risk in fixed income markets |
| |
C285: S. Keel, D. Ardia |
| |
Revisiting marginal risk
|
| Session CS12 |
Room: 1 |
| Time series analysis and economic applications |
Thursday 29.10.2009 14:00 - 16:00 |
| Chair: Luc Bauwens |
Organizer: Christian Francq |
| |
C043: J. Zakoian, N. Regnard |
| |
A class of nonstationary yet nonexplosive GARCH models with
application to energy prices |
| |
C016: H. Raissi |
| |
Testing linear causality in mean in presence of other forms of causality |
| |
C129: F. Jouneau-Sion, S. Auray, A. Eyquem |
| |
Extremal behaviour of aggregated economic processes in a structural
growth model |
| |
C204: A. Rodriguez, E. Ruiz |
| |
Bootstrap prediction mean squared errors of unobserved states based on
the Kalman filter with estimated parameters |
| |
C128: L. Bauwens, J. Rombouts |
| |
On marginal likelihood computation in change-point models
|
| Session CS18 |
Room: 8 |
| Stochastic optimization in finance |
Thursday 29.10.2009 14:00 - 16:00 |
| Chair: Daniel Kuhn |
Organizer: Daniel Kuhn |
| |
C102: A. Onwunta, P. Winker, M. Lyra |
| |
Threshold accepting for credit risk assessment |
| |
C115: D. Bampou, D. Kuhn |
| |
Decision rule approximations for continuous linear programming |
| |
C134: R. Ferstl, A. Weissensteiner |
| |
Asset-liability management under time-varying investment opportunities |
| |
C207: A. Georghiou, D. Kuhn, W. Wiesemann |
| |
Decision rule approximations for index tracking |
| |
C356: R. Hochreiter |
| |
Multi-stage stochastic pension fund management
|
| Session CS29 |
Room: 9 |
| MIDAS |
Thursday 29.10.2009 14:00 - 16:00 |
| Chair: Andreas Savvides |
Organizer: Peter Zadrozny and
Eric Ghysels |
| |
C071: V. Kuzin, C. Schumacher, M. Marcellino |
| |
Pooling versus model selection for nowcasting with many predictors: an
application to German GDP |
| |
C097: A. Kourtellos, E. Andreou, E. Ghysels |
| |
Forecasting inflation and economic activity using high frequency
financial data |
| |
C195: A. Galvao |
| |
Changes in Predictive Ability with Mixed Frequency Data |
| |
C235: C. Frale, L. Monteforte |
| |
Forecasting with mixed frequency factor models and MIDAS structure |
| |
C367: G. Moretti |
| |
Stock market volatility and the business cycle: a multi factor approach
|
| Session CS32 |
Room: 7 |
| Forecasting, heavy tails and non-standard inference 1 |
Thursday 29.10.2009 14:00 - 16:00 |
| Chair: Lynda Khalaf |
Organizer: Lynda Khalaf |
| |
C092: S. Blais |
| |
Forecasting with weakly identified linear state-space models |
| |
C326: P. Valery |
| |
A quasi-likelihood approach based on eigenfunctions for a
bounded-valued Jacobi process with an application |
| |
C228: C. Miani |
| |
A non-parametric model-based approach to uncertainty and risk analysis
of macroeconomic forecasts. |
| |
C109: B. Chu, M. Voia |
| |
Modeling the contemporaneous duration dependence for high-frequency stock prices using joint duration models |
| |
C093: L. Khalaf, J. Bernard, M. Kichian, S. McMahon |
| |
Oil prices: heavy tails, mean reversion and the convenience yield
|
| Parallel session D |
Thursday, 29.10.2009 |
16:30 - 18:50 |
|
| Session ES10 |
Room: 7 |
| Time series modelling and computation 2 |
Thursday 29.10.2009 16:30 - 18:50 |
| Chair: Roland Fried |
Organizer: Konstantinos Fokianos
and Roland Fried |
| |
E040: T. Sapatinas, A. Antoniadis, E. Paparoditis |
| |
Bandwidth selection for functional time series prediction |
| |
E026: D. Koizumi, T. Matsushima, S. Hirasawa |
| |
On the hyperparameter estimation of time varying Poisson model for
Bayesian WWW traffic forecasting |
| |
E041: R. Langrock, W. Zucchini |
| |
Representing hidden semi-Markov models as hidden Markov models |
| |
E135: H. Skaug, J. Yu, D. Fournier |
| |
Automated likelihood based inference for stochastic volatility models
using AD model builder |
| |
E164: P. Exterkate, P. Groenen |
| |
Macroeconomic forecasting with leading indicators: Penalized nonlinear
regression using kernels/td>
|
| |
C036: R. Jung, A. Tremayne |
| |
Estimation and validation in count time series models |
| Session ES14 |
Room: 5 |
| Generalized mixed models |
Thursday 29.10.2009 16:30 - 18:50 |
| Chair: Heather Turner |
Organizer: Heather Turner |
| |
E050: K. Anaya-Izquierdo, C. Frank, M. Paul, V. Paul |
| |
On the geometry of generalised linear mixed models |
| |
E080: S. Litiere, A. Alonso, G. Molenberghs |
| |
Testing for misspecification in generalized linear mixed models: a SAS
macro |
| |
E185: G. Papageorgiou, J. Hinde |
| |
Flexible random effects in ordinal regression models |
| |
E209: J. Hinde, S. de Freitas, M. Martinez, C. Demetrio |
| |
Random Effects in Cumulative Mortality Models |
| |
E142: M. Cattelan, C. Varin |
| |
A model for correlated paired comparison data |
| |
E144: H. Turner, D. Firth |
| |
Mixed Bradley-Terry models
|
| Session ES15 |
Room: 6 |
| Robust analysis of complex data sets 2 |
Thursday 29.10.2009 16:30 - 18:50 |
| Chair: Andreas Christmann |
Organizer: Andreas Christmann |
| |
E104: G. Boente, D. Rodriguez |
| |
Robust inference in semiparametric models |
| |
E202: H. Oja, K. Norhausen |
| |
Multivariate statistical methods based on spatial signs and ranks |
| |
E219: A. Ruiz-Gazen, M. Genton |
| |
Plots for the detection of influential observations in dependent data |
| |
E006: H. Rieder |
| |
Robust estimation for time series models based on infinitesimal
neighborhoods about transition probabilities. |
| |
E121: A. Van Messem, A. Christmann |
| |
On consistency and robustness properties of support vector machines
for heavy-tailed distributions |
| |
E007: A. Christmann |
| |
On recent results for support vector machines
|
| Session ES18 |
Room: 9 |
| Bioinformatics |
Thursday 29.10.2009 16:30 - 18:50 |
| Chair: Kostas Triantafyllopoulos |
Organizer: Kostas Triantafyllopoulos |
| |
E054: V. Promponas, I. Kirmitzoglou |
| |
Sequence database search with compositionally biased amino acid sequences |
| |
E222: G. Montana, M. Berk |
| |
A mixed effects model for differential expression analysis in
longitudinal designs |
| |
E136: D. De Canditiis, C. Angelini, M. Pensky |
| |
Clustering of time-course gene expression data using a Bayesian
infinite mixture model based approach |
| |
E189: S. Arima, L. Tardella |
| |
An alternative marginal likelihood estimator for phylogenetic models |
| |
E205: D. Yu, K. Kim, J. Lim, J. Won |
| |
Estimation of Gaussian graphical model with partially known graph
information |
| |
E030: P. Matzioros, J. Goulionis |
| |
Stochastic models to educational and psychological measurements |
| Session ES20 |
Room: 4 |
| Sparseness and functional data |
Thursday 29.10.2009 16:30 - 18:50 |
| Chair: Wenceslao Gonzalez Manteiga |
Organizer: F. Ferraty,
P. Vieu and W. Gonzalez Manteiga |
| |
E101: P. Li, J. Chiou |
| |
Cluster number choice in functional data clustering |
| |
E169: A. Aguilera, F. Ocana, M. Valderrama |
| |
Model selection and wavelet approximation in functional principal
component regression with functional response |
| |
E226: P. Sarda, A. Kneip |
| |
Regression analysis when the regressors are highly correlated |
| |
E225: P. Vieu, F. Ferraty, P. Hall |
| |
How to select design points for prediction with functional data predictors |
| |
E206: M. Garcia-Magarinos, A. Antoniadis, R. Cao, W. Gonzalez-Manteiga |
| |
Some results on lasso logistic regression: application to gene
expression data |
| Session ES25 |
Room: 3 |
| Statistics with fuzzy or incomplete data:
computational aspects |
Thursday 29.10.2009 16:30 - 18:50 |
| Chair: Wolfgang Trutschnig |
Organizer: Wolfgang Trutschnig |
| |
E093: J. Nielsen, A. Salmeron |
| |
Induction of conditional Gaussian probabilistic decision graphs from
incomplete data |
| |
E092: M. Last, Y. Mendelson, S. Chakrabarty, K. Batra |
| |
Early warning from car warranty data using fuzzy statistics |
| |
E124: P. Filzmoser, H. Fritz, K. Hron, M. Templ |
| |
The estimation of missing data in presence of outliers: computational
aspects |
| |
E045: M. Templ, A. Kowarik, P. Filzmoser |
| |
Iterative robust model-based Imputation of complex data |
| |
E088: W. Trutschnig, A. Lubiano |
| |
SAFD An R-package for statistical analysis of fuzzy data |
| |
E089: A. Lubiano, W. Trutschnig, G. Gonzalez-Rodriguez |
| |
Approaches to hypothesis testing and regression estimation for
fuzzy random variables using the R-package SAFD
|
| Session CS34 |
Room: 8 |
| Computational econometrics and applications |
Thursday 29.10.2009 16:30 - 18:50 |
| Chair: Tommaso Proietti |
Organizer: Tommaso Proietti and
Andrea Silvestrini |
| |
C121: F. Moauro |
| |
SUTSE models: non linear temporal disaggregation and the EM algorithm |
| |
C206: A. Silvestrini, G. Sbrana |
| |
Comparing aggregate and disaggregate forecasts of contemporaneously
aggregated vector MA processes |
| |
C038: J. Murteira, E. Ramalho |
| |
Alternative estimating and testing empirical strategies for fractional
regression models |
| |
C273: Z. Sandor |
| |
Monte Carlo simulation of discrete choice models involving large sums |
| |
C340: B. Madurkayova |
| |
Detection of changes in parameters of linear regression models based
on ratio type test statistics |
| |
C199: R. Ruggeri Cannata, C. Frale, M. Marcellino, T. Proietti, G.
Mazzi |
| |
New EuroMInd: a monthly indicator of gross domestic product for the
euro area and its member countries
|
| Session CS48 |
Room: 10 |
| Forecasting and applied econometrics |
Thursday 29.10.2009 16:30 - 18:50 |
| Chair: Christian Francq |
Organizer: Christian Francq |
| |
C184: R. Chumacero |
| |
Discerning the importance of new information |
| |
C279: E. Pavlidis, I. Paya, D. Peel |
| |
Forecasting the behavior of the real exchange rate using long spans of
data |
| |
C301: F. Nan, S. Bordignon, D. Bunn, F. Lisi |
| |
Forecasting spot electricity prices through combination of forecasts |
| |
C310: N. Pavlidis, E. Pavlidis, D. Tasoulis, N. Adams, D. Hand |
| |
Population drift and forecasting in the foreign exchange market |
| |
C210: H. Nishioka, F. Toriumi, K. Ishii |
| |
Proposal for market similarity evaluation method using stock board |
| |
C208: E. Zafeiriou, T. Koutroumanidis, S. Sofios |
| |
Asymmetry in price transmission mechanism between consumer and
producer prices in European agricultural markets
|
| Session CS49 |
Room: 2 |
| Financial markets 1 |
Thursday 29.10.2009 16:30 - 18:50 |
| Chair: Elena Kalotychou |
Organizer: Elena Kalotychou |
| |
C067: A. Naess, E. Aukrust |
| |
Pricing of discretely monitored exotic options under NIG dynamics |
| |
C242: Y. Yatracos |
| |
Modelling stock price returns and pricing a European option with Le
Cam's statistical experiments |
| |
C308: A. Milionis |
| |
Some methodological issues related to the estimation of systematic
risk with reference to the Athens Stock Exchange |
| |
C068: M. Arghyrou, A. Gregoriou, P. Pourpourides |
| |
A new solution to the purchasing power parity puzzles: risk-aversion,
exchange rate uncertainty and the law of one price |
| |
C239: A. Czapkiewicz, B. Basiura |
| |
The clustering financial time series in applications for main market
Stocks returns |
| |
C298: J. Romo, E. Ruiz, K. Alva |
| |
Modelling intra-daily volatility by functional data analysis: an empirical application to the Spanish stock market |
| Parallel session E |
Friday 30.10.2009 |
08:30 - 10:30 |
|
| Session ES02 |
Room: 7 |
| Optimization heuristics in estimation and
modelling |
Friday 30.10.2009 08:30 - 10:30 |
| Chair: Sandra Paterlini |
Organizer: Sandra Paterlini and
Peter Winker |
| |
E079: C. Sharpe, D. Lin, P. Winker |
| |
Optimised U-type designs on flexible regions |
| |
E091: P. Goos, J. Yu, M. Vandebroek |
| |
Sampling schemes for approximating integrals in the efficient design
of stated choice experiments |
| |
E078: P. Winker, D. Lin |
| |
Robust uniform design |
| |
E163: D. Woods, C. Marley |
| |
A comparison of design and analysis methods for supersaturated experiments |
| |
E196: M. Chiarandini |
| |
Regression trees for the visualization of results in optimization
heuristic design
|
| Session ES08 |
Room: 3 |
| Fuzzy sets in regression and correlation
problems |
Friday 30.10.2009 08:30 - 10:30 |
| Chair: M. Angeles Gil |
Organizer: Ana Colubi and Didier Dubois |
| |
E129: B. Sinova, A. Colubi, M. Gil |
| |
Sensitivity analysis in estimating linear regression between interval data |
| |
E107: M. Serrurier, H. Prade |
| |
Making regression imprecise for providing a better representation of
precise data |
| |
E108: M. Ruiz, E. Hüllermeier |
| |
A formal and empirical analysis of the fuzzy Gamma rank correlation
coefficient |
| |
E118: A. Blanco, N. Corral, A. Colubi |
| |
Integration of different slopes for mids and spreads in an
interval-arithmetic regression model for random intervals |
| |
E180: D. Dubois, K. Loquin |
| |
Kriging and epistemic uncertainty : discussion and developments
|
| Session ES22 |
Room: 5 |
| Model selection and volatility models in
time series |
Friday 30.10.2009 08:30 - 10:30 |
| Chair: Jean-Michel Zakoian |
Organizer: Jean-Michel Zakoian |
| |
E013: C. Francq, L. Horvath, J. Zakoian |
| |
Merits and drawbacks of variance targeting in GARCH models |
| |
E077: L. Truquet |
| |
Quasi maximum likelihood estimation and linear ARCH processes |
| |
E004: P. Alquier, O. Wintenberger |
| |
Model selection and randomization for weakly dependent time series
forecasting |
| |
E005: F. Violante, S. Laurent, J. Rombouts |
| |
Consistent ranking of multivariate volatility models |
| |
E116: A. Monsalve Cobis, W. Gonzalez Manteiga, M. Febrero Bande |
| |
Goodness of fit test for interest rate models: an approach based on
empirical process
|
| Session ES27 |
Room: 2 |
| Statistical signal extraction and filtering 2 |
Friday 30.10.2009 08:30 - 10:30 |
| Chair: Tommaso Proietti |
Organizer: D.S.G. Pollock,
Tommaso Proietti and Esther Ruiz |
| |
E014: P. Ruckdeschel |
| |
Robustness issues in Kalman filtering revisited |
| |
E062: O. Strauss, A. Rico |
| |
Towards an interval based deconvolution in signal processing |
| |
E148: S. Grassi, B. Jungbacker, S. Koopman |
| |
Global, regional and country factors for the world economy: a dynamic
factor approach |
| |
E172: C. Mastromarco, U. Woitek |
| |
A State Space Approach to Productivity and Efficiency Measurement: The
Italian Economy, 1950-2003 |
| |
E214: F. Konecny |
| |
Inference for hidden Markov diffusions with applications to
rainfall-runoff models
|
| Session ES28 |
Room: 1 |
| Small area estimation 1 |
Friday 30.10.2009 08:30 - 10:30 |
| Chair: Isabel Molina |
Organizer: Domingo Morales and
Isabel Molina |
| |
E109: R. Ohinata, S. Sperlich |
| |
A survey of mixed model extensions |
| |
E126: M. Pratesi, N. Tzavidis, C. Giusti, N. Salvati |
| |
Resistance to outliers of M-quantile and robust random effect small
area estimation models |
| |
E159: T. Hobza, D. Morales |
| |
Application of model with random regression coefficient to small area
estimation |
| |
E009: G. Silva, C. Dean |
| |
Bayesian overdispersed models with smoothing splines for spatial
age-specific data |
| |
E042: E. Ceyhan |
| |
Some nearest neighbor methods for detection of disease clustering
|
| Session ES37 |
Room: 9 |
| Computational statistics 2 |
Friday 30.10.2009 08:30 - 10:30 |
| Chair: Cristian Gatu |
Organizer: Erricos John Kontoghiorghes |
| |
E216: S. Dossoue-Gbete, A. Sawadogo |
| |
MM-algorithms and MCMC methods in maximum
likelihood estimation for Mallows-Bradley-Terry models |
| |
E183: I. Phinikettos, A. Gandy |
| |
A new method for the fast computation of high dimensional multivariate
normal probabilities |
| |
E127: K. Domijan, S. Wilson |
| |
Bayesian kernel projections for classification of high dimensional data |
| |
E095: I. Rodrigues |
| |
A survey of robust methods under common principal components |
| |
E067: J. Godolphin |
| |
A new approach to determining estimability and connectivity in m-way
designs
|
| Session ES43 |
Room: 10 |
| Computational econometrics and financial time
series |
Friday 30.10.2009 08:30 - 10:30 |
| Chair: Alessandra Amendola |
Organizer: Peter Winker |
| |
E162: H. Ding, K. Lam |
| |
Maximum likelihood and generalized method of moments for vector multiplicative error model |
| |
E181: M. Ausin, R. Lillo, M. Wiper |
| |
Bayesian estimation of finite time ruin probabilities |
| |
E065: V. Lagoo |
| |
Using Benford's Law to identify tax-at-risk with the taxpayers |
| |
E074: J. Dai, S. Sperlich |
| |
Effective boundary correction in kernel density estimation and regression |
| |
E090: M. Gomes, F. Figueiredo |
| |
A quasi-PORT methodology for VaR based on second-order
reduced-bias estimation
|
| Session CS17 |
Room: 8 |
| Time series financial econometrics 1 |
Friday 30.10.2009 08:30 - 10:30 |
| Chair: Ana-Maria Fuertes |
Organizer: Ana-Maria Fuertes |
| |
C083: P. Boswijk, R. van der Weide |
| |
Method of moments estimation of GO-GARCH models |
| |
C103: H. Eratalay, M. Carnero |
| |
Estimating VAR-MGARCH models in multiple steps |
| |
C255: A. Canepa |
| |
Robust Bartlett Adjustment for hypotheses testing on cointegrating
vectors: a bootstrap approach |
| |
C269: I. Negri, Y. Nishiyama |
| |
Goodness of fit test for discretely observed diffusion processes |
| |
C350: R. Baillie |
| |
Methods for modeling nonlinear time series with long memory: theory and financial applications |
| Session CS45 |
Room: 4 |
| Quantitative risk management 3 |
Friday 30.10.2009 08:30 - 10:30 |
| Chair: Marc Paolella |
Organizer: Marc Paolella |
| |
C035: U. Pigorsch, W. Haerdle, C. Ying |
| |
Localized realized volatility modelling |
| |
C085: C. Pigorsch, R. Stelzer |
| |
A multivariate generalization of the Ornstein-Uhlenbeck stochastic
volatility model |
| |
C049: M. Bonato |
| |
Estimating the degrees of freedom of the realized volatility Wishart
autoregressive model |
| |
C299: R. Brownrigg, E. Khmaladze |
| |
Strange facts about the marginal distributions of processes based on
the Ornstein-Uhlenbeck process |
| |
C368: S. Prohl |
| |
Recursive-design wild bootstrap trace test |
| Session CS56 |
Room: 6 |
| Copula methods in time series analysis 1 |
Friday 30.10.2009 08:30 - 10:30 |
| Chair: Alessandra Luati |
Organizer: Alessandra Luati |
| |
C070: M. Ruppert, S. Gaisser, F. Schmid |
| |
A multivariate version of Hoeffding's Phi-Square |
| |
C072: G. Weiss |
| |
On the robustness of goodness-of-fit tests for copulas |
| |
C294: E. Pliota, W. Ng |
| |
Dynamic Asymmetric Tail Dependence: Evidence on the German Stock Market |
| |
C320: R. Doman |
| |
Applying dynamic copulas to modelling interdependencies in global
financial market during financial crises |
| |
C357: J. Witzany |
| |
Estimating LGD correlation
|
| Parallel session G |
Friday 30.10.2009 |
11:50 - 13:00 |
|
| Session ES07 |
Room: 4 |
| Small area estimation 2 |
Friday 30.10.2009 11:50 - 13:00 |
| Chair: Domingo Morales |
Organizer: Domingo Morales and
Isabel Molina |
| |
E094: A. Militino, M. Ugarte, T. Goicoa |
| |
Small area estimation using P-spline models |
| |
E130: G. Claeskens |
| |
Goodness-of-fit tests for small area estimation models |
| |
E182: I. Molina, B. Perez, D. Pena |
| |
Robust variance components in the nested-error model
|
| Session ES12 |
Room: 6 |
| Robust functional data analysis |
Friday 30.10.2009 11:50 - 13:00 |
| Chair: Matias Salibian-Barrera |
Organizer: Matias Salibian-Barrera |
| |
E161: L. Wang, N. Heckman, M. Salibian-Barrera |
| |
Robust functional principal components analysis for skewed
distributions and its application to outlier detection |
| |
E211: Y. Wei, S. Lopez-Pintado |
| |
Ordering sparse functional data |
| |
E113: J.L. Bali, Graciela Boente, David Tyler, Jane-Ling Wang |
| |
Robust methods for functional principal components |
| Session ES35 |
Room: 3 |
| Uncertainty modelling for data analysis and data mining |
Friday 30.10.2009 11:50 - 13:00 |
| Chair: Jonathan Lawry |
Organizer: Jonathan Lawry |
| |
E187: F. Diaz, A. Bugarin |
| |
Summarizing time series with probabilistic fuzzy quantifiers |
| |
E186: I. Gonzalez-Rodriguez, J. Lawry |
| |
Linguistic prototypes for data description and classification |
| |
E207: J. Lawry, Y. Tang |
| |
Semantic cells: a random set and prototype theory interpretation of
linguistic labels in rule-based systems
|
| Session ES36 |
Room: 7 |
| Time series modelling and computation 3 |
Friday 30.10.2009 11:50 - 13:00 |
| Chair: Roland Fried |
Organizer: Konstantinos Fokianos and
Roland Fried |
| |
E149: P. Vidoni, F. Giummole |
| |
Improved prediction limits for a general class of Gaussian models |
| |
E193: J. Franke, J. Stockis, J. Tadjuidje |
| |
Nonparametric time series with sudden changes in structure |
| |
E166: P. Galeano, R. Tsay |
| |
Shifts in individual parameters of a GARCH model
|
| Session CS07 |
Room: 10 |
| Multivariate multiplicative models and
related distributions |
Friday 30.10.2009 11:50 - 13:00 |
| Chair: David Veredas |
Organizer: David Veredas |
| |
C192: S. Laurent, K. Boudt, J. Danielsson |
| |
Robust estimation of CCC and DCC GARCH models |
| |
C189: A. Monti |
| |
Flexible models obtained by perturbation of symmetric densities |
| |
C046: D. Veredas, M. Barigozzi, C. Brownlees, G. Gallo |
| |
Common long-run volatility. A seminonparametric multivariate MEM
|
| Session CS14 |
Room: 8 |
| Copula methods in time series analysis 2 |
Friday 30.10.2009 11:50 - 13:00 |
| Chair: Alessandra Luati |
Organizer: Alessandra Luati |
| |
C167: O. Sokolinskiy, D. van Dijk |
| |
Forecasting realized volatility with a Copula-based time series model |
| |
C196: A. Nikoloulopoulos, H. Joe, H. Li |
| |
Vine copulas with asymmetric tail dependence and applications to
financial return data |
| |
C221: D. Fantazzini |
| |
The effects of misspecified frequency, severity and dependence
function modelling on operational risk measures
|
| Session CS31 |
Room: 1 |
| Verifying asymptotic approximations by
simulation |
Friday 30.10.2009 11:50 - 13:00 |
| Chair: Jan Kiviet |
Organizer: Jan Kiviet |
| |
C062: G. Phillips, J. Kiviet |
| |
Improved variance estimation of coefficients in stable first-order
dynamic regression models |
| |
C017: D. Kyriakopoulou, A. Demos |
| |
Edgeworth expansions of the QMLEs in the EGARCH(1,1) model |
| |
C030: J. Kiviet, J. Niemczyk |
| |
Comparing the asymptotic and empirical (un)conditional densities of
OLS and IV in a simultaneous equation
|
| Session CS41 |
Room: 9 |
| Operational Risk |
Friday 30.10.2009 11:50 - 13:00 |
| Chair: Stefan Mittnik |
Organizer: Stefan Mittnik |
| |
C309: T. Yener, S. Mittnik, S. Paterlini |
| |
Estimation of operational risk: dependence and robustness |
| |
C343: S. Mittnik, B. Ergashev, E. Sekeris |
| |
A Bayesian approach to extreme value estimation in operational risk
|
| Session CS54 |
Room: 2 |
| Inference from robust estimators |
Friday 30.10.2009 11:50 - 13:00 |
| Chair: Davide Ferrari |
Organizer: Sandra Paterlini |
| |
C341: J. Dienstbier |
| |
Tail modelling in linear models by quantile regression |
| |
C161: D. La Vecchia, E. Ronchetti, F. Trojani |
| |
Higher-order robustness |
| |
C259: D. Ferrari, D. La Vecchia |
| |
A fully parametric approach to minimum power-divergence estimation
|
| Session CS69 |
Room: 5 |
| Financial markets 2 |
Friday 30.10.2009 11:50 - 13:00 |
| Chair: Elena Kalotychou |
Organizer: Elena Kalotychou |
| |
C082: P. Molyneux |
| |
The persistence of bank profits |
| |
C369: S. Westgaard, P. Solliebakke, E. Haugom, G. Lien |
| |
Modelling realized volatility, bipower variance and jumps in energy
futures |
| |
C200: W. Liu, A. Fuertes, E. Kalotychou |
| |
The economic value of realized covariance for market timing
|
| Parallel session H |
Friday 30.10.2009 |
14:30 - 16:10 |
|
| Session ES16 |
Room: 7 |
| Time series modelling and computation 4 |
Friday 30.10.2009 14:30 - 16:10 |
| Chair: Konstantinos Fokianos |
Organizer: Konstantinos Fokianos and
Roland Fried |
| |
E133: E. Paparoditis |
| |
Frequency domain tests in multivariate time series |
| |
E035: C. Kirch, D. Politis |
| |
TFT-Bootstrap: resampling time series in the frequency domain to
obtain replicates in the time domain |
| |
E019: K. Triantafyllopoulos |
| |
Inference of multivariate dynamic generalized linear models |
| |
E170: R. Fried, U. Gather, H. Dehling |
| |
On robust change-point detection in time series
|
| Session ES31 |
Room: 3 |
| Foundations for fuzzy statistical analysis |
Friday 30.10.2009 14:30 - 16:10 |
| Chair: Didier Dubois |
Organizer: Ana Colubi and Didier Dubois |
| |
E051: M. Yudaeva, N. Hovanov, D. Kolesov |
| |
A fuzzy sets membership function computation under uncertainty |
| |
E072: T. Denoeux, D. Dubois |
| |
Statistical inference using belief functions: a reappraisal of the
General Bayes Theorem |
| |
E208: S. Das |
| |
Impact of fuzziness in measurement scale on basic statistical inference |
| |
E197: J. van den Berg |
| |
Further exploring statistical fuzzy entropy |
| |
E227: L. Stefanini |
| |
A smoothing procedure based on fuzzy F-transform |
| Session CS02 |
Room: 8 |
| Performance evaluation |
Friday 30.10.2009 14:30 - 16:10 |
| Chair: Dominique Guegan |
Organizer: Monica Billio |
| |
C048: S. Darolles, C. Gourieroux, J. Teiletche |
| |
Heterogeneity in hedge funds performance persistence |
| |
C045: M. Billio, M. Caporin |
| |
Backward/Forward optimal combination of performance measures |
| |
C059: D. Franceschi, F. Lisi |
| |
A Monte Carlo test for raters agreement with applications to mutual funds |
| |
C041: L. Cales, M. Billio, D. Guegan |
| |
Performance of long/short equally weighted portfolios
|
| Session CS13 |
Room: 5 |
| Econometric validation of agent-based models |
Friday 30.10.2009 14:30 - 16:10 |
| Chair: Thomas Lux |
Organizer: Thomas Lux |
| |
C240: E. Dugundji, L. Gulyas |
| |
Socio-dynamic discrete choice: an agent-based approach and issues in
estimation |
| |
C321: B. Torma, L. Gerencser |
| |
Economic interpretation of GARCH models: an agent-based simulation study |
| |
C345: J. Domenech, S. Alfarano, E. Camacho |
| |
How bounded is subjects' rationality in a simple experiment |
| Session CS15 |
Room: 9 |
| Growth econometrics |
Friday 30.10.2009 14:30 - 16:10 |
| Chair: Martin Wagner |
Organizer: Martin Wagner |
| |
C249: M. Binder, J. Mutl, M. Pesaran |
| |
Estimation of higher-order panel vector autoregressions with finite
time dimension |
| |
C339: M. Battisti, G. Arbia, G. Di Vaio |
| |
On the heterogeneity of regional growth patterns across Europe: A
spatial mixture model |
| |
C076: M. Jarocinski |
| |
Shrinking cross-country growth regressions |
| |
C061: M. Wagner, U. Schneider |
| |
Catching Growth Determinants with the Adaptive LASSO
|
| Session CS20 |
Room: 2 |
| Time series analysis |
Friday 30.10.2009 14:30 - 16:10 |
| Chair: Richard Gerlach |
Organizer: Cathy W. S. Che |
| |
C107: H. Wong, J. Zhao, N. Chan |
| |
A structural model for credit migration |
| |
C274: A. Halunga, D. Osborn, M. Sensier |
| |
Testing for a change in the order of integration of G7 and Euro area
inflation |
| |
C231: H. Tsai, R. Tsai |
| |
Doubly constrained factor models: estimation and applications |
| |
C088: W. Chan, A. Ng, J. Li |
| |
Modelling investment guarantees in Japan: A risk-neutral GARCH approach
|
| Session CS23 |
Room: 10 |
| Regime switching GARCH models |
Friday 30.10.2009 14:30 - 16:10 |
| Chair: Leopold Soegner |
Organizer: Leopold Soegner |
| |
C042: M. Haas, J. Liu |
| |
Asymmetric multivariate Markov-switching GARCH: structural properties and applications |
| |
C276: P. Charlot |
| |
A dynamic conditional correlation model with factorial hidden Markov
representation |
| |
C361: J. Sass, S. Fruehwirth-Schnatter, M. Hahn |
| |
Estimation of continuous time Markov switching models |
| |
C100: L. Soegner, C. Haefke |
| |
Risk analysis and mixture modelling
|
| Session CS36 |
Room: 6 |
| Robust methods in econometrics |
Friday 30.10.2009 14:30 - 16:10 |
| Chair: Christophe Croux |
Organizer: Christophe Croux |
| |
C139: V. Czellar, E. Ronchetti |
| |
Accurate and robust tests for indirect inference |
| |
C152: K. Boudt, T. Ghys, S. Laurent |
| |
Testing the contribution of jumps to total price variance: A review
and a new test |
| |
C163: D. Tuerk, K. Boudt, S. Laurent |
| |
A robust approach to the analysis and forecasting of electricity
prices and volatility |
| |
C205: P. Janus, C. Bos, S. Koopman |
| |
Spot variance estimation and its application to high frequency jump
testing
|
| Session CS61 |
Room: 4 |
| Computational econometrics:
estimation and testing |
Friday 30.10.2009 14:30 - 16:10 |
| Chair: Achim Zeileis |
Organizer: Herman K. Van Dijk and E.J. Kontoghiorghes |
| |
C246: J. Lansangan, E. Barrios |
| |
Sparse principal component regression |
| |
C283: I. Demetriou |
| |
A test for m order polynomial versus (m+1) convex regression |
| |
C243: B. Robertson, C. Price, M. Reale |
| |
Nonsmooth optimization using classification and regression trees |
| |
C305: A. Zeileis |
| |
Model-Based regression trees in economics and the social sciences
|
| Session CS63 |
Room: 1 |
| Stochastic volatility models |
Friday 30.10.2009 14:30 - 16:10 |
| Chair: Yasuhiro Omori |
Organizer: Yasuhiro Omori |
| |
C217: J. Neddermeyer, R. Dahlhaus |
| |
Online estimation of time-varying volatility and co-volatility for
tick-by-tick data: a Bayesian approach |
| |
C258: H. Nishino, T. Oga, K. Kakamu |
| |
Estimation of dynamics for Income inequality by stochastic volatility
model |
| |
C227: F. Yang, N. Hautsch |
| |
Bayesian forecasting using an extended Nelson-Siegel model |
| |
C060: Y. Omori, J. Nakajima |
| |
Stochastic volatility model with asymmetric heavy-tailed error using
GH skew Student's t distribution
|
| Parallel session I |
Friday 30.10.2009 |
16:40 - 18:40 |
|
| Session CS04 |
Room: 3 |
| Computational panel econometrics |
Friday 30.10.2009 16:40 - 18:40 |
| Chair: Jan Kiviet |
Organizer: Jan Kiviet |
| |
C090: E. Tzavalis |
| |
Structural breaks and unit root tests for short panels |
| |
C180: M. Creel |
| |
A Monte Carlo estimator for simulable models |
| |
C063: I. Savin, P. Winker |
| |
Heuristic optimization methods for dynamic panel data model selection |
| |
C251: M. Hosseinkouchack, M. Binder, F. Hoffmann |
| |
Maximum likelihood estimation of random coefficient panel data models
|
| Session CS08 |
Room: 8 |
| Econometric methods in derivatives applications |
Friday 30.10.2009 16:40 - 18:40 |
| Chair: Panayiotis Andreou |
Organizer: Panayiotis Andreou |
| |
C009: D. Dionysiou, L. Trigeorgis, A. Charitou, N. Lambertides |
| |
An alternative model to forecast default based on Black-Scholes-Merton
model and a liquidity proxy |
| |
C020: N. Koussis, S. Martzoukos, L. Trigeorgis |
| |
Multistage product development with value-enhancing and pre-emptive
options |
| |
C022: L. Rompolis |
| |
A new method of employing the principle of maximum entropy to retrieve
the risk neutral density |
| |
C075: K. Bernoth, J. von Hagen, C. de Vries |
| |
The forward premium puzzle and unobserved factors day by day |
| |
C054: P. Andreou, C. Charalambous, S. Martzoukos |
| |
Options pricing via statistical learning techniques: The support
vector regression approach
|
| Session CS21 |
Room: 4 |
| Energy and financial econometrics |
Friday 30.10.2009 16:40 - 18:40 |
| Chair: Frederique Bec |
Organizer: Arco van Oord and Herman K. Van
Dijk |
| |
C319: D. Ciferri, C. Bollino, P. Polinori |
| |
Contagion in electricity markets |
| |
C089: C. Zhou, F. Ravazzolo, C. Huurman |
| |
The power of weather |
| |
C188: E. Hoeg, L. Tsiaras |
| |
Density forecasts of crude-oil prices using option-implied and
ARCH-type models |
| |
C286: A. Van Oord, L. Hoogerheide, H. Van Dijk |
| |
Bayesian analysis of time-varying integration in energy markets |
| |
C027: F. Bec, C. Gollier |
| |
Term structure and cyclicality of Value-at-Risk: consequences for the
solvency capital requirement
|
| Session CS22 |
Room: 2 |
| Financial econometrics: forecasting and
dynamics |
Friday 30.10.2009 16:40 - 18:40 |
| Chair: Giampiero Gallo |
Organizer: Arco van Oord and
Herman K. Van Dijk |
| |
C101: M. Scholz, S. Sperlich |
| |
Prediction of stock returns with nonparametrically generated bond yields |
| |
C149: J. Reboredo, J. Matias |
| |
Forecasting performance of nonlinear models for intraday stock returns |
| |
C084: M. Willner |
| |
Forecasting stock market returns along financial cycles |
| |
C007: B. Kang, C. Chiarella, L. Clewlow |
| |
Modelling and estimating the forward price curve in the energy market |
| |
C263: A. Amendola, G. Storti |
| |
A moment based approach to the combination of volatility forecasts
|
| Session CS25 |
Room: 9 |
| Financial modelling and applications |
Friday 30.10.2009 16:40 - 18:40 |
| Chair: Hyunchul Lee |
Organizer: Jerry Coakley |
| |
C178: K. Kyriacou, B. Mase, K. Luintel |
| |
The information contained in the trades associated with the exercise
of executive stock options |
| |
C261: A. Golinski, P. Zaffaroni |
| |
Affine term structure model with ARFIMA factors |
| |
C086: J. Healy |
| |
Tests of recent advances in extracting information from option prices |
| |
C032: D. Phamhi |
| |
The finance of fraud-computational model of unauthorized trading
repression |
| |
C335: M. Smid |
| |
Econometric evidence from the continuous double auction |
| |
C044: H. Lee, J. Coakley, A. Cipollini |
| |
The time-varying European government bond markets integration and
fiscal policy: The role of EMU
|
| Session CS33 |
Room: 6 |
| Financial and economic volatility |
Friday 30.10.2009 16:40 - 18:40 |
| Chair: Gianluca Moretti |
Organizer: Peter Zadrozny |
| |
C131: D. Reiswich, R. Tompkins |
| |
Potential PCA interpretation problems for volatility smile dynamics |
| |
C164: A. Palandri |
| |
The effects of Interest rate movements on assets' conditional second
moments |
| |
C198: A. Raknerud, O. Skare |
| |
Indirect inference in non-Gaussian stochastic volatility models for
exchange rate data |
| |
C215: R. Nekhili, N. Muhammad |
| |
Volatility spillovers among the Gulf Arab emerging markets |
| |
C317: M. Gallegati |
| |
An alternative approach to test for financial market contagion |
| |
C155: M. Mazzucato, M. Tancioni |
| |
Stock return volatility and radical Innovation: the case of pharma
|
| Session CS37 |
Room: 10 |
| Computational econometrics |
Friday 30.10.2009 16:40 - 18:40 |
| Chair: Paolo Foschi |
Organizer: Herman K. Van Dijk and
Erricos John Kontoghiorghes |
| |
C230: A. Staszewska-Bystrova |
| |
Bootstrap confidence bands for forecast paths |
| |
C344: R. Ouysse |
| |
Fast Iterated double bootstrap bias correction |
| |
C213: F. Crudu, F. Crudu |
| |
Efficient bootstrap with weakly dependent processes |
| |
C277: N. Ahlgren |
| |
The power of bootstrap tests of cointegration rank with financial time
series |
| |
C233: M. Gerolimetto, C. Pizzi, I. Procidano |
| |
Further developments on unit root tests
|
| Session CS50 |
Room: 5 |
| Economic and financial time series analysis |
Friday 30.10.2009 16:40 - 18:40 |
| Chair: Frederic Jouneau-Sion |
Organizer: Christian Francq |
| |
C151: G. Moura, D. DeJong, H. Dharmarajan, R. Liesenfeld, J. Richard |
| |
Efficient likelihood evaluation of state-space representations |
| |
C165: M. Bolla |
| |
Dynamic factors of economic data |
| |
C172: C. Ntantamis |
| |
A complete procedure for estimating hidden Markov models with
application in locating structural breaks |
| |
C234: V. Bystrov, F. Battaglia, A. di Salvatore |
| |
Structural breaks and the rank of the spectral density matrix |
| |
C364: K. Giannopoulos, R. Nekhili |
| |
A market risk model for asymmetric distributed risk factors |
| Session CS66 |
Room: 7 |
| Time series financial econometrics 2 |
Friday 30.10.2009 16:40 - 18:40 |
| Chair: Ana-Maria Fuertes |
Organizer: Ana-Maria Fuertes |
| |
C146: K. Lam |
| |
Minimum-variance autoregressive prediction of nonstationary random walk |
| |
C219: Y. Peng, S. Markose |
| |
FTSE-100 volatility index (V-FTSE) and volatility risk premium |
| |
C323: C. Sattarhoff |
| |
Statistical Inference for the Multifractal Random Walk Model |
| |
C218: F. Fei, A. Fuertes, E. Kalotychou |
| |
Credit rating migration in the presence of business cycles |
| |
C113: A. Audzeyeva, K. Schenk-Hoppe |
| |
The role of country, regional and global market risks in the dynamics
of Latin American yield spreads
|
| Parallel session J |
Saturday 31.10.2009 |
08:45 - 10:20 |
|
| Session ES04 |
Room: 9 |
| Latent variable and structural equation models |
Saturday 31.10.2009 08:45 - 10:20 |
| Chair: Gil Gonzalez-Rodriguez |
Organizer: Irini Moustaki |
| |
E053: J. Jaenicke |
| |
Critical values for testing an endogenous dummy variable in a
bivariate probit model |
| |
E106: J. Wilde |
| |
Weak identification in probit models |
| |
E158: R. Bellio, M. Battauz |
| |
Structural analysis of linear mixed models with measurement error |
| |
E215: P. Valentini, M. Coli, L. Fontanella, L. Ippoliti |
| |
Dynamic structural equation model for spatial lattice data
|
| Session ES13 |
Room: 10 |
| Model visualization and interpretation |
Saturday 31.10.2009 08:45 - 10:20 |
| Chair: Heather Turner |
Organizer: Heather Turner |
| |
E044: C. Hurley, R. Oldford |
| |
Model visualisation and exploration as graph traversal |
| |
E175: I. Kosmidis |
| |
Profiling the parameters of models with linear predictors |
| |
E157: D. Firth |
| |
Extended quasi-variances
|
| Session ES29 |
Room: 3 |
| Fuzzy statistical analysis 1 |
Saturday 31.10.2009 08:45 - 10:20 |
| Chair: Giulianella Coletti |
Organizer: Giulianella Coletti |
| |
E046: A. Capotorti, E. Barbanera |
| |
Credit scoring analysis by a partial probabilistic rough set model |
| |
E083: G. Coletti, B. Bouchon-Meunier, M. Lesot, M. Rifqi |
| |
Fuzzy similarity in statistical analysis: choosing a measure on the
basis of a qualitative point of view |
| |
E081: O. Gervasi, S. Tasso, G. Donati |
| |
A generalized Bayesian inference in building a female avatar starting
from crisp and fuzzy information |
| |
E068: B. Vantaggi, G. Coletti |
| |
Generalized Bayesian inference in a fuzzy context
|
| Session ES39 |
Room: 6 |
| Robust analysis of complex data sets 3 |
Saturday 31.10.2009 08:45 - 10:20 |
| Chair: Stefan Van Aelst |
Organizer: Stefan Van Aelst |
| |
E203: P. Brutti |
| |
Diffusion driven empirical Bayes estimation of high-dimensional normal
means vectors |
| |
E174: J. Gertheiss, G. Tutz |
| |
Clustering of categories in multiple regression with categorical
predictors |
| |
E128: E. Schumann, M. Gilli |
| |
Robust regression with optimisation heuristics |
| |
E177: M. Salibian-Barrera, L. Wang, N. Heckman |
| |
Robust smoothing with asymmetrically distributed errors, with
applications to functional data analysis |
| Session CS28 |
Room: 7 |
| Conditional models of return and risk |
Saturday 31.10.2009 08:45 - 10:20 |
| Chair: Giovanni Barone-Adesi |
Organizer: Giovanni Barone-Adesi |
| |
C099: G. Corvasce, G. Barone-Adesi |
| |
The time-varying prediction of successful mergers |
| |
C105: R. Giacometti, M. Vespucci, M. Bertocchi, G. Barone Adesi |
| |
A stochastic model for hedging electricity portfolio for an
hydro-energy producer |
| |
C123: A. Mira, R. Solgi, G. Barone-Adesi |
| |
A time-additive regime switching volatility model |
| |
C373: C. Charalambous |
| |
Quantitative ambiguity models on the space of measures and utility optimization |
| Session CS42 |
Room: 4 |
| Modelling financial time series |
Saturday 31.10.2009 08:45 - 10:20 |
Chair: Paolo Foschi |
Organizer: Alessandra Amendola and
Erricos John Kontoghiorghes |
| |
C216: N. Ferreira, R. Menezes, D. Mendes |
| |
Regime-Switching Modelling of Globalization Analysis in International
Stock Markets |
| |
C226: D. Panayiotis |
| |
Estimation of a stock market return function with significant ARCH
effects. |
| |
C169: S. Anyfantaki, A. Demos |
| |
Estimation of a time-varying GQARCH-M Model
|
| |
C130: S. Steude, J. Krause, M. Paolella, M. Haas |
| |
Analyzing and exploiting asymmetries in the news impact curve |
| Session CS44 |
Room: 8 |
| Asset prices and macroeconomics |
Saturday 31.10.2009 08:45 - 10:20 |
| Chair: Willi Semmler |
Organizer: Willi Semmler |
| |
C008: J. Morrison |
| |
Credit economic capital and high performance predictive analytics |
| |
C303: V. Vaidyanathan, D. Mantilla-Garcia |
| |
Structural change detection and the Predictability of Returns |
| |
C302: A. Jakaitiene, A. Zilinskas, J. Zilinskas |
| |
Modelling dynamics of aggregate consumption for Lithuanian economy |
| |
C191: J. Bruha |
| |
An econometric model of international asset prices and macroeconomic
dynamics
|
| Session CS46 |
Room: 5 |
| Econometric applications |
Saturday 31.10.2009 08:45 - 10:20 |
| Chair: Reinhard Neck |
Organizer: Herman Van Dijk and Erricos John Kontoghiorghes |
| |
C306: L. Grassetti, G. Fonseca |
| |
Pairwise likelihood for missing data treatment in VAR models |
| |
C271: M. Owyang, K. Engemann, H. Wall |
| |
Where is an Oil shock? |
| |
C257: R. Gatto, T. Di Fonzo, M. Marini |
| |
Monthly labour force survey time series, seasonal adjustment and
reconciliation |
| |
C267: R. Neck, D. Blueschke, V. Blueschke-Nikolaeva |
| |
Stochastic control of econometric models for Slovenia
|
| Session CS51 |
Room: 1 |
| Forecasting, heavy tails and
non-standard inference 2 |
Saturday 31.10.2009 08:45 - 10:20 |
| Chair: Lynda Khalaf |
Organizer: Lynda Khalaf |
| |
C094: F. Tchatoka, J. Dufour |
| |
Weak identification and confidence sets for covariances between errors
and endogenous regressors |
| |
C098: A. Maynard, V. Alexeev |
| |
Level crossing random walk test robust to the presence of structural
breaks |
| |
C179: D. Schell, J. Beran |
| |
On robust M-estimation of the tail index |
| Session CS59 |
Room: 2 |
| Volatility models and applications |
Saturday 31.10.2009 08:45 - 10:20 |
| Chair: Andreas Savvides |
Organizer: Giampiero Gallo |
| |
C295: I. Vrontos |
| |
Analysing hedge fund investments: evidence from a multivariate
predictive Student-t full factor GARCH model |
| |
C110: P. Tsai |
| |
Decomposing realized variance: a point process of relevant price
changes with long memory in volatility |
| |
C162: G. Figa-Talamanca |
| |
Consistent and asymptotic normal parameter estimates for stochastic
volatility models with leverage effect |
| |
C077: M. Matsi, E. Andreou, A. Savvides |
| |
Stock market and foreign exchange volatility |
| Parallel session K |
Saturday 31.10.2009 |
10:40 - 13:00 |
|
| Session ES01 |
Room: 3 |
| Fuzzy statistical analysis 2 |
Saturday 31.10.2009 10:40 - 13:00 |
| Chair: Thierry Denoeux |
Organizer: Ana Colubi and Didier Dubois
|
| |
E052: G. Meeden, S. Noorbaloochi |
| |
Testing Hypotheses as a fuzzy set estimation problem |
| |
E114: B. De Baets, H. De Meyer |
| |
A relational approach to stochastic dominance |
| |
E112: G. Gonzalez-Rodriguez, M. Gil, A. Colubi |
| |
On the use of Hilbert space tools to handle fuzzy random variables |
| |
E069: V. Antoine, B. Quost, M. Masson, T. Denoeux |
| |
CECM : Constrained-Evidential C-Means |
| |
E210: F. Klawonn, R. Winkler, R. Kruse |
| |
M-Estimators and advanced fuzzy clustering
|
| |
E049: V. Georgiou, B. Quost, T. Denoeux |
| |
An evidential neural network classifier incorporating contextual
discounting |
| Session ES09 |
Room: 10 |
| Mixture models |
Saturday 31.10.2009 10:40 - 13:00 |
| Chair: Dankmar Bohning |
Organizer: Dankmar Bohning,
Dimitris Karlis and Marco Alfo |
| |
E008: I. Rocchetti, D. Bohning |
| |
Population size estimation under the Poisson-Gamma model |
| |
E022: K. Lanumteang, D. Bohning |
| |
Some new estimators under a Poisson mixture capture probability in
capture-recapture experiments |
| |
E021: D. Boehning |
| |
Capture-recapture estimation of population size by means of empirical
Bayesian smoothing |
| |
E190: L. Tardella, A. Farcomeni |
| |
Capture-recapture with heterogeneous detection probabilities |
| |
E138: D. Karlis, V. Arakelian |
| |
Clustering dependencies via mixture of copulas |
| |
E151: M. Alfo', A. Farcomeni, L. Tardella |
| |
Statistical and biological significance in gene discovery, with an
application to multiple sclerosis in Italian twins
|
| Session ES11 |
Room: 9 |
| Parametric and nonparametric model validity |
Saturday 31.10.2009 10:40 - 13:00 |
| Chair: Simos Meintanis |
Organizer: Simos Meintanis |
| |
E018: S. Papadopoulos |
| |
Estimating dynamic panel data models with autocorrelation by
restricted regressions |
| |
E057: I. Nikitin, X. Volkova |
| |
Tests of normality based on Shepp property, and their efficiencies |
| |
E117: O. Thas, B. De Boeck, J. Ottoy |
| |
Inconsistent goodness-of-fit tests with improved power for important
alternatives |
| |
E143: A. Grane |
| |
Exact goodness-of-fit tests for censored data |
| |
E155: M. Huskova, C. Kirch |
| |
Bootstrapping in sequential change-point procedures |
| |
E147: S. Meintanis |
| |
Specification tests for the error distribution in GARCH models |
| Session ES17 |
Room: 8 |
| ANSET (Italian SIS group on time
series analysis) |
Saturday 31.10.2009 10:40 - 13:00 |
| Chair: Cira Perna |
Organizer: Cira Perna |
| |
E012: F. Battaglia, M. Protopapas |
| |
Genetic algorithms for fitting nonlinear nonstationary threshold time
series models |
| |
E027: R. Baragona, S. Bandyopadhyay, U. Maulik |
| |
Clusters of multivariate time series |
| |
E165: G. Albano, F. Giordano, C. Perna |
| |
Parameter estimation for continuous stochastic volatility models |
| |
E194: P. Frederic |
| |
Smooth and flexible skew-symmetric distributions using B-splines and
penalties |
| |
E105: C. Conversano |
| |
Investigating the profitability of technical trading rules with the
regression trunk approach |
| |
E224: P. Foschi, S. Giannerini, A. Luati |
| |
Information reduction techniques for turning point prediction
|
| Session ES33 |
Room: 6 |
| Robust methods |
Saturday 31.10.2009 10:40 - 13:00 |
| Chair: Peter Filzmoser |
Organizer: Peter Filzmoser |
| |
E032: A. Alfons, M. Templ |
| |
Simulation in robust statistics using the R package simFrame |
| |
E122: A. Cerioli, A. Farcomeni |
| |
Error rates for multivariate outlier detection |
| |
E028: K. Hron, P. Filzmoser, C. Reimann |
| |
Robust principal components for compositional data |
| |
E099: J. Visek |
| |
Robustifying total least squares |
| |
E033: L. Camponovo, O. Scaillet, F. Trojani |
| |
Robust resampling methods for time series |
| |
E171: J. Antoch |
| |
M-procedures for detection of changes
|
| Session CS05 |
Room: 2 |
| VAR methods in economics and finance |
Saturday 31.10.2009 10:40 - 13:00 |
| Chair: Francesco Ravazzolo |
Organizer: Francesco Ravazzolo and
Herman K. Van Dijk |
| |
C229: P. Winker, D. Maringer |
| |
Model selection and rank estimation in vector error correction models |
| |
C025: S. Sarferaz, F. Furlanetto |
| |
Time varying VARs, monetary policy and asset prices |
| |
C346: D. Alberg, M. Last |
| |
Novel segmentation methods for financial data streams |
| |
C250: S. Hyde, M. Guidolin |
| |
Approximate regime shifts in predictability with vector autoregressive
models: A strategic asset allocation perspective |
| |
C024: F. Ravazzolo |
| |
Strategic asset allocation under structurally unstable predictability
|
| Session CS09 |
Room: 4 |
| Nonparametric volatility estimation |
Saturday 31.10.2009 10:40 - 13:00 |
| Chair: Simona Sanfelici |
Organizer: Simona Sanfelici |
| |
C212: Z. Hlavka |
| |
Specification tests in SPD estimation |
| |
C170: M. Pesta |
| |
Constrained general regression in Sobolev spaces with application to
option pricing |
| |
C056: F. Schulz, K. Mosler |
| |
The effect of infrequent trading on detecting jumps in realized variance |
| |
C126: T. Hayashi, N. Yoshida |
| |
Nonsynchronous covariation and high-frequency data |
| |
C365: F. Corsi, N. Fusari, D. La Vecchia |
| |
Pricing options with realized volatility |
| |
C266: S. Sanfelici, M. Mancino |
| |
Quarticity estimation via Fourier method
|
| Session CS19 |
Room: 7 |
| Stochastic and
robust portfolio optimization |
Saturday 31.10.2009 10:40 - 13:00 |
| Chair: Ronald Hochreiter |
Organizer: Daniel Kuhn |
| |
C168: R. Fonseca, B. Rustem |
| |
Dealing with uncertainty in an international portfolio context |
| |
C112: P. Kleniati, B. Rustem |
| |
Worst-case portfolio optimization with skewness and kurtosis: a
proposed solution strategy |
| |
C201: D. Giannone, J. Brodie, I. Daubechies, C. De Mol, I. Loris |
| |
Sparse and stable Markowitz portfolios |
| |
C236: M. Kapsos, N. Christofides, B. Rustem, S. Zymler |
| |
Omega optimization as a linear program |
| |
C333: S. Zymler, D. Kuhn, B. Rustem |
| |
Worst-case Value-at-Risk of non-linear portfolios |
| |
C166: J. Cornelissen, K. Boudt, C. Croux |
| |
A realized conditional correlation model for large-scale portfolio
optimization
|
| Session CS38 |
Room: 1 |
| Econometrics of financial distress and
applications |
Saturday 31.10.2009 10:40 - 13:00 |
| Chair: Andrea Cipollini |
Organizer: Giampiero Gallo |
| |
C031: B. Stove, K. Hufthammer, D. Tjostheim |
| |
Measuring financial contagion by local Gaussian correlation |
| |
C304: A. Antypas, N. Kourogenis, N. Pittis |
| |
Asset allocation under trending volatility |
| |
C291: A. Cipollini, I. Io Cascio |
| |
Testing for contagion: a time scale decomposition |
| |
C141: A. Hecq, J. Jacobs |
| |
Useful VAR-VECM representations for real-time data |
| |
C366: P. Leoni |
| |
Downside risk of derivative portfolios with mean-reverting underlyings |
| |
C256: M. Freo, S. Brasini, G. Tassinari |
| |
The dynamical relation between ad liking and memorial response to
advertising
|
| Session CS47 |
Room: 5 |
| Time series financial econometrics 3 |
Saturday 31.10.2009 10:40 - 13:00 |
| Chair: Ana-Maria Fuertes |
Organizer: Ana-Maria Fuertes |
| |
C252: C. Savva, N. Aslanidis |
| |
Portfolio diversification opportunities in eastern Europe |
| |
C280: Y. Han |
| |
Forward premium anomaly, realized volatility and jump process in foreign exchange markets |
| |
C238: F. Zikes |
| |
Semiparametric conditional quantile models for financial returns and
realized volatility |
| |
C096: A. Gregoriou, L. Skerratt |
| |
The time series properties of annual earnings: new evidence from an ESTAR unit root test |
| |
C138: L. Gatarek, J. De Gooijer, C. Diks |
| |
Information flows around the globe: predicting opening gaps from
overnight foreign stock price patterns |
| |
C289: A. Fuertes, J. Olmo |
| |
Exploiting intra-day prices, jumps and subsampling in daily VaR prediction |
| Parallel session L |
Saturday 31.10.2009 |
14:30 - 16:30 |
|
| Session ES06 |
Room: 5 |
| Statistical algorithms and software |
Saturday 31.10.2009 14:30 - 16:30 |
| Chair: Uwe Ligges |
Organizer: Achim Zeileis and Uwe Ligges |
| |
E220: A. Di Ciaccio, G. Giorgi |
| |
Missing data imputation by sequential decision trees |
| |
E086: R. Corradini |
| |
An application on structural time series using GNU Octave on a cheap
optimized Linux computer cluster |
| |
E085: D. Rosadi |
| |
Maximum likelihood estimation for parameters of stable Paretian
distribution: Implementation in R |
| |
E204: M. Rodriguez-Alvarez, I. Lopez de Ullibarri, C. Cadarso-Suarez |
| |
ROC.Regression: an R package for ROC regression analysis |
| |
E212: U. Ligges, S. Krey |
| |
tuneR-vibration and sound analyses in R
|
| Session ES19 |
Room: 6 |
| Algorithms and applications of robust methods |
Saturday 31.10.2009 14:30 - 16:30 |
| Chair: Mia Hubert |
Organizer: Mia Hubert |
| |
E015: T. Verdonck, M. Debruyne, S. Serneels |
| |
Robustified least squares support vector classification |
| |
E023: S. Verboven, M. Hubert, P. Goos |
| |
Building a robust calibration model for heterogeneous spectral data |
| |
E103: D. Vanpaemel, M. Hubert, G. Dierckx |
| |
Detecting influential data points in extreme value statistics |
| |
E146: S. Steel, N. Louw, S. Bierman |
| |
Variable selection for kernel classification |
| |
E096: M. Hubert, P. Rousseeuw, T. Verdonck |
| |
A faster deterministic algorithm for the MCD
|
| Session ES23 |
Room: 7 |
| Portfolio optimization, heuristics and
risk measures (ANSET) |
Saturday 31.10.2009 14:30 - 16:30 |
| Chair: Peter Winker |
Organizer: Sandra Paterlini |
| |
E176: B. Fastrich, S. Paterlini, P. Winker |
| |
Cardinality versus q-Norm Constraints for Index Tracking |
| |
E115: G. Mamanis, K. Anagnostopoulos |
| |
Solving a discrete mean-variance-skewness portfolio selection model
using multiobjective evolutionary algorithm |
| |
E064: T. Tichy, S. Ortobelli Lozza |
| |
On the impact of concordance measures in portfolio selection theory |
| |
E184: A. Scozzari, F. Tardella, T. Krink, S. Paterlini |
| |
Exact and heuristic approaches to the index tracking problem with hard
real-world constraints |
| |
E191: S. Paterlini, T. Krink, T. Minerva, M. di Tria |
| |
Multimodal optimization for financial portfolio selection with
evolutionary algorithms
|
| Session ES30 |
Room: 3 |
| Fuzzy statistical analysis 3 |
Saturday 31.10.2009 14:30 - 16:30 |
| Chair: Renato Coppi |
Organizer: Renato Coppi |
| |
E048: Z. Younes, F. Abdallah, T. Denoeux |
| |
Multi-label learning using Dempster-Shafer theory |
| |
E102: M. Ferraro, P. Giordani |
| |
A linear regression model with LR fuzzy random variables |
| |
E111: P. Giordani, R. Coppi, P. D'Urso |
| |
Possibilistic clustering for fuzzy data |
| |
E167: M. Montenegro, T. Lopez-Garcia, A. Lubiano, G.
Gonzalez-Rodriguez |
| |
A dependent multi-sample test for fuzzy means |
| |
E024: C. Moewes, R. Kruse |
| |
Learning fuzzy rules with arbitrary reference functions using GSVM
|
| Session CS03 |
Room: 4 |
| Multifractal volatility |
Saturday 31.10.2009 14:30 - 16:30 |
| Chair: Laurent E. Calvet |
Organizer: Laurent E. Calve |
| |
C174: A. Fisher, L. Calvet, L. Wu |
| |
Multifractal scaling in the interest rate term structure |
| |
C194: L. Morales-Arias, H. Herwartz, T. Lux |
| |
Relative forecasting performance of volatility models: Monte Carlo
evidence |
| |
C203: M. Fearnley, L. Calvet, A. Fisher, M. Leippold |
| |
Equity skew and the Markov switching multifractal |
| |
C136: J. Idier |
| |
(Re)correlation: a Markov switching multifractal model with time
varying correlations |
| |
C171: L. Calvet, A. Fisher |
| |
Multifractal volatility: theory, forecasting and pricing
|
| Session CS26 |
Room: 1 |
| Bayesian econometrics 2 |
Saturday 31.10.2009 14:30 - 16:30 |
| Chair: Yasuhiro Omori |
Organizer: Yasuhiro Omori |
| |
C051: T. Nakatsuma |
| |
Bayesian estimation of the cost of equity with a hierarchical prior |
| |
C144: C. Castro |
| |
Uncertainty in asset correlation for portfolio credit risk: the
shortcomings of the Basel II framework |
| |
C307: P. Koerbitz |
| |
The effects of parameter uncertainty and model risk in interest rate
models |
| |
C050: K. Kakamu, H. Kozumi |
| |
Spatio-temporal dynamics in economic growth |
| |
C324: G. Di Vaio, C. Bollino, P. Polinori |
| |
Assessing the efficiency of local government in Italy: a spatial
productivity analysis
|
| Session CS27 |
Room: 2 |
| Financial markets 3 |
Saturday 31.10.2009 14:30 - 16:30 |
| Chair: Elena Kalotychou |
Organizer: Elena Kalotychou |
| |
C311: N. Todorovic, A. Fuertes, E. Kalotychou |
| |
Intraday price and volume information for volatility-based trading |
| |
C065: S. Sapuric, A. Clare, N. Todorovic |
| |
The impact of manager changes on UK fund performance and flows |
| |
C318: M. Doman |
| |
Modelling volatility and conditional correlations |
| |
C148: O. Reznikova, C. Hafner |
| |
On the estimation of dynamic conditional correlation models |
| |
C293: R. Castellano, R. Cerqueti |
| |
Structured financial products and investor decision making
|
| Session CS43 |
Room: 9 |
| Computational econometrics: simulation
and dynamics |
Saturday 31.10.2009 14:30 - 16:30 |
| Chair: Cathy Chen |
Organizer: H. K. Van Dijk and
E.J. Kontoghiorghes |
| |
C268: S. Iacus |
| |
The Yuima Project: a computational framework for simulation and
inference of SDEs with jumps |
| |
C153: M. Andreasen |
| |
Explaining macroeconomic and term structure dynamics jointly in a
non-linear DSGE Model |
| |
C337: L. Zangeneh, P. Bentley |
| |
Cartesian genetic programming approach to find a best regression model
between credit default swap spreads and bond yields |
| |
C176: P. Postiglione, M. Andreano, R. Benedetti |
| |
Stochastic relaxation algorithms for the analysis of regional economic
growth |
| |
E228: O. Flasch, T. Bartz-Beielstein |
| |
Sequential parameter optimization applied to evolutionary strategies for portfolio optimization |
| Session CS53 |
Room: 10 |
| Economic and financial applications |
Saturday 31.10.2009 14:30 - 16:30 |
| Chair: Alessandra Amendola |
Organizer: Alessandra Amendola and
Erricos John Kontoghiorghes |
| |
C331: E. Gaygisiz, D. Pekkurnaz, H. Ayaydin |
| |
Determinants of liquidity holdings of Turkish commercial banks |
| |
C332: V. Belousova |
| |
Performance and cost efficiency of Russian small-sized banks |
| |
C052: J. Carkovs, V. Carkova |
| |
On stationary distribution of heteroskedastic conditional variance |
| |
C117: A. Abdel-Hamid, E. AL-Hussaini |
| |
Progressive stress accelerated life tests under progressive type-II
censoring |
| |
C223: N. Glisovic, N. Bojovic, M. Milenkovic, N. Knezevic |
| |
Decision support system for a project management application |
| |
C181: T. Wang, Y. Zhang, J. Lu, J. Wang |
| |
The game playing in knock-out discount accumulator |
| Session CS62 |
Room: 8 |
| Financial econometrics: portfolio,
risk, and GARCH models |
Saturday 31.10.2009 14:30 - 16:30 |
| Chair: Arco van Oord |
Organizer: Arco van Oord and
Herman K. Van Dijk |
| |
C069: T. Kinkawa, N. Shinozaki |
| |
Dominance results of shrinkage estimators for the mean-variance
optimal portfolio weights and their applications |
| |
C079: S. Jeon, Y. Park |
| |
A hierarchical Bayesian dynamic latent variable model for credit rating |
| |
C116: J. Hayden, R. Ferstl |
| |
A particle filter approach for money market yield curve estimation |
| |
C214: M. Nieto Delfin, E. Ruiz Ortega |
| |
Bootstrap prediction intervals for risk measures in the context of
GARCH models |
| |
C237: M. Theodosiou, F. Zikes |
| |
A comprehensive comparison of alternative tests for jumps in asset prices
|
Created by Computing & Statistics 2007
