DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2025: Data-driven chance-constrained optimization based on Gaussian Mixture Models

Alberto Corredera Barbado, Carlos Ruiz Mora and Francisco Javier Prieto Fernández

2024: On the relationship of country geopolitical risk on energy inflation

Cristina Alexandra De Oliveira Amado, Ignacio Garrón Vedia and María Helena Lopes Moreira da Veiga

2024: International vulnerability of inflation

Ignacio Garrón Vedia and Carlos Vladimir Rodríguez Caballero

2024: Extreme temperatures and the profitability of large European firms

Gian Pietro Enzo Bellocca and Maria Pilar Poncela Blanco

2024: Predictive day-ahead offering for renewable generators in uncertain spot and balancing markets

Wenxiu Feng

2024: Fitting complex stochastic volatility models using Laplace approximation

Eva Romero

2024: A stochastic volatility model for volatility asymmetry and propagation

Eva Romero

2024: A Bayesian semi-parametric approach to stochastic frontier models with inefficiency heterogeneity

Yaguo Deng

2024: A Quantile Neural Network Framework for Twostage Stochastic Optimization

Calvin Tsay

2024: Clustering and forecasting of day-ahead electricity supply curves using a market-based distance

Zehang Li, Antonio Elías and Juan M. Morales

2023: Observability analysis for structural system identification based on state estimation

Ahmad Alahmad, Rocío Porras, José Antonio Lozano Galant and José Turmo

2023: Deep Learning and Bayesian Calibration Approach to Hourly Passenger Occupancy Prediction in Beijing Metro: A Study Exploiting Cellular Data and Metro Conditions

He Sun

2023: Economic activity and C02 emissions in Spain

Aranzazu de Juan and Maria Pilar Poncela

2023: Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula

Gloria Gonzalez-Rivera and Carlos Rodriguez Caballero

2023: Penalized function-on-function partial leastsquares regression

Harold Antonio Hernandez Roig, María del Carmen Aguilera Morillo, Ana M. Aguilera and Cristian Preda

2023: Adaptive posterior distributions for covariance matrix learning in Bayesian inversion problems for multioutput signals

Ernesto Angel Curbelo Benitez, Luca Martino and Fernando Llorente Fernandez

2023: Modelling physical activity profiles in COPD patients: a new approach to variable-domain functional regression models

Pavel Hernandez Amaro, María del Carmen Aguilera Morillo, Cristobal Esteban Gonzalez and Inma Arostegui

2023: Risk Management of Energy Communities with Hydrogen Production and Storage Technologies

Wenxiu Feng

2023: Measuring efficiency of Peruvian universities: a stochastic frontier analysis

Juan Carlos Orosco Gavilán

2022: Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models

Maria Pilar Poncela Blanco and Diego Eduardo Fresoli

2022: An experimental analysis of contagion in financial markets

Ronald Peeters and Marc Vorstaz

2022: Prescriptive selection of machine learning hyperparameters with applications in power markets: retailer's optimal trading

Alberto Corredera Barbado and Carlos Ruiz Mora

2022: Multivariate Functional Outlier Detection using the FastMUOD Indices

Oluwasegun Taiwo Ojo, Antonio Fernández Anta and Marc G. Genton

2022: Spatial extreme model for rainfall intensity: application to the estimation of IDF curves in the Basque Country

Sixto Herrera

2022: Before and after default: information and optimal portfolio via anticipating calculus

José Antonio Salmerón Garrido, Giulia Di Nunno and Bernardo D'Auria

2022: Data-driven stabilizations of goodness-of-fit tests

Alberto Fernández de Marcos Giménez de los Galanes

2022: Economic activity and climate change

Aránzazu De Juan Fernández, Pilar Poncela and Carlos Rodriguez Caballero

2022: An anticipative Markov modulated market

Bernardo D'Auria and José Antonio Salmerón Garrido

2021: A Bayesian Spatio-temporal model for predicting passengers' occupancy at Beijing Metro

Flor Sunhe

2021: Anticipative information in a Brownian-Poisson market: the binary information

Bernardo D'Auria and José Antonio Salmerón Garrido

2021: Optimal stopping of an Ornstein-Uhlenbeck bridge

Bernardo D'Auria and Abel Guada Azze

2021: A quantile based dimension reduction technique

María del Carmen Aguilera Morillo

2021: Some results on optimally exercising American put options for time-inhomogeneous processes

Bernardo D'Auria and Abel Guada

2021: How to explain the cross-section of equity returns through Common Principal Components

José Manuel Cueto

2021: Dynamic factor models: does the specification matter?

Pilar Poncela

2021: Expecting the unexpected: economic growth under stress

Gloria Gonzalez Rivera and Carlos Rodriguez Caballero

2021: Integrated nested Laplace approximations for threshold stochastic volatility models

Patrícia de Zea Bermudez and Havard Rue

2020: Adaptative predictability of stock market returns

Isabel Casas

2020: What do international energy prices have in common after taking into account the key drivers?

Maximo Camacho

2020: Valuation in the energy sector: Fundamentals or bubbles?

Sofia Ramos and I-Chuan Huang

2020: A solution method for the shared Resource Constrained Multi-Shortest Path Problem

Manuel Laguna and Antonio Alonso Ayuso

2020: Factor extraction using Kalman filter and smoothing: this is not just another survey

Pilar Poncela

2020: Iterative variable selection for high-dimensional data: prediction of pathological response in triple-negative breast cancer

María del Carmen Aguilera Morillo, Enrique Álvarez, Sara López Taruella, María Del Monte Millán, Antonio C. Picornell and Miguel Martín

2020: Adaptive quadrature schemes for Bayesian inference via active learning

Fernando Llorente Fernández and Luca Martino

2020: Direct versus iterated multi-period Value at Risk

Maria Rosa Nieto Delfin

2020: Quantile Consumption-Capital Asset Pricing

Sofia Ramos

2019: Comparing Forecasts of Extremely Large Conditional Covariance Matrices

Guilherme Moura and Andre Santos

2019: Prediction regions for interval-valued time series

Gloria Gonzalez-Rivera and Yun Luo

2019: Growth with heterogenous interdependence

Miguel Manjon Antolin and Oscar Martinez Ibañez

2019: Insider information and its relation with the arbitrage condition and the utility maximization problem

Bernardo D'Auria and José Antonio Salmerón Garrido

2019: Optimal exercise of American options under stock pinning

Bernardo D'Auria and Abel Guada-Azze

2019: Models for expected returns with statistical factors

José Manuel Cueto

2019: Out-of-sample prediction in multidimensional P-spline models

Dae-Jin Lee

2019: A Depth for Censured Functional Data

Anna M. Paganoni and Laura M. Sangalli

2019: Shrinkage reweighted regression

Henry Laniado Rodas

2019: Quantile regression: a penalization approach

María del Carmen Aguilera Morillo

2019: Bias assessment and reduction for the 2SLS estimator in general dynamic simultaneous equations models

Garry David Alan Phillips and Dandan Wang

2019: Exploring option pricing and hedging via volatility asymmetry

Isabel Casas

2019: Data cloning estimation for asymmetric stochastic volatility models

Patrícia de Zea Bermudez

2019: Social Pressure or Rational Reactions to Incentives? A Historical Analysis of Reasons for Referee Bias in the Spanish Football

J Reade