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