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DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2021: How to explain the cross-section of equity returns through Common Principal Components Downloads
Ignacio Cascos Fernández, Aurea Grané Chávez and José Manuel Cueto
2021: Dynamic factor models: does the specification matter? Downloads
Esther Ruiz Ortega, Pilar Poncela and Karen Alejandra Miranda Gualdrón
2021: Expecting the unexpected: economic growth under stress Downloads
Esther Ruiz Ortega, Carlos Rodríguez Caballero and Gloria Gonzalez Rivera
2021: Integrated nested Laplace approximations for threshold stochastic volatility models Downloads
Helena Veiga, Havard Rue, Juan Miguel Marín Díazaraque and P. De Zea Bermudez
2020: Adaptative predictability of stock market returns Downloads
Helena Veiga, Xiuping Mao and Isabel Casas
2020: What do international energy prices have in common after taking into account the key drivers? Downloads
Daniel Peña Sánchez de Rivera, Ángela Caro Navarro and Maximo Camacho
2020: Contagion in sequential financial markets: an experimental analysis Downloads
Marc Vorstaz, Helena Veiga and Ronald Peeters
2020: Valuation in the energy sector: Fundamentals or bubbles? Downloads
I-Chuan Huang, Helena Veiga and Sofia Ramos
2020: Discovering general and sectorial trends in a large set of time series Downloads
Antoni Espasa and Guillermo Carlomagno Real
2020: A solution method for the shared Resource Constrained Multi-Shortest Path Problem Downloads
Antonio Alonso Ayuso, Manuel Laguna, Elisenda Molina Ferragut and David García Heredia
2020: Factor extraction using Kalman filter and smoothing: this is not just another survey Downloads
Karen Alejandra Miranda Gualdrón, Esther Ruiz Ortega and Pilar Poncela
2020: Iterative variable selection for high-dimensional data: prediction of pathological response in triple-negative breast cancer Downloads
Miguel Martín, Juan Romo Urroz, Antonio C. Picornell, María Del Monte Millán, Sara López Taruella, Rosa Elvira Lillo Rodríguez, Enrique Álvarez, María del Carmen Aguilera Morillo and Juan Carlos Laria de la Cruz
2020: Adaptive quadrature schemes for Bayesian inference via active learning Downloads
Fernando Llorente Fernandez, Javier López Santiago, David Delgado Gómez, Víctor Elvira Arregui and Luca Martino
2020: Direct versus iterated multi-period Value at Risk Downloads
Esther Ruiz Ortega and Maria Rosa Nieto Delfin
2020: Quantile Consumption-Capital Asset Pricing Downloads
Chih-Wei Wang, María Helena Lopes Moreira Da Veiga, Abderrahim Taamouti and Sofia Ramos
2019: Comparing Forecasts of Extremely Large Conditional Covariance Matrices Downloads
Guilherme Moura, Esther Ruiz and André A. P. Santos
2019: Prediction regions for interval-valued time series Downloads
Esther Ruiz Ortega, Yun Luo and Gloria Gonzalez-Rivera
2019: Growth with heterogenous interdependence Downloads
Oscar Martinez Ibañez, Miguel Manjon Antolin and Karen Alejandra Miranda Gualdrón
2019: Insider information and its relation with the arbitrage condition and the utility maximization problem Downloads
Jose Antonio Salmeron Garrido and Bernardo D'Auria
2019: Optimal exercise of American options under stock pinning Downloads
Abel Guada-Azze, Eduardo García Portugues and Bernardo D'Auria
2019: Models for expected returns with statistical factors Downloads
José Manuel Cueto, Ignacio Cascos Fernández and Aurea Grané Chávez
2019: Out-of-sample prediction in multidimensional P-spline models Downloads
Dae-Jin Lee, María Luz Durbán Reguera and Alba Carballo González
2019: A Depth for Censured Functional Data Downloads
Laura M. Sangalli, Anna M. Paganoni, Raúl José Jiménez Recaredo and Antonio Elías Fernández
2019: Shrinkage reweighted regression Downloads
Henry Laniado Rodas, Rosa Elvira Lillo Rodríguez and Elisa Cabana Garceran del Vall
2019: Quantile regression: a penalization approach Downloads
Rosa Elvira Lillo Rodríguez, María del Carmen Aguilera Morillo and Álvaro Méndez Civieta
2019: Multivariate expectile trimming and the BExPlot Downloads
Maicol Jesús Ochoa Arellano and Ignacio Cascos Fernández
2019: Bias assessment and reduction for the 2SLS estimator in general dynamic simultaneous equations models Downloads
Dandan Wang and Garry David Alan Phillips
2019: Exploring option pricing and hedging via volatility asymmetry Downloads
Isabel Casas and Helena Veiga
2019: Data cloning estimation for asymmetric stochastic volatility models Downloads
Patrícia de Zea Bermudez, Juan Miguel Marín Díazaraque and Helena Veiga
2019: Social Pressure or Rational Reactions to Incentives? A Historical Analysis of Reasons for Referee Bias in the Spanish Football Downloads
J Reade, Stefano Cabras and Juan de Dios Tena
2019: Detecting Gender Discrimination in Intrahousehold Resource Allocation Downloads
Javier Maldonado
2018: Variational Inference for high dimensional structured factor copulas Downloads
Hoang Nguyen, María Concepción Ausín Olivera and Pedro Galeano San Miguel
2018: A short note on "Anticipative Portfolio Optimization" Downloads
Jose Antonio Salmeron Garrido and Bernardo D'Auria
2018: Estimation of the common component in Dynamic Factor Models Downloads
Ángela Caro Navarro and Daniel Peña Sánchez de Rivera
2018: Entropy Measures for Stochastic Processes with Applications in Functional Anomaly Detection Downloads
Javier M. Moguerza, Gabriel Martos, Nicolás Jorge Hernández Banadik and Alberto Muñoz García
2018: Growth in Stress Downloads
Gloria Gonzalez-Rivera, Esther Ruiz Ortega and Javier Maldonado
2017: Accurate Subsampling Intervals of Principal Components Factors Downloads
Javier Maldonado and Esther Ruiz
2017: Optimal portfolio with insider information on the stochastic interest rate Downloads
Jose Antonio Salmeron Garrido, Dolores García Martí and Bernardo D'Auria
2017: Modeling and forecasting the oil volatility index Downloads
Massimo B. Mariti, Joao Henrique Gonçalves Mazzeu and Helena Veiga
2017: Discovering pervasive and non-pervasive common cycles Downloads
Guillermo Carlomagno Real and Antoni Espasa
2017: 22 Years of inflation assessment and forecasting experience at the bulletin of EU & US inflation and macroeconomic analysis Downloads
Eva Senra and Antoni Espasa
2017: Estimating life expectancy free of dependency: group characterization through the proximity to the deepest dependency path Downloads
Pablo J. Alonso González, Irene Albarrán Lozano and Aurea Grané Chávez
2017: Findings about the two-state BMMPP for modeling point processes in reliability and queueing systems Downloads
Pepa Ramírez-Cobo, Yoel Gustavo Yera Mora and Rosa Elvira Lillo Rodríguez
2017: Robust and sparse estimation of high-dimensional precision matrices via bivariate outlier detection Downloads
Ginette Lafit and Francisco Javier Nogales Martín
2017: Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence Downloads
Yunus Emre Ergemen and Carlos Rodríguez Caballero
2017: Multivariate outlier detection based on a robust Mahalanobis distance with shrinkage estimators Downloads
Henry Laniado Rodas, Elisa Cabana Garceran del Vall and Rosa Elvira Lillo Rodríguez
2017: A general framework for prediction in penalized regression Downloads
Dae-Jin Lee, Alba Carballo González and María Luz Durbán Reguera
2017: Prediction Bands for Functional Data Based on Depth Measures Downloads
Raúl José Jiménez Recaredo and Antonio Elías Fernández
2017: Estimating non-stationary common factors: Implications for risk sharing Downloads
Pilar Poncela, Francisco Corona and Esther Ruiz Ortega
2017: Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas Downloads
Hoang Nguyen, María Concepción Ausín Olivera and Pedro Galeano San Miguel
2017: Clustering Big Data by Extreme Kurtosis Projections Downloads
Janeth Carolina Rendon Aguirre, Daniel Peña Sánchez de Rivera and Francisco Javier Prieto Fernández
2017: Kernel depth funcions for functional data Downloads
Nicolás Jorge Hernández Banadik and Alberto Muñoz García
2017: Evaluating significant effects from alternative seeding systems: a Bayesian approach, with an application to the UEFA Champions League Downloads
Michael Peter Wiper, David Forrest, Francisco Corona and Juan de Dios Tena
2017: BIAS correction for dynamic factor models Downloads
Carolina García-Martos, Guadalupe Bastos and Andrés Modesto Alonso Fernández
2017: Electricity prices forecasting by averaging dynamic factor models Downloads
Carolina García-Martos, Guadalupe Bastos and Andrés Modesto Alonso Fernández
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