DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2010: Networks and collective action

Maurice Koster, Ines Lindner and Elisenda Molina

2010: Multiple hypothesis testing and clustering with mixtures of non-central t-distributions applied in microarray data analysis

M. T. Rodríguez Bernal

2010: Comparing sample and plug-in moments in asymmetric Garch Models

Mª José Rodríguez

2010: Two-sided reflection problem for the Markov modulated Brownian motion

Bernardo D'Auria, Offer Kella, Jevgenijs Ivanovs and Michel Mandjes

2010: First passage of a Markov additive process and generalized Jordan chains

Bernardo D'Auria, Offer Kella, Jevgenijs Ivanovs and Michel Mandjes

2010: A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation

Pedro Galeano and Pulak Ghosh

2010: Ruin probabilities in a finite-horizon risk model with investment and reinsurance

Rosario Romera and Wolfgang Runggaldier

2010: Exponential conditional volatility models

Andrew Harvey

2010: Sensitivity and robustness in MDS configurations for mixed-type data: a study of the economic crisis impact on socially vulnerable Spanish people

Rosario Romera

2010: A semiparametric state space model

Andre Monteiro

2010: Simplicial similarity and its application to hierarchical clustering

Ángel López

2010: Multivariate extremality measure

Henry Laniado Rodas

2010: Bootstrap prediction intervals for VaR and ES in the context of GARCH models

María Rosa Nieto

2010: Representing functional data in reproducing Kernel Hilbert Spaces with applications to clustering and classification

Javier González and Alberto Muñoz

2010: Circular Bernstein polynomial distributions

José Antonio Carnicero

2010: Bayesian hierarchical modelling of bacteria growth

Ana Paula Palacios

2010: The decreasing percentile residual life aging notion

Moshe Shaked

2010: Multitarget tracking via restless bandit marginal productivity indices and Kalman Filter in discrete time

Sofía S. Villar

2010: Asymmetric effects of oil price fluctuations in international stock markets

Sofia Ramos and Helena Veiga

2010: An algebraic analysis using Matrix Padé Approximation to improve the choice of certain parameter in Scalar Component Models

Celina Pestano-Gabino, Concepción González-Concepción and María Candelaria Gil-Fariña

2010: Outliers in Garch models and the estimation of risk measures

Helena Veiga

2010: Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters

Alejandro Rodriguez

2010: Non-linear models of disability and age applied to census data

Pablo Alonso González

2009: Robust estimation in linear regression models with fixed effects

Isabel Molina and Betsabé Pérez

2009: Recombining dependent data: an Order Statistics

Adolfo Álvarez

2009: The econometrics of randomly spaced financial data: a survey

Andre Monteiro

2009: Graphical identification of TAR models

Ismael Sánchez

2009: Comparing univariate and multivariate models to forecast portfolio value-at-risk

Andre Santos and Francisco J. Nogales

2009: Non-identifiability of the two state Markovian Arrival process

Josefa Ramírez Cobo

2009: Risk factors in oil and gas industry returns: international evidence

Sofia Ramos and Helena Veiga

2009: Controlling the international stock pollutant with policies depending on target values

Omar J. Casas and Rosario Romera

2009: Classification of functional data: a weighted distance approach

David Casado

2009: Controlled diffusion processes with markovian switchings for modeling dynamical engineering systems

Héctor Cañada and Rosario Romera

2009: Inequalities for the ruin probability in a controlled discrete-time risk process

Maikol Diasparra and Rosario Romera

2009: P-spline anova-type interaction models for spatio-temporal smoothing

Dae-Jin Lee and María Durbán

2009: An index for dynamic product promotion and the knapsack problem for perishable items

Peter Jacko

2009: Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market

Kenedy Alva

2009: On the Conjecture of Kochar and Korwar

Nuria Torrado Robles

2009: Adjusted empirical likelihood estimation of the youden index and associated threshold for the bigamma model

Emilio Letón and Elisa M. Molanes

2009: Small area estimation on poverty indicators

Isabel Molina and J.N.K. Rao

2009: The international stock pollutant control: a stochastic formulation

Omar J. Casas and Rosario Romera

2009: Wavelet-based detection of outliers in volatility models

Helena Veiga

2009: GARCH models with leverage effect: differences and similarities

Mª José Rodríguez

2009: Clustering and classifying images with local and global variability

Andrea Giuliodori

2008: A multivariate generalized independent factor GARCH model with an application to financial stock returns

Antonio García-Ferrer and Ester González-Prieto

2008: A functional data based method for time series classification

David Casado and Sara López Pintado

2008: Measuring financial risk: comparison of alternative procedures to estimate VaR and ES

María Rosa Nieto

2008: Marginal productivity index policies for problems of admission control and routing to parallel queues with delay

Peter Jacko

2008: Locally linear approximation for Kernel methods: the Railway Kernel

Javier González and Alberto Muñoz

2008: Percentile residual life orders

Moshe Shaked

2008: Copulas in finance and insurance

Rosario Romera and Elisa M. Molanes

2008: Smooth-car mixed models for spatial count data

Dae-Jin Lee and María Durbán

2008: LIBOR additive model calibration to swaptions markets

Jesús P. Colino, Francisco J. Nogales and Winfried Stute

2008: Weak convergence in credit risk

Jesús P. Colino

2008: Credit risk with semimartingales and risk-neutrality

Jesús P. Colino and Winfried Stute

2008: New stochastic processes to model interest rates: LIBOR additive processes

Jesús P. Colino

2008: Unbalanced groups in nonparametric survival tests

Emilio Letón and Pilar Zuluaga

2008: On identifiability of MAP processes

Josefa Ramírez Cobo

2008: A methodology for population projections: an application to Spain

Julio Rodríguez

2008: Asymptotic properties of a goodness-of-fit test based on maximum correlations

Anna V. Tchirina

2008: Aggregation and dissemination of information in experimental asset markets in the presence of a manipulator

Helena Veiga and Marc Vorsatz

2008: Goodness of fit in models for mortality data

Carlo Giovanni Camarda and María Durbán

2008: The effect of short-selling of the aggregation of information in an experimental asset market

Helena Veiga and Marc Vorsatz

2008: Bayesian non-linear matching of pairwise microarray gene expressions

Carmen Nieto

2008: Seasonal dynamic factor analysis and bootstrap inference: application to electricity market forecasting

Carolina García-Martos, Julio Rodríguez and María Jesús Sánchez

2008: A semi-parametric model for circular data based on mixtures of beta distributions

José Antonio Carnicero

2008: Bootstrap prediction intervals in State Space models

Alejandro Rodriguez

2008: On Bayesian estimation of multinomial probabilities under incomplete experimental information

Pepa Ramírez-Cobo and Brani Vidakovic

2008: Inference for double Pareto lognormal queues with applications

Josefa Ramírez Cobo and Simon P. Wilson

2008: Forecasting Spanish inflation using information from different sectors and geographical areas

Gabriel Pino