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DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2024: A stochastic volatility model for volatility asymmetry and propagation Downloads
Juan Miguel Marín Díazaraque, Eva Romero and María Helena Lopes Moreira Da Veiga
2024: A Bayesian semi-parametric approach to stochastic frontier models with inefficiency heterogeneity Downloads
Yaguo Deng
2024: A Quantile Neural Network Framework for Twostage Stochastic Optimization Downloads
Calvin Tsay
2024: Clustering and forecasting of day-ahead electricity supply curves using a market-based distance Downloads
Zehang Li, Antonio Elías and Juan M. Morales
2023: Observability analysis for structural system identification based on state estimation Downloads
Ahmad Alahmad, Roberto Mínguez Solana, 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 Downloads
He Sun and Stefano Cabras
2023: Economic activity and C02 emissions in Spain Downloads
Aranzazu de Juan, Maria Pilar Poncela and Esther Ruiz Ortega
2023: Effects of extreme temperature on the European equity market Downloads
Gian Pietro Enzo Bellocca, Lucia Alessi, Maria Pilar Poncela Blanco and Esther Ruiz Ortega
2023: Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula Downloads
Gloria Gonzalez-Rivera, Carlos Rodriguez Caballero and Esther Ruiz Ortega
2023: Penalized function-on-function partial leastsquares regression Downloads
Harold Antonio Hernandez Roig, María del Carmen Aguilera Morillo, Ana M. Aguilera and Cristian Preda
2023: Tall big data time series of high frequency: stylized facts and econometric modelling Downloads
Antoni Espasa and Guillermo Carlomagno Real
2023: Adaptive posterior distributions for covariance matrix learning in Bayesian inversion problems for multioutput signals Downloads
Luca Martino, Ernesto Angel Curbelo Benitez, Fernando Llorente Fernandez and David Delgado Gómez
2023: Modelling physical activity profiles in COPD patients: a new approach to variable-domain functional regression models Downloads
Pavel Hernandez Amaro, María Luz Durbán Reguera, Cristobal Esteban Gonzalez, Inma Arostegui and María del Carmen Aguilera Morillo
2023: Data cloning for a threshold asymmetric stochastic volatility model Downloads
Juan Miguel Marín Díazaraque and María Helena Lopes Moreira Da Veiga
2023: Risk Management of Energy Communities with Hydrogen Production and Storage Technologies Downloads
Wenxiu Feng and Carlos Ruiz Mora
2023: Measuring efficiency of Peruvian universities: a stochastic frontier analysis Downloads
Juan Carlos Orosco Gavilán, María Helena Lopes Moreira Da Veiga and Michael Peter Wiper
2022: Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models Downloads
Diego Eduardo Fresoli, Maria Pilar Poncela Blanco and Esther Ruiz Ortega
2022: A Neural Network-Based Distributional Constraint Learning Methodology for Mixed-Integer Stochastic Optimization Downloads
Antonio Alcántara Mata and Carlos Ruiz Mora
2022: Contagion in sequential financial markets: an experimental analysis Downloads
Ronald Peeters, Helena Veiga and Marc Vorstaz
2022: Prescriptive selection of machine learning hyperparameters with applications in power markets: retailer's optimal trading Downloads
Alberto Corredera and Carlos Ruiz Mora
2022: Multivariate Functional Outlier Detection using the FastMUOD Indices Downloads
Oluwasegun Taiwo Ojo, Antonio Fernández Anta, Marc G. Genton and Rosa Elvira Lillo Rodríguez
2022: On the General Equilibrium Effects of Market Power Downloads
Diego Moreno and Emmanuel Petrakis
2022: Spatial extreme model for rainfall intensity: application to the estimation of IDF curves in the Basque Country Downloads
Sixto Herrera and Roberto Mínguez Solana
2022: Data depth and multiple output regression, the distorted M-quantiles approach Downloads
Maicol Jesús Ochoa Arellano and Ignacio Cascos Fernández
2022: On data-driven chance constraint learning for mixed-integer optimization problems Downloads
Carlos Ruiz Mora and Antonio Alcántara Mata
2022: Before and after default: information and optimal portfolio via anticipating calculus Downloads
José Antonio Salmerón Garrido, Giulia Di Nunno and Bernardo D'Auria
2022: Data-driven stabilizations of goodness-of-fit tests Downloads
Alberto Fernández de Marcos Giménez de los Galanes and Eduardo García Portugués
2022: Economic activity and climate change Downloads
Aránzazu De Juan Fernández, Pilar Poncela, Carlos Rodriguez Caballero and Esther Ruiz Ortega
2022: Optimal day-ahead offering strategy for large producers based on market price response learning Downloads
Carlos Ruiz Mora and Antonio Alcántara Mata
2022: An anticipative Markov modulated market Downloads
Bernardo D'Auria and José Antonio Salmerón Garrido
2021: A Bayesian Spatio-temporal model for predicting passengers' occupancy at Beijing Metro Downloads
Stefano Cabras and Flor Sunhe
2021: Anticipative information in a Brownian-Poisson market: the binary information Downloads
Bernardo D'Auria and José Antonio Salmerón Garrido
2021: Optimal stopping of an Ornstein-Uhlenbeck bridge Downloads
Bernardo D'Auria, Abel Guada Azze and Eduardo García Portugués
2021: A quantile based dimension reduction technique Downloads
Álvaro Méndez Civieta, María del Carmen Aguilera Morillo and Rosa Elvira Lillo Rodríguez
2021: Some results on optimally exercising American put options for time-inhomogeneous processes Downloads
Bernardo D'Auria, Abel Guada and Eduardo García Portugués
2021: How to explain the cross-section of equity returns through Common Principal Components Downloads
José Manuel Cueto, Aurea Grané Chávez and Ignacio Cascos Fernández
2021: Dynamic factor models: does the specification matter? Downloads
Karen Alejandra Miranda Gualdrón, Pilar Poncela and Esther Ruiz Ortega
2021: Expecting the unexpected: economic growth under stress Downloads
Gloria Gonzalez Rivera, Carlos Rodriguez Caballero and Esther Ruiz Ortega
2021: Integrated nested Laplace approximations for threshold stochastic volatility models Downloads
Juan Miguel Marín Díazaraque, Havard Rue, Helena Veiga and Patrícia de Zea Bermudez
2020: Adaptative predictability of stock market returns Downloads
Isabel Casas, Xiuping Mao and Helena Veiga
2020: What do international energy prices have in common after taking into account the key drivers? Downloads
Maximo Camacho, Ángela Caro Navarro and Daniel Peña
2020: Valuation in the energy sector: Fundamentals or bubbles? Downloads
Sofia Ramos, Helena Veiga and I-Chuan Huang
2020: Discovering general and sectorial trends in a large set of time series Downloads
Guillermo Carlomagno Real and Antoni Espasa
2020: A solution method for the shared Resource Constrained Multi-Shortest Path Problem Downloads
David García Heredia, Elisenda Molina Ferragut, Manuel Laguna and Antonio Alonso Ayuso
2020: Factor extraction using Kalman filter and smoothing: this is not just another survey Downloads
Pilar Poncela, Esther Ruiz Ortega and Karen Alejandra Miranda Gualdrón
2020: Iterative variable selection for high-dimensional data: prediction of pathological response in triple-negative breast cancer Downloads
Juan Carlos Laria de la Cruz, María del Carmen Aguilera Morillo, Enrique Álvarez, Rosa Elvira Lillo Rodríguez, Sara López Taruella, María Del Monte Millán, Antonio C. Picornell, Miguel Martín and Juan Romo
2020: Adaptive quadrature schemes for Bayesian inference via active learning Downloads
Fernando Llorente Fernández, Luca Martino, Víctor Elvira Arregui, David Delgado Gómez and Javier López Santiago
2020: Direct versus iterated multi-period Value at Risk Downloads
Maria Rosa Nieto Delfin and Esther Ruiz Ortega
2020: Quantile Consumption-Capital Asset Pricing Downloads
Sofia Ramos, Abderrahim Taamouti, María Helena Lopes Moreira Da Veiga and Chih-Wei Wang
2019: Comparing Forecasts of Extremely Large Conditional Covariance Matrices Downloads
Guilherme Moura, André A. P. Santos and Esther Ruiz
2019: Prediction regions for interval-valued time series Downloads
Gloria Gonzalez-Rivera, Yun Luo and Esther Ruiz Ortega
2019: Growth with heterogenous interdependence Downloads
Karen Alejandra Miranda Gualdrón, Miguel Manjon Antolin and Oscar Martinez Ibañez
2019: Insider information and its relation with the arbitrage condition and the utility maximization problem Downloads
Bernardo D'Auria and José Antonio Salmerón Garrido
2019: Optimal exercise of American options under stock pinning Downloads
Bernardo D'Auria, Abel Guada-Azze and Eduardo García Portugués
2019: Models for expected returns with statistical factors Downloads
José Manuel Cueto, Aurea Grané Chávez and Ignacio Cascos Fernández
2019: Out-of-sample prediction in multidimensional P-spline models Downloads
Alba Carballo González, María Luz Durbán Reguera and Dae-Jin Lee
2019: A Depth for Censured Functional Data Downloads
Antonio Elías Fernández, Raúl José Jiménez Recaredo, Anna M. Paganoni and Laura M. Sangalli
2019: Shrinkage reweighted regression Downloads
Elisa Cabana Garceran del Vall, Rosa Elvira Lillo Rodríguez and Henry Laniado Rodas
2019: Quantile regression: a penalization approach Downloads
Álvaro Méndez Civieta, María del Carmen Aguilera Morillo and Rosa Elvira Lillo Rodríguez
2019: Multivariate expectile trimming and the BExPlot Downloads
Ignacio Cascos Fernández and Maicol Jesús Ochoa Arellano
2019: Bias assessment and reduction for the 2SLS estimator in general dynamic simultaneous equations models Downloads
Garry David Alan Phillips and Dandan Wang
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
Stefano Cabras, J Reade and Juan de Dios Tena
2019: Detecting Gender Discrimination in Intrahousehold Resource Allocation Downloads
Javier Maldonado
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