DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2018: A short note on "Anticipative Portfolio Optimization"

Bernardo D'Auria and José Antonio Salmerón Garrido

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

Gabriel Martos and Javier M. Moguerza

2018: Growth in Stress

Gloria Gonzalez-Rivera

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

2017: 22 Years of inflation assessment and forecasting experience at the bulletin of EU & US inflation and macroeconomic analysis

Eva Senra

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

Pablo J. Alonso González

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

Pepa Ramírez-Cobo

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

Carlos Rodriguez Caballero

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

Henry Laniado Rodas

2017: A general framework for prediction in penalized regression

Dae-Jin Lee

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

Francisco Corona and Pilar Poncela

2017: Clustering Big Data by Extreme Kurtosis Projections

Janeth Carolina Rendon Aguirre

2017: Evaluating significant effects from alternative seeding systems: a Bayesian approach, with an application to the UEFA Champions League

Francisco Corona and David Forrest

2017: BIAS correction for dynamic factor models

Guadalupe Bastos and Carolina García-Martos

2017: Electricity prices forecasting by averaging dynamic factor models

Guadalupe Bastos and Carolina García-Martos

2016: Efficiency evaluation of Spanish hotel chains

Yaguo Deng

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

M. Carmen Domínguez

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

Guillermo Carlomagno

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

Gloria Gonzalez-Rivera and Helena Veiga

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

Pablo J. Alonso

2016: Directional multivariate extremes in environmental phenomena

Carlo de Michele and Henry Laniado Rodas

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 and Pilar Poncela

2016: A Partial parametric path algorithm for multiclass classification

Belén Martín Barragán

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

M. T. Rodríguez-Bernal and E. Romero

2015: Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk

Luiz Hotta and Carlos Trucíos

2015: D-trace Precision Matrix Estimation Using Adaptive Lasso Penalties

Vahe Avagyan and Francisco J. Nogales

2015: Forecasting a large set of disaggregates with common trends and outliers

Guillermo Carlomagno

2015: An analysis of the dynamics of efficiency of mutual funds

Jorge Galan, Sofia Ramos and Helena Veiga

2015: MGARCH models: tradeoff between feasibility and flexibility

Daniel de Almeida and Luiz Hotta

2015: Penalized functional spatial regression

María del Carmen Aguilera Morillo, María Durbán and Ana M. Aguilera

2015: Seasonal copula models for the analysis of glacier discharge at King George Island, Antarctica

M. Gómez and María del Carmen Domínguez

2015: On the importance of the probabilistic model in identifying the most decisive game in a tournament

Francisco Corona

2015: Ranking Edges and Model Selection in High-Dimensional Graphs

Rubén Zamar

2015: Hierarchical Lee-Carter model estimation through data cloning applied to demographically linked countries

Pablo J. Alonso

2015: Penalized composite link mixed models for two-dimensional count data

Dae-Jin Lee, Diego Armando Ayma Anza, María Durbán and Paul Eilers

2015: Model uncertainty and the forecast accuracy of ARMA models: A survey

Helena Veiga

2015: Adaptive EWMA Control Charts with a Time Varying Smoothing Parameter

Ismael Sánchez

2015: A Comparison of Small Area Estimation Methods for Poverty Mapping

Maria Guadarrama Sanz and J. N. K. Rao

2015: Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment

Pilar Poncela

2015: A Directional Multivariate Value at Risk

Henry Laniado Rodas

2014: Particle learning for Bayesian non-parametric Markov Switching Stochastic Volatility model

Hedibert F. Lopes

2014: Disentangled jump-robust realized covariances and correlations with non-synchronous prices

Harry Vander Elst and David Veredas

2014: A Bootstrap Likelihood approach to Bayesian Computation

Fabrizio Leisen

2014: A game theoretic approach to group centrality

Juan Tejada

2014: Goodness-of-fit test for randomly censored data based on maximum correlation

Ewa Strzalkowska-Kominiak

2014: Heterogeneous effects of risk-taking on bank efficiency: a stochastic frontier model with random coefficients

Miguel Sarmiento and Jorge Galan

2014: Identification of asymmetric conditional heteroscedasticity in the presence of outliers

M. Angeles Carnero and Ana Pérez

2014: The pairwise approach to model a large set of disaggregates with common trends

Guillermo Carlomagno

2014: Improving the graphical lasso estimation for the precision matrix through roots ot the sample convariance matrix

Vahe Avagyan and Francisco J. Nogales

2014: A projection method for multiobjective multiclass SVM

Belén Martín Barragán

2014: Independent components techniques based on kurtosis for functional data analysis

Francisco J. Prieto and Carolina Rendón

2014: Selecting and combining experts from survey forecasts

Julieta Fuentes, Pilar Poncela and Julio Rodríguez

2014: Recombining partitions from multivariate data: a clustering method on Bayes factors

Adolfo Álvarez

2014: Outliers in multivariate Garch models

Belén Martín-Barragán and Helena Veiga

2014: The uncertainty of conditional returns, volatilities and correlations in DCC models

Diego Eduardo Fresoli