Statistics and Econometrics Working Papers

from Universidad Carlos III, Departamento de Estadística y Econometría
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2008: A multivariate generalized independent factor GARCH model with an application to financial stock returns

Antonio Garcia-Ferrer, Ester Gonzalez-Prieto and Daniel Pena

2008: A functional data based method for time series classification

Andres M. Alonso, David Casado, Sara Lopez Pintado and Juan Romo

2008: Measuring financial risk: comparison of alternative procedures to estimate VaR and ES

Maria Rosa Nieto and Esther Ruiz

2008: Marginal productivity index policies for problems of admission control and routing to parallel queues with delay

Peter Jacko and Jose Nino-Mora

2008: Locally linear approximation for Kernel methods: the Railway Kernel

Javier Gonzalez and Alberto Munoz

2008: Smooth-car mixed models for spatial count data

Dae-Jin Lee and Maria Durban

2008: LIBOR additive model calibration to swaptions markets

Jesús P. Colino, Francisco J. Nogales and Winfried Stute

2008: Weak convergence in credit risk

Jesús P. Colino

2008: Credit risk with semimartingales and risk-neutrality

Jesús P. Colino and Winfried Stute

2008: New stochastic processes to model interest rates: LIBOR additive processes

Jesús P. Colino

2008: Unbalanced groups in nonparametric survival tests

Emilio Leton and Pilar Zuluaga

2008: On identifiability of MAP processes

Pepa Ramirez, Rosa E. Lillo and Michael P. Wiper

2008: Asymptotic properties of a goodness-of-fit test based on maximum correlations

Aurea Grane and Anna V. Tchirina

2008: Aggregation and dissemination of information in experimental asset markets in the presence of a manipulator

Helena Veiga and Marc Vorsatz

2008: Goodness of fit in models for mortality data

Carlo Giovanni Camarda and Maria Durban

2008: The effect of short-selling of the aggregation of information in an experimental asset market

Helena Veiga and Marc Vorsatz

2008: Seasonal dynamic factor analysis and bootstrap inference: application to electricity market forecasting

andrés M. Alonso, Carolina Garcia-Martos, Julio Rodriguez and Maria Jesus Sanchez

2008: A semi-parametric model for circular data based on mixtures of beta distributions

Jose Antonio Carnicero and Michael P. Wiper

2008: Bootstrap prediction intervals in State Space models

Alejandro Federico Rodriguez and Esther Ruiz

2008: On Bayesian estimation of multinomial probabilities under incomplete experimental information

Pepa Ramirez and Brani Vidakovic

2008: Inference for double Pareto lognormal queues with applications

Pepa Ramirez, Rosa E. Lillo, Michael P. Wiper and Simon P. Wilson

2008: Forecasting Spanish inflation using information from different sectors and geographical areas

Juan de Dios Tena, Antoni Espasa and Gabriel Pino

2007: Forecasting from one day to one week ahead for the Spanish system operator

Jose Ramon Cancelo, Antoni Espasa and Rosemarie Grafe

2007: A multimarket approach to estimate a New Keynesian Phillips Curve

Juan de Dios Tena, Jorge Dresdner and Ivan Araya

2007: The effect of realised volatility on stock returns risk estimates

Aurea Grane and Helena Veiga

2007: Local linear regression for functional predictor and scalar response

Amparo Baillo and Aurea Grane

2007: A scale-free adaptive statistic for testing exponentiality against weibull and generalized pareto distributions

Aurea Grane and Josep Fortiana

2007: Volatility modelling and accurate minimun capital risk requirements: a comparison among several approaches

Aurea Grane and Helena Veiga

2007: Characterization and computation of restless bandit marginal productivity indices

Jose Nino-Mora

2007: Two-stage index computation for bandits with switching penalties II: switching delays

Jose Nino-Mora

2007: Two-stage index computation for bandits with switching penalties I: switching costs

Jose Nino-Mora

2007: Bootstrap for estimating the mean squared error of the spatial EBLUP

Isabel Molina, Nicola Salvati and Monica Pratesi

2007: Depth functions based on a number of observations of a random vector

Ignacio Cascos

2007: The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances

Santiago Pellegrini, Esther Ruiz and Antoni Espasa

2007: Explaining inflation and output volatility in Chile: an empirical analysis of forty years

Juan de Dios Tena and Cesar A. Salazar

2007: A robust partial least squares method with applications

Javier Gonzalez, Daniel Pena and Rosario Romera

2007: Spatial matching of M configurations of points with a bioinformatics application

Juan Miguel Marin and Carmen Nieto

2007: The sign of asymmetry and the Taylor Effect in stochastic volatility models

Helena Veiga

2007: ESTIMATING THE SYSTEM ORDER BY SUBSPACE METHODS

Alfredo Garcia Hiernaux, Jose Casals and Miguel Jerez

2006: THE EXPECTED CONVEX HULL TRIMMED REGIONS OF A SAMPLE

Ignacio Cascos

2006: PROPERTIES OF TWO U.S. INFLATION MEASURES (1985-2005)

Eva Vicente Martinez

2006: MULTIVARIATE RISKS AND DEPTH-TRIMMED REGIONS

Ignacio Cascos and Ilya Molchanov

2006: UNCERTAINTY UNDER A MULTIVARIATE NESTED-ERROR REGRESSION MODEL WITH LOGARITHMIC TRANSFORMATION

Isabel Molina

2006: MODELLING LONG-MEMORY VOLATILITIES WITH LEVERAGE EFFECT: ALMSV VERSUS FIEGARCH

Esther Ruiz and Helena Veiga

2006: IMPLEMENTING PLS FOR DISTANCE-BASED REGRESSION: COMPUTATIONAL ISSUES

Eva Boj, Aurea Grane, Josep Fortiana and M. Merce Claramunt

2006: DEPTH-BASED INFERENCE FOR FUNCTIONAL DATA

Sara Lopez-Pintado and Juan Romo

2006: ON THE CONCEPT OF DEPTH FOR FUNCTIONAL DATA

Sara Lopez-Pintado and Juan Romo

2006: MODELLING MONETARY TRANSMISSION IN UK MANUFACTURING INDUSTRY

Juan de Dios Tena and A. R. Tremayne

2006: OPTIMAL POLICIES FOR DISCRETE TIME RISK PROCESSES WITH A MARKOV CHAIN INVESTMENT MODEL

Maikol Diasparra and Rosario Romera

2006: KARHUNEN-LOÈVE BASIS IN GOODNESS-OF-FIT TESTS DECOMPOSITION: AN EVALUATION

Aurea Grane and Josep Fortiana

2006: VOLATILITY FORECASTS: A CONTINUOUS TIME MODEL VERSUS DISCRETE TIME MODELS1

Helena Veiga

2006: MODELLING THE DISCRETE AND INFREQUENT OFFICIAL INTEREST RATE CHANGE IN THE UK

Juan de Dios Tena and Edoardo Otranto

2006: A PROPOSAL TO OBTAIN A LONG QUARTERLY CHILEAN GDP SERIES

Juan de Dios Tena, Miguel Jerez, Sonia Sotoca and Nicole Carvallo

2006: OPTIMAL RAILWAY INFRASTRUCTURE MAINTENANCE AND REPAIR POLICIES TO MANAGE RISK UNDER UNCERTAINTY WITH ADAPTIVE CONTROL

Javier González, Rosario Romera, Jesus Carretero and Jose M. Perez

2006: PRINCIPAL ALARMS IN MULTIVARIATE STATISTICAL PROCESS CONTROL

Isabel González and Ismael Sánchez

2006: A TWO FACTOR LONG MEMORY STOCHASTIC VOLATILITY MODEL

Helena Veiga

2006: USING AUXILIARY RESIDUALS TO DETECT CONDITIONAL HETEROSCEDASTICITY IN INFLATION

Carmen Broto and Esther Ruiz

2006: ARE FEEDBACK FACTORS IMPORTANT IN MODELLING FINANCIAL DATA?

Helena Veiga