DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2019: Comparing Forecasts of Extremely Large Conditional Covariance Matrices

Guilherme Moura, Andre 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 José Antonio Salmerón Garrido

2019: Optimal exercise of American options under stock pinning

Bernardo D'Auria, Eduardo García Portugués 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 José Antonio Salmerón 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

2017: Accurate Subsampling Intervals of Principal Components Factors

Javier Maldonado and Esther Ruiz

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

Bernardo D'Auria, Dolores García Martí and José Antonio Salmerón Garrido

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

Antoni Espasa and Eva Senra

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

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

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

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

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 Rodriguez Caballero

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

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

2017: A general framework for prediction in penalized regression

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

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

Francisco Corona, Pilar Poncela 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

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

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

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

2017: BIAS correction for dynamic factor models

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

2017: Electricity prices forecasting by averaging dynamic factor models

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

2016: Efficiency evaluation of Spanish hotel chains

Yaguo Deng, Helena Veiga and Michael Peter Wiper

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

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

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

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

2016: A Bootstrap Approach for Generalized Autocontour Testing

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

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

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

2016: Directional multivariate extremes in environmental phenomena

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

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

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

2016: D-Trace precision matrix estimator with eigenvalue control

Vahe Avagyan

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

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

2016: Remittances in Mexico and their unobserved components

Francisco Corona and Pedro Orraca

2016: Determining the number of factors after stationary univariate transformations

Francisco Corona, Pilar Poncela and Esther Ruiz

2016: A Partial parametric path algorithm for multiclass classification

Ling Liu, Belén Martín Barragán and Francisco Javier Prieto Fernández

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

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