DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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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

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