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DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2015: Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk Downloads
Luiz Hotta, Carlos Trucíos and Esther Ruiz
2015: Retail competition with switching consumers in electricity markets Downloads
Carlos Ruiz Mora, Francisco Javier Nogales Martín and Francisco Javier Prieto Fernández
2015: Portfolio selection with proportional transaction costs and predictability Downloads
Xiaoling Mei and Francisco Javier Nogales Martín
2015: D-trace Precision Matrix Estimation Using Adaptive Lasso Penalties Downloads
Vahe Avagyan, Andrés Modesto Alonso Fernández and Francisco J. Nogales
2015: Forecasting a large set of disaggregates with common trends and outliers Downloads
Guillermo Carlomagno and Antoni Espasa
2015: An analysis of the dynamics of efficiency of mutual funds Downloads
Jorge Galan, Sofia Ramos and Helena Veiga
2015: MGARCH models: tradeoff between feasibility and flexibility Downloads
Daniel de Almeida, Luiz Hotta and Esther Ruiz
2015: A Bayesian model to estimate causality in PISA scores: a tutorial with application to ICT Downloads
Stefano Cabras and Juan de Dios Tena
2015: Penalized functional spatial regression Downloads
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 Downloads
M. Gómez, María Concepción Ausín Olivera and María del Carmen Domínguez
2015: On the importance of the probabilistic model in identifying the most decisive game in a tournament Downloads
Francisco Corona, Juan de Dios Tena and Michael Peter Wiper
2015: Ranking Edges and Model Selection in High-Dimensional Graphs Downloads
Ginette Lafit, Francisco Javier Nogales Martín and Rubén Zamar
2015: Hierarchical Lee-Carter model estimation through data cloning applied to demographically linked countries Downloads
Andrés Gustavo Benchimol, Irene Albarrán Lozano, Juan Miguel Marín Díazaraque and Pablo J. Alonso
2015: Penalized composite link mixed models for two-dimensional count data Downloads
Diego Armando Ayma Anza, María Durbán, Dae-Jin Lee and Paul Eilers
2015: Model uncertainty and the forecast accuracy of ARMA models: A survey Downloads
Joao Henrique Gonçalves Mazzeu, Esther Ruiz and Helena Veiga
2015: Adaptive EWMA Control Charts with a Time Varying Smoothing Parameter Downloads
Willy Ericson Ugaz Sánchez and Ismael Sánchez
2015: A Random Walk Test for Functional Time Series Downloads
Nicola Mingotti, Rosa Elvira Lillo Rodríguez and Juan Romo
2015: A Comparison of Small Area Estimation Methods for Poverty Mapping Downloads
Maria Guadarrama Sanz, Isabel Molina Peralta and J. N. K. Rao
2015: Bayesian Linear Regression with Conditional Heteroskedasticity Downloads
Yanyun Zhao
2015: Two-sample Hotelling's T² statistics based on the functional Mahalanobis semi-distance Downloads
Esdras Joseph, Pedro Galeano and Rosa Elvira Lillo Rodríguez
2015: Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment Downloads
Esther Ruiz and Pilar Poncela
2015: A Directional Multivariate Value at Risk Downloads
Raúl Andrés Torres Díaz, Rosa Elvira Lillo Rodríguez and Henry Laniado Rodas
2014: A Bayesian nonparametric modelling to estimate student response to ICT investment Downloads
Stefano Cabras and Juan de Dios Tena
2014: Particle learning for Bayesian non-parametric Markov Switching Stochastic Volatility model Downloads
Audrone Virbickaite, Hedibert F. Lopes, María Concepción Ausín Olivera and Pedro Galeano
2014: Score driven asymmetric stochastic volatility models Downloads
Xiuping Mao, Esther Ruiz and Helena Veiga
2014: Disentangled jump-robust realized covariances and correlations with non-synchronous prices Downloads
Harry Vander Elst and David Veredas
2014: A Bootstrap Likelihood approach to Bayesian Computation Downloads
Weixuan Zhu, Juan Miguel Marín Díazaraque and Fabrizio Leisen
2014: A game theoretic approach to group centrality Downloads
Ramón Jesús Flores Díaz, Elisenda Molina Ferragut and Juan Tejada
2014: Goodness-of-fit test for randomly censored data based on maximum correlation Downloads
Ewa Strzalkowska-Kominiak and Aurea Grané Chávez
2014: Heterogeneous effects of risk-taking on bank efficiency: a stochastic frontier model with random coefficients Downloads
Miguel Sarmiento and Jorge Galan
2014: Identification of asymmetric conditional heteroscedasticity in the presence of outliers Downloads
M. Angeles Carnero, Ana Pérez and Esther Ruiz
2014: Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovations Downloads
Cristina García de la Fuente, Pedro Galeano and Michael Peter Wiper
2014: Functional outlier detection with a local spatial depth Downloads
Carlo Sguera, Pedro Galeano and Rosa Elvira Lillo Rodríguez
2014: The pairwise approach to model a large set of disaggregates with common trends Downloads
Guillermo Carlomagno and Antoni Espasa
2014: Improving the graphical lasso estimation for the precision matrix through roots ot the sample convariance matrix Downloads
Vahe Avagyan, Andrés Modesto Alonso Fernández and Francisco J. Nogales
2014: A projection method for multiobjective multiclass SVM Downloads
Belén Martín Barragán, Francisco Javier Prieto Fernández and Ling Liu
2014: Independent components techniques based on kurtosis for functional data analysis Downloads
Daniel Peña, Francisco J. Prieto and Carolina Rendón
2014: Selecting and combining experts from survey forecasts Downloads
Julieta Fuentes, Pilar Poncela and Julio Rodríguez
2014: Recombining partitions from multivariate data: a clustering method on Bayes factors Downloads
Adolfo Álvarez and Daniel Peña
2014: Outliers in multivariate Garch models Downloads
Aurea Grané Chávez, Belén Martín-Barragán and Helena Veiga
2014: The uncertainty of conditional returns, volatilities and correlations in DCC models Downloads
Diego Eduardo Fresoli and Esther Ruiz
2014: Homogeneity test for functional data based on depth measures Downloads
Ramón Jesús Flores Díaz, Rosa Elvira Lillo Rodríguez and Juan Romo
2013: Spearman coefficient for functions Downloads
Dalia Jazmin Valencia García, Rosa Elvira Lillo Rodríguez and Juan Romo
2013: A Kendall correlation coefficient for functional dependence Downloads
Dalia Jazmin Valencia García, Rosa Elvira Lillo Rodríguez and Juan Romo
2013: A new goodness-of-fit process for varma (p,q) models: construction and empirical properties Downloads
Santiago Velilla Cerdan and Huong Nguyen
2013: The Shapley group value Downloads
Ramón Jesús Flores Díaz, Elisenda Molina and Juan Tejada
2013: How to boost the PhD labour market?: facts from the R&D and innovation policies side Downloads
Mónica Benito Bonito and María Rosario Romera Ayllón
2013: Fast algorithm for smoothing parameter selection in multidimensional generalized P-splines Downloads
María Xosé Rodríguez-Álvarez, Dae-Jin Lee, Thomas Kneib, María Durbán and Paul Eilers
2013: Modelling long term trend and local spatial correlation: a mixed penalized spline and spatial econometrics approach Downloads
Román Mínguez, María Durbán, José-María Montero and Dae-Jin Lee
2013: How to boost the PHD labour market?: facts from the PHD system side Downloads
Mónica Benito Bonito and María Rosario Romera Ayllón
2013: Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach Downloads
Liang Chen, Juan Dolado, Jesus Gonzalo and Andrey David Ramos Ramirez
2013: Data cloning estimation of GARCH and COGARCH models Downloads
Juan Miguel Marín Díazaraque, M. T. Rodríguez Bernal and Eva Romero
2013: Allocation policies of redundancies in two-parallel-series and two-series-parallel systems Downloads
Rosa Elvira Lillo Rodríguez and Henry Laniado Rodas
2013: A multivariate extension of a vector of Poisson- Dirichlet processes Downloads
Weixuan Zhu and Fabrizio Leisen
2013: Parameter uncertainty in multiperiod portfolio optimization with transaction costs Downloads
Victor de Miguel, Alberto Martín Utrera and Francisco J. Nogales
2013: Bayesian analysis of dynamic effects in inefficiency: evidence from the Colombian banking sector Downloads
Jorge Galan, Helena Veiga and Michael Peter Wiper
2013: The change-point problem and segmentation of processes with conditional heteroskedasticity Downloads
Ana Laura Badagian Baharian, Regina Kaiser Remiro and Daniel Peña
2013: Bayesian multivariate Bernstein polynomial density estimation Downloads
Yanyun Zhao, María Concepción Ausín Olivera and Michael Peter Wiper
2013: New isometry of Krall-Laguerre orthogonal polynomials in martingale spaces Downloads
E. J. Huertas, Nuria Torrado Robles and Fabrizio Leisen
2013: Multiperiod portfolio selection with transaction and market-impact costs Downloads
Víctor de Miguel, Xiaoling Mei and Francisco J. Nogales
2013: A new distance for data sets (and probability measures) in a RKHS context Downloads
Gabriel Martos
2013: Lasso variable selection in functional regression Downloads
Nicola Mingotti, Rosa Elvira Lillo Rodríguez and Juan Romo
2013: The Mahalanobis distance for functional data with applications to classification Downloads
Esdras Joseph, Pedro Galeano and Rosa Elvira Lillo Rodríguez
2013: One for all: nesting asymmetric stochastic volatility models Downloads
Xiuping Mao, Esther Ruiz and Helena Veiga
2013: A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection Downloads
Audrone Virbickaite, María Concepción Ausín Olivera and Pedro Galeano
2013: Forecasting disaggregates by sectors and regions: the case of inflation in the euro area and Spain Downloads
Gabriel Pino, Juan de Dios Tena and Antoni Espasa
2013: Do happiness indexes truly reveal happiness?: measurin happiness using revealed preferences from migration flows Downloads
Helena Marques, Gabriel Pino and Juan de Dios Tena
2013: Recombining partitions via unimodality tests Downloads
Adolfo Álvarez and Daniel Peña
2013: Predictability of stock market activity using Google search queries Downloads
Pedro Latoeiro, Sofia Ramos and Helena Veiga
2013: Correlations between oil and stock markets: a wavelet-based approach Downloads
Belén Martín-Barragán, Sofia Ramos and Helena Veiga
2013: Dependency evolution in Spanish disabled population: a functional data analysis approach Downloads
Irene Albarrán Lozano, Pablo Alonso González and Ana Arribas Gil
2013: Bayesian inference and data cloning in population projection matrices Downloads
J. de la Horra Navarro, Juan Miguel Marín Díazaraque and M. T. Rodríguez Bernal
2013: Multivariate risk measures: a constructive approach based on selections Downloads
Ignacio Cascos Fernández and Ilya Molchanov
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