DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2025: Switching the leverage switch

Juan Miguel Marín Díazaraque, Eva Romero and María Helena Lopes Moreira Da Veiga

2025: Upper-tail sampling correction technique for engineering design

Victor Collado Fernandez, Fernando J. Méndez and Roberto Minguez Solana

2025: Fast k-medoids and q-Fold Fast k-medoids: New distance-based clustering algorithms for large mixed-type data

Aurea Grané Chávez and Fabio Scielzo Ortiz

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, Carlos Rodriguez Caballero and Esther Ruiz Ortega

2024: Extreme temperatures and the profitability of large European firms

Gian Pietro Enzo Bellocca, Pilar Poncela and Esther Ruiz Ortega

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

Wenxiu Feng, Carlos Ruiz Mora and Francisco Javier Nogales Martín

2024: Fitting complex stochastic volatility models using Laplace approximation

Juan Miguel Marín Díazaraque, Eva Romero and María Helena Lopes Moreira da Veiga

2024: A stochastic volatility model for volatility asymmetry and propagation

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

Yaguo Deng, Michael Peter Wiper and María Helena Lopes Moreira da Veiga

2024: A Quantile Neural Network Framework for Twostage Stochastic Optimization

Antonio Alcántara Mata, Carlos Ruiz Mora and Calvin Tsay

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

Zehang Li, Andrés Modesto Alonso Fernández, Antonio Elías and Juan M. Morales

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

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

He Sun and Stefano Cabras

2023: Economic activity and C02 emissions in Spain

Aranzazu de Juan, Pilar Poncela and Esther Ruiz Ortega

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

Gloria Gonzalez-Rivera, Carlos Rodriguez Caballero and Esther Ruiz Ortega

2023: Penalized function-on-function partial leastsquares regression

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

Antoni Espasa and Guillermo Carlomagno Real

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

Ernesto Ángel Curbelo Benítez, Luca Martino, Fernando Llorente Fernández and David Delgado Gómez

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

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

2023: Data cloning for a threshold asymmetric stochastic volatility model

Juan Miguel Marín Díazaraque and María Helena Lopes Moreira da Veiga

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

Wenxiu Feng and Carlos Ruiz Mora

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

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

Diego Eduardo Fresoli, Pilar Poncela and Esther Ruiz Ortega

2022: A Neural Network-Based Distributional Constraint Learning Methodology for Mixed-Integer Stochastic Optimization

Antonio Alcántara Mata and Carlos Ruiz Mora

2022: An experimental analysis of contagion in financial markets

Helena Veiga, 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, Marc G. Genton and Rosa Elvira Lillo Rodríguez

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 Mínguez 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 Alcántara 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 Portugués

2022: Economic activity and climate change

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

Antonio Alcántara Mata and Carlos Ruiz Mora

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

Stefano Cabras and 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, Eduardo García Portugués 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 Portugués 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 Rodriguez Caballero and Esther Ruiz Ortega

2021: Integrated nested Laplace approximations for threshold stochastic volatility models

Patrícia 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: 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 Fernández, 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