DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2022: On the General Equilibrium Effects of Market Power

Diego Moreno and Emmanuel Petrakis

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

Roberto Minguez Solana and Sixto Herrera

2022: Data depth and multiple output regression, the distorted M-quantiles approach

Maicol Jesús Ochoa Arellano and Ignacio Cascos Fernández

2022: On data-driven chance constraint learning for mixed-integer optimization problems

Antonio Alcantara Mata and Carlos Ruiz Mora

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 and Eduardo García Portugues

2022: Economic activity and climate change

Aránzazu De Juan Fernández, Pilar Poncela, Carlos Vladimir Rodríguez Caballero and Esther Ruiz Ortega

2022: Optimal day-ahead offering strategy for large producers based on market price response learning

Antonio Alcantara Mata and Carlos Ruiz Mora

2022: An anticipative Markov modulated market

Bernardo D'Auria and Jose Antonio Salmeron Garrido

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

Stefano Cabras and Flor Sunhe

2021: Prescriptive selection of machine learning hyperparameters with applications in power markets: retailer's optimal trading

Alberto Corredera and Carlos Ruiz Mora

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

Bernardo D'Auria and Jose Antonio Salmerón Garrido

2021: Optimal stopping of an Ornstein-Uhlenbeck bridge

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

2021: A quantile based dimension reduction technique

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

Bernardo D'Auria, Eduardo García Portugues and Abel Guada

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

José Manuel Cueto, Aurea Grané Chávez and Ignacio Cascos Fernández

2021: Dynamic factor models: does the specification matter?

Karen Alejandra Miranda Gualdrón, Pilar Poncela and Esther Ruiz Ortega

2021: Expecting the unexpected: economic growth under stress

Gloria Gonzalez Rivera, Carlos Rodríguez Caballero and Esther Ruiz Ortega

2021: Integrated nested Laplace approximations for threshold stochastic volatility models

P. De Zea Bermudez, Juan Miguel Marín Díazaraque, Havard Rue and Helena Veiga

2020: Adaptative predictability of stock market returns

Isabel Casas, Xiuping Mao and Helena Veiga

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

Maximo Camacho, Ángela Caro Navarro and Daniel Peña

2020: Contagion in sequential financial markets: an experimental analysis

Ronald Peeters, Helena Veiga and Marc Vorstaz

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

Sofia Ramos, Helena Veiga and I-Chuan Huang

2020: Discovering general and sectorial trends in a large set of time series

Guillermo Carlomagno Real and Antoni Espasa

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

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

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

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

Fernando Llorente Fernandez, Luca Martino, Víctor Elvira Arregui, David Delgado Gómez and Javier López Santiago

2020: Direct versus iterated multi-period Value at Risk

Maria Rosa Nieto Delfin and Esther Ruiz Ortega

2020: Quantile Consumption-Capital Asset Pricing

Sofia Ramos, Abderrahim Taamouti, María Helena Lopes Moreira Da Veiga and Chih-Wei Wang

2019: Comparing Forecasts of Extremely Large Conditional Covariance Matrices

Guilherme Moura, André A. P. Santos and Esther Ruiz

2019: Prediction regions for interval-valued time series

Gloria Gonzalez-Rivera, Yun Luo and Esther Ruiz Ortega

2019: Growth with heterogenous interdependence

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

Bernardo D'Auria and Jose Antonio Salmeron Garrido

2019: Optimal exercise of American options under stock pinning

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

2019: Models for expected returns with statistical factors

José Manuel Cueto, Aurea Grané Chávez and Ignacio Cascos Fernández

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

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

2019: A Depth for Censured Functional Data

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

2019: Shrinkage reweighted regression

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

2019: Quantile regression: a penalization approach

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

2019: Multivariate expectile trimming and the BExPlot

Ignacio Cascos Fernández and Maicol Jesús Ochoa Arellano

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 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

Stefano Cabras, J Reade 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"

Bernardo D'Auria and Jose Antonio Salmeron Garrido

2018: Estimation of the common component in Dynamic Factor Models

Ángela Caro Navarro and Daniel Peña

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

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

2018: Growth in Stress

Gloria Gonzalez-Rivera, Esther Ruiz Ortega and Javier Maldonado