DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2019: Growth with heterogenous interdependence

Oscar Martinez Ibañez, M. Manjón Antolín and Karen Alejandra Miranda Gualdrón

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

Jose Antonio Salmeron Garrido and Bernardo D'Auria

2019: Optimal exercise of American options under stock pinning

Guada-Azze, Abel, Eduardo García Portugues and Bernardo D'Auria

2019: Models for expected returns with statistical factors

Ignacio Cascos Fernández, Aurea Grané Chávez and J.M. Cueto

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

Dae-Jin Lee, María Luz Durbán Reguera and Alba Carballo González

2019: A Depth for Censured Functional Data

Laura M. Sangalli, Anna M. Paganoni, Raúl José Jiménez Recaredo and Antonio Elías Fernández

2019: Shrinkage reweighted regression

Henry Laniado Rodas, Rosa Elvira Lillo Rodríguez and Elisa Cabana Garceran del Vall

2019: Quantile regression: a penalization approach

Rosa Elvira Lillo Rodríguez, María del Carmen Aguilera Morillo and Álvaro Méndez Civieta

2019: Multivariate expectile trimming and the BExPlot

Maicol Jesús Ochoa Arellano and Ignacio Cascos Fernández

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

Dandan Wang and Garry David Alan Phillips

2019: Exploring option pricing and hedging via volatility asymmetry

Isabel Casas and Helena Veiga

2019: Data cloning estimation for asymmetric stochastic volatility models

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

J Reade, Stefano Cabras and Juan de Dios Tena

2019: Detecting Gender Discrimination in Intrahousehold Resource Allocation

Javier Maldonado

2018: Variational Inference for high dimensional structured factor copulas

Hoang Nguyen, María Concepción Ausín Olivera and Pedro Galeano San Miguel

2018: A short note on "Anticipative Portfolio Optimization"

Jose Antonio Salmeron Garrido and Bernardo D'Auria

2018: Estimation of the common component in Dynamic Factor Models

Ángela Caro Navarro and Daniel Peña Sánchez de Rivera

2018: Entropy Measures for Stochastic Processes with Applications in Functional Anomaly Detection

Javier M. Moguerza, Gabriel Martos, Nicolás Jorge Hernández Banadik and Alberto Muñoz García

2018: Growth in Stress

Gloria Gonzalez-Rivera, Esther Ruiz Ortega and Javier Maldonado

2017: Accurate Subsampling Intervals of Principal Components Factors

Javier Maldonado and Esther Ruiz

2017: Optimal portfolio with insider information on the stochastic interest rate

Jose Antonio Salmeron Garrido, Dolores García Martí and Bernardo D'Auria

2017: Modeling and forecasting the oil volatility index

Massimo B. Mariti, Joao Henrique Gonçalves Mazzeu and Helena Veiga

2017: Discovering pervasive and non-pervasive common cycles

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

Eva Senra and Antoni Espasa

2017: Estimating life expectancy free of dependency: group characterization through the proximity to the deepest dependency path

Pablo J. Alonso González, Irene Albarrán Lozano and Aurea Grane Chávez

2017: Findings about the two-state BMMPP for modeling point processes in reliability and queueing systems

Ramírez-Cobo, Pepa, Yoel Gustavo Yera Mora and Rosa Elvira Lillo Rodríguez

2017: Robust and sparse estimation of high-dimensional precision matrices via bivariate outlier detection

Ginette Lafit and Francisco Javier Nogales Martín

2017: Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence

Yunus Emre Ergemen and Carlos Rodríguez Caballero

2017: Multivariate outlier detection based on a robust Mahalanobis distance with shrinkage estimators

Henry Laniado Rodas, Elisa Cabana Garceran del Vall and Rosa Elvira Lillo Rodríguez

2017: A general framework for prediction in penalized regression

Dae-Jin Lee, Alba Carballo González and María Luz Durbán Reguera

2017: Prediction Bands for Functional Data Based on Depth Measures

Raúl José Jiménez Recaredo and Antonio Elías Fernández

2017: Estimating non-stationary common factors: Implications for risk sharing

Pilar Poncela, Francisco Corona and Esther Ruiz Ortega

2017: Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas

Hoang Nguyen, María Concepción Ausín Olivera and Pedro Galeano San Miguel

2017: Clustering Big Data by Extreme Kurtosis Projections

Janeth Carolina Rendon Aguirre, Daniel Peña Sánchez de Rivera and Francisco Javier Prieto Fernández

2017: Kernel depth funcions for functional data

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

Michael Peter Wiper, David Forrest, Francisco Corona and Juan de Dios Tena

2017: BIAS correction for dynamic factor models

García-Martos, Carolina, Guadalupe Bastos and Andrés Modesto Alonso Fernández

2017: Electricity prices forecasting by averaging dynamic factor models

García-Martos, Carolina, Guadalupe Bastos and Andrés Modesto Alonso Fernández

2016: Efficiency evaluation of Spanish hotel chains

Michael Peter Wiper, Yaguo Deng and Helena Veiga

2016: Vine copula models for predicting water flow discharge at King George Island, Antarctica

M. Carmen Domínguez, Mario Gómez Díaz and María Concepción Ausín Olivera

2016: Discovering common trends in a large set of disaggregates: statistical procedures and their properties

Guillermo Carlomagno and Antoni Espasa

2016: Modelling latent trends from spatio-temporally grouped data using composite link mixed models

Jan Van de Kassteele, Dae-Jin Lee, María Durbán and Diego Armando Ayma Anza

2016: A Bootstrap Approach for Generalized Autocontour Testing

Helena Veiga, Esther Ruiz, Gloria Gonzalez-Rivera and Joao Henrique Gonçalves Mazzeu

2016: Model uncertainty approach in mortality projection with model assembling methodologies

Pablo J. Alonso, Andrés Gustavo Benchimol, Juan Miguel Marín Díazaraque and Irene Albarrán Lozano

2016: Directional multivariate extremes in environmental phenomena

Henry Laniado Rodas, Carlo de Michele, Raúl Andrés Torres Díaz and Rosa Elvira Lillo Rodríguez

2016: Monitoring variance by EWMA charts with time varying smoothing parameter

Willy Ericson Ugaz Sánchez, Andrés Modesto Alonso Fernández and Sánchez Rodríguez-Morcillo, Ismael

2016: D-Trace precision matrix estimator with eigenvalue control

Vahe Avagyan

2016: Small area estimation of general parameters under complex sampling designs

J.N.K. Rao, Isabel Molina and María Guadarrama

2016: Remittances in Mexico and their unobserved components

Pedro Orraca and Francisco Corona

2016: Determining the number of factors after stationary univariate transformations

Esther Ruiz, Pilar Poncela and Francisco Corona

2016: A Partial parametric path algorithm for multiclass classification

Belén Martín Barragán, Ling Liu and Francisco Javier Prieto Fernández

2016: ABC and Hamiltonian Monte-Carlo methods in COGARCH models

E. Romero, Rodríguez-Bernal, M. T. and Juan Miguel Marín Díazaraque