DES - Working Papers. Statistics and Econometrics. WS

From Universidad Carlos III de Madrid. Departamento de Estadística
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2009: Robust estimation in linear regression models with fixed effects

Isabel Molina, Daniel Peña and Betsabé Pérez

2009: Recombining dependent data: an Order Statistics

Adolfo Álvarez and Daniel Peña

2009: Time series segmentation by Cusum, AutoSLEX and AutoPARM methods

Ana Laura Badagian Baharian, Regina Kaiser Remiro and Daniel Peña

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

Andre Monteiro

2009: Graphical identification of TAR models

Miguel Ángel Bermejo Mancera, Daniel Peña and Ismael Sánchez

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

Andre Santos, Francisco J. Nogales and Esther Ruiz

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

Josefa Ramírez Cobo, Rosa Elvira Lillo Rodríguez and Michael Peter Wiper

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

Andrés Modesto Alonso Fernández, David Casado and Juan Romo

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 and José Niño Mora

2009: Exact goodness-of-fit tests for censored dats

Aurea Grané Chávez

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

Kenedy Alva, Juan Romo and Esther Ruiz

2009: On the Conjecture of Kochar and Korwar

Nuria Torrado Robles, Rosa Elvira Lillo Rodríguez and Michael Peter Wiper

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

Aurea Grané Chávez and Helena Veiga

2009: GARCH models with leverage effect: differences and similarities

Mª José Rodríguez and Esther Ruiz

2009: Clustering and classifying images with local and global variability

Andrea Giuliodori, Rosa Elvira Lillo Rodríguez and Daniel Peña

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

Antonio García-Ferrer, Ester González-Prieto and Daniel Peña

2008: A functional data based method for time series classification

Andrés Modesto Alonso Fernández, David Casado, Sara López Pintado and Juan Romo

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

María Rosa Nieto and Esther Ruiz

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

Peter Jacko and José Niño Mora

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

Javier González and Alberto Muñoz

2008: Percentile residual life orders

Alba María Franco Pereira, Rosa Elvira Lillo Rodríguez, Juan Romo and 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, Rosa Elvira Lillo Rodríguez and Michael Peter Wiper

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

Andrés Modesto Alonso Fernández, Daniel Peña and Julio Rodríguez

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

Aurea Grané Chávez and 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

Juan Miguel Marín Díazaraque and Carmen Nieto

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

Andrés Modesto Alonso Fernández, 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 and Michael Peter Wiper

2008: Bootstrap prediction intervals in State Space models

Alejandro Rodriguez and Esther Ruiz

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, Rosa Elvira Lillo Rodríguez, Michael Peter Wiper and Simon P. Wilson

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

Juan de Dios Tena, Antoni Espasa and Gabriel Pino

2007: Forecasting from one day to one week ahead for the Spanish system operator

José Ramón Cancelo, Antoni Espasa and Rosmarie Grafe

2007: Binarized support vector machines

Emilio Carrizosa, Belen Martin-Barragan and Dolores Romero Morales

2007: A multimarket approach to estimate a New Keynesian Phillips Curve

Juan de Dios Tena, Jorge Dresdner and Ivan Araya

2007: The effect of realised volatility on stock returns risk estimates

Aurea Grané Chávez and Helena Veiga

2007: Local linear regression for functional predictor and scalar response

Amparo Baíllo and Aurea Grané Chávez

2007: A scale-free adaptive statistic for testing exponentiality against Weibull and generalized Pareto distributions

Aurea Grané Chávez and Josep Fortiana

2007: Volatility modelling and accurate minimun capital risk requirements: a comparison among several approaches

Aurea Grané Chávez and Helena Veiga

2007: Characterization and computation of restless bandit marginal productivity indices

José Niño Mora

2007: Two-stage index computation for bandits with switching penalties II: switching delays

José Niño Mora

2007: Two-stage index computation for bandits with switching penalties I: switching costs

José Niño Mora

2007: Bootstrap for estimating the mean squared error of the spatial EBLUP

Isabel Molina, Nicola Salvati and Monica Pratesi

2007: Depth functions based on a number of observations of a random vector

Ignacio Cascos Fernández

2007: The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances

Santiago Pellegrini, Esther Ruiz and Antoni Espasa

2007: Explaining inflation and output volatility in Chile: an empirical analysis of forty years

Juan de Dios Tena and Cesar Salazar

2007: A robust partial least squares method with applications

Javier González, Daniel Peña and Rosario Romera

2007: Spatial matching of M configurations of points with a bioinformatics application

Juan Miguel Marín Díazaraque and Carmen Nieto

2007: The sign of asymmetry and the Taylor Effect in stochastic volatility models

Helena Veiga

2007: Estimating the system order by subspace methods

Alfredo Garcia-Hiernaux, José Casals and Miguel Jerez