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

Luiz Hotta, Carlos Trucíos and Esther Ruiz

2015: Retail competition with switching consumers in electricity markets

Carlos Ruiz Mora, Francisco Javier Nogales Martín and Francisco Javier Prieto Fernández

2015: Portfolio selection with proportional transaction costs and predictability

Xiaoling Mei and Francisco Javier Nogales Martín

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

Vahe Avagyan, Andrés Modesto Alonso Fernández and Francisco J. Nogales

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

Guillermo Carlomagno and Antoni Espasa

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, Luiz Hotta and Esther Ruiz

2015: A Bayesian model to estimate causality in PISA scores: a tutorial with application to ICT

Stefano Cabras and Juan de Dios Tena

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, 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

Francisco Corona, Juan de Dios Tena and Michael Peter Wiper

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

Ginette Lafit, Francisco Javier Nogales Martín and Rubén Zamar

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

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

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

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

Joao Henrique Gonçalves Mazzeu, Esther Ruiz and Helena Veiga

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

Willy Ericson Ugaz Sánchez and Ismael Sánchez

2015: A Random Walk Test for Functional Time Series

Nicola Mingotti, Rosa Elvira Lillo Rodríguez and Juan Romo

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

Maria Guadarrama Sanz, Isabel Molina Peralta and J. N. K. Rao

2015: Bayesian Linear Regression with Conditional Heteroskedasticity

Yanyun Zhao

2015: Two-sample Hotelling's T² statistics based on the functional Mahalanobis semi-distance

Esdras Joseph, Pedro Galeano and Rosa Elvira Lillo Rodríguez

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

Esther Ruiz and Pilar Poncela

2015: A Directional Multivariate Value at Risk

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

2014: A Bayesian nonparametric modelling to estimate student response to ICT investment

Stefano Cabras and Juan de Dios Tena

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

Audrone Virbickaite, Hedibert F. Lopes, María Concepción Ausín Olivera and Pedro Galeano

2014: Score driven asymmetric stochastic volatility models

Xiuping Mao, Esther Ruiz and Helena Veiga

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

Weixuan Zhu, Juan Miguel Marín Díazaraque and Fabrizio Leisen

2014: A game theoretic approach to group centrality

Ramón Jesús Flores Díaz, Elisenda Molina Ferragut and Juan Tejada

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

Ewa Strzalkowska-Kominiak and Aurea Grané Chávez

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, Ana Pérez and Esther Ruiz

2014: Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovations

Cristina García de la Fuente, Pedro Galeano and Michael Peter Wiper

2014: Functional outlier detection with a local spatial depth

Carlo Sguera, Pedro Galeano and Rosa Elvira Lillo Rodríguez

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

Guillermo Carlomagno and Antoni Espasa

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

Vahe Avagyan, Andrés Modesto Alonso Fernández and Francisco J. Nogales

2014: A projection method for multiobjective multiclass SVM

Belén Martín Barragán, Francisco Javier Prieto Fernández and Ling Liu

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

Daniel Peña, 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 and Daniel Peña

2014: Outliers in multivariate Garch models

Aurea Grané Chávez, Belén Martín-Barragán and Helena Veiga

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

Diego Eduardo Fresoli and Esther Ruiz

2014: Homogeneity test for functional data based on depth measures

Ramón Jesús Flores Díaz, Rosa Elvira Lillo Rodríguez and Juan Romo

2013: Spearman coefficient for functions

Dalia Jazmin Valencia García, Rosa Elvira Lillo Rodríguez and Juan Romo

2013: A Kendall correlation coefficient for functional dependence

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

Santiago Velilla Cerdan and Huong Nguyen

2013: The Shapley group value

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

Mónica Benito Bonito and María Rosario Romera Ayllón

2013: Fast algorithm for smoothing parameter selection in multidimensional generalized P-splines

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

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

Mónica Benito Bonito and María Rosario Romera Ayllón

2013: Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach

Liang Chen, Juan Dolado, Jesus Gonzalo and Andrey David Ramos Ramirez

2013: Data cloning estimation of GARCH and COGARCH models

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

Rosa Elvira Lillo Rodríguez and Henry Laniado Rodas

2013: A multivariate extension of a vector of Poisson- Dirichlet processes

Weixuan Zhu and Fabrizio Leisen

2013: Parameter uncertainty in multiperiod portfolio optimization with transaction costs

Victor de Miguel, Alberto Martín Utrera and Francisco J. Nogales

2013: Bayesian analysis of dynamic effects in inefficiency: evidence from the Colombian banking sector

Jorge Galan, Helena Veiga and Michael Peter Wiper

2013: The change-point problem and segmentation of processes with conditional heteroskedasticity

Ana Laura Badagian Baharian, Regina Kaiser Remiro and Daniel Peña

2013: Bayesian multivariate Bernstein polynomial density estimation

Yanyun Zhao, María Concepción Ausín Olivera and Michael Peter Wiper

2013: New isometry of Krall-Laguerre orthogonal polynomials in martingale spaces

E. J. Huertas, Nuria Torrado Robles and Fabrizio Leisen

2013: Multiperiod portfolio selection with transaction and market-impact costs

Víctor de Miguel, Xiaoling Mei and Francisco J. Nogales

2013: A new distance for data sets (and probability measures) in a RKHS context

Gabriel Martos

2013: Lasso variable selection in functional regression

Nicola Mingotti, Rosa Elvira Lillo Rodríguez and Juan Romo

2013: The Mahalanobis distance for functional data with applications to classification

Esdras Joseph, Pedro Galeano and Rosa Elvira Lillo Rodríguez

2013: One for all: nesting asymmetric stochastic volatility models

Xiuping Mao, Esther Ruiz and Helena Veiga

2013: A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection

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

Gabriel Pino, Juan de Dios Tena and Antoni Espasa

2013: Do happiness indexes truly reveal happiness?: measurin happiness using revealed preferences from migration flows

Helena Marques, Gabriel Pino and Juan de Dios Tena

2013: Recombining partitions via unimodality tests

Adolfo Álvarez and Daniel Peña

2013: Predictability of stock market activity using Google search queries

Pedro Latoeiro, Sofia Ramos and Helena Veiga

2013: Correlations between oil and stock markets: a wavelet-based approach

Belén Martín-Barragán, Sofia Ramos and Helena Veiga

2013: Dependency evolution in Spanish disabled population: a functional data analysis approach

Irene Albarrán Lozano, Pablo Alonso González and Ana Arribas Gil

2013: Bayesian inference and data cloning in population projection matrices

J. de la Horra Navarro, Juan Miguel Marín Díazaraque and M. T. Rodríguez Bernal

2013: Multivariate risk measures: a constructive approach based on selections

Ignacio Cascos Fernández and Ilya Molchanov