Kick-off meeting of the
ERCIM Working Group on "Computing & Statistics", and
International
Workshop on Computational and Financial Econometrics
Department of Econometrics,
University of Geneva, Switzerland, April 20-22, 2007
PROGRAMME
PLENARY TALKS
| Plenary talk 1 | Friday, 20/04/2007 | 12:45-13:35 | Room: MR380 |
| Applying stochastic programming models to improve the
performance of global hedge funds |
| Speaker: John Mulvey | Chair:
Berc Rustem |
| Plenary talk 2 | Friday, 20/04/2007 | 17:40 - 18:30 | Room: MR380 |
| Algorithms for robust multivariate statistics |
| Speaker: Peter Rousseeuw | Chair:
Erricos John Kontoghiorghes |
| Plenary talk 3 | Saturday, 21/04/2007 | 09:45 - 10:35 | Room: MR380 |
| Very large systems of linear equations: approximate
solution and applications in dynamic programming |
| Speaker: Dimitri Bertsekas | Chair:
Anna Nagurney |
| Plenary talk 4 | Saturday, 21/04/2007 | 16:00 - 16:50 | Room: MR380 |
| Operator methods and long dated structured
products |
| Speaker: Claudio Albanese | Chair:
Manfred Gilli |
| Plenary talk 5 | Sunday, 22/04/2007 | 12:30 - 13:20 | Room: MR380 |
| Bootstrap testing |
| Speaker: James MacKinnon | Chair:
Russell Davidson |
PARALLEL SESSIONS
| Parallel session A | Friday, 20/04/2007 | 13:40 - 15:20 |
|
| Session 13 | Room: MR380 |
| Signal extraction and filtering - 1 | Chair: Tommaso Proietti |
#49: Growth accounting for the Euro area: a structural
approach
Authors: T. Proietti, A. Musso
|
#123: State space models for time series with patches of
unusual observations
Authors: J. Penzer
|
#113: The performance of subspace algorithm cointegration
analysis
Authors: M. Wagner, D. Bauer
|
#65: The Dutch business cycle: a finite sample
approximation of selected indicators
Authors: A. Den Reijer
|
| Session 02 | Room: MR080 |
| Model averaging, term structure and option evaluation | Chair: Herman K. Van Dijk |
#28: Economic and statistical gains from classical and
Bayesian forecast combinations
Authors: F. Ravazzolo, H. Van Dijk, M. Verbeek
|
#32: A component GARCH model with time varying weights
Authors: G. Storti, L. Bauwens
|
#66: Improved option pricing: combining parametric and
non-parametric methods
Authors: L. Hoogerheide, H. Van Dijk
|
#38: On the practice of Bayesian near-boundary analysis in
basic models for macro-economic time series
Authors: H. Van Dijk, M. De Pooter, R. Segers
|
| Session 43 | Room: MR160 |
| Issues in econometric modelling and
testing | Chair: James MacKinnon |
#98: Two-step versus simultaneous estimation of
survey-non-sampling error and true value components of small
area sample estimators
Authors: S. Paravastu, T. Zimmerman, J. Mehta
|
#160: Testing for serial correlation: generalized
Andrews-Ploberger tests
Authors: J. Nankervis, G. Savin
|
#139: Generalized maximum entropy estimation of dynamic
spatial panel data models
Authors: R. Bernardini Papalia
|
#56: The efficiency of seemingly unrelated regression
estimator in econometric production models
Authors: M. Kaya, M. Uysal, S. Aktas
|
| Session 05 | Room: MR030 |
| Nonlinear time series analysis & financial
econometrics | Chair: Christian Francq |
#19: Simulating term structure of interest rates with
arbitrary marginals
Authors: A. Consiglio
|
#14: EIS for the estimation of SCD models
Authors: F. Galli, L. Bauwens
|
#209: Statistical properties of threshold ARMA models
Authors: M. Niglio, A. Amendola, C. Vitale
|
#130: Combining parametric and nonparametric approaches for
time series prediction
Authors: C. Francq, S. Dabo-niang, J. Zakoian
|
| Session 29 | Room: MR150 |
| Matrix computations and statistics - 1 | Chair: Nickolay Trendafilov |
#147: Computing a low-rank approximation of a tensor by
optimization on a manifold
Authors: L. Elden, B. Savas
|
#143: Some optimization problems in multivariate
statistics
Authors: T. Rapcsak
|
#192: Geometric optimization methods for the analysis of
gene expression data
Authors: P. Absil, M. Journee, A. Teschendorff, S. Tavare,
R. Sepulchre
|
#53: Continuous-time approach to common principal
components estimation
Authors: N. Trendafilov
|
| Parallel session B | Friday, 20/04/2007 | 15:50 - 17:30 |
|
| Session 18 | Room: MR380 |
| Nonlinear time series
analysis | Chair: Alessandra Luati |
#157: An empirical strategy to distinguish structural breaks
from long memory: a simulation study
Authors: F. Di Iorio, C. Cappelli
|
#144: Robust LM tests in time series analysis
Authors: F. Laurini, L. Grossi
|
#92: Sequential Monte Carlo methods for stochastic
volatility models with jumps
Authors: D. Raggi, S. Bordignon
|
#195: Local polynomial trend-cycle predictors for current
economic analysis
Authors: S. Bianconcini, E. Bee Dagum
|
| Session 45 | Room: MR080 |
| Computational intensive methods in
econometrics | Chair: Peter Winker |
#15: Dynamic and structure of the 30 largest North American
companies
Authors: J. Brida, W. Risso
|
#80: Studying interactions without multivariate
modelling
Authors: G. Cubadda, A. Hecq, F. Palm
|
#204: Computational issues in the estimation of higher-order
panel vector autoregressions
Authors: J. Mutl, M. Binder, M. Pesaran
|
#169: Estimation of multivariate probit models by exact
maximum likelihood: a new computational approach
Authors: J. Huguenin, A. Holly, F. Pelgrin
|
| Session 37 | Room: MR160 |
| Bootstrap and applications | Chair:
James MacKinnon |
#146: Testing for restricted stochastic dominance: some
further results
Authors: R. Davidson
|
#124: Small area estimation under Fay-Herriot models with
nonparametric estimation of heteroscedasticity
Authors: D. Morales, W. Gonzalez-manteiga, M. Lombardia,
I. Molina, L. Santamaria
|
#55: Testing for stochastic dominance efficiency
Authors: N. Topaloglou, O. Scaillet
|
#165: Optimal bootstrap block length for unknown data
generating processes: an empirical assessment for exchange
rate data
Authors: V. Jeleskovic
|
| Session 12 | Room: MR030 |
| High-frequency data in
finance | Chair: Giovanni De Luca |
#62: Modelling dynamic demand and supply curves of
electronic markets
Authors: W. Ng
|
#100: Monte Carlo derivative pricing with partial
information in a class of doubly stochastic Poisson processes with
marks
Authors: S. Centanni, M. Minozzo
|
#134: Time series forecasting using shrinkage techniques
and focused selection criteria
Authors: C. Brownlees, G. Gallo
|
#162: Persistence and seasonality in intradaily
volatilities of stock index futures
Authors: E. Rossi, D. Fantazzini
|
| Session 10 | Room: MR150 |
| Robustness | Chair: Christophe
Croux |
#104: Robust PCA for flat data
Authors: P. Filzmoser
|
#101: Robust subsampling
Authors: O. Scaillet, L. Camponovo, F. Trojani
|
#102: Robust bootstrap model selection for
MM-estimators
Authors: S. Van Aelst, M. Salibian-barrera
|
#45: Robust estimation of a general bivariate GARCH
volatility model
Authors: K. Boudt, C. Croux
|
| Parallel session C | Friday, 20/04/2007 | 18:35 - 19:50 |
|
| Session 41 | Room: MR380 |
| Bayesian modelling | Chair:
Alessandra Amendola |
#120: Bayesian estimation of the Markov-switching
GARCH(1,1) model with Student-t innovations
Authors: D. Ardia
|
#203: Electricity spot price forecasting with sparse
Bayesian recurrent neural networks
Authors: D. Mirikitani, M. Daoudi
|
| Session 27 | Room: MR080 |
| Modelling financial time series |
Chair: Jaya Krishnakumar |
#33: Econometric asset pricing modelling
Authors: F. Pegoraro, H. Bertholon, A. Monfort
|
#215: Estimation and testing in threshold cointegrated
systems using reduced rank regression
Authors: J. Krishnakumar, D. Neto
|
#27: The impact of news on higher moments
Authors: E. Jondeau, M. Rockinger
|
| Session 30 | Room: MR160 |
| Simulation based inference | Chair:
Domingo Morales |
#117: Indirect inference and efficient method of moments:
practical issues and finite sample comparison
Authors: V. Czellar, E. Zivot
|
#40: An objective function for simulation based inference
on exchange rate data
Authors: P. Winker, M. Gilli, V. Jeleskovic
|
#180: Assessing the predictive ability of broker-dealers
using a multivariate multinomial logit (MNL) with latent factors
Authors: M. Victoria-Feser, O. Scaillet, P. Huber
|
| Session 22 | Room: MR030 |
| Business cycle analysis and optimal
policy | Chair: Michel Juillard |
#90: Selecting factors with bootstrap tests in approximate
factor models empirical applications
Authors: D. Grenouilleau
|
#88: Screening identifiability of DSGE models?
Authors: M. Ratto, A. Pagano
|
#168: Computing optimal policy in Dynare
Authors: M. Juillard
|
| Session 34 | Room: MR150 |
| Signal extraction and filtering -
2 | Chair: Stephen Pollock |
#185: Higher order correlation nonlinear stochastic
filters
Authors: O. Grothe, C. Mueller
|
#154: Human capital and regional business cycles in
Italy
Authors: C. Mastromarco, U. Woitek
|
#194: A Euro area estimate of monthly GDP
Authors: G. Mazzi, C. Frale, M. Marcellino, T. Proietti
|
| Parallel session D | Saturday, 21/04/2007 | 08:00 - 09:40 |
|
| Session 03 | Room: MR380 |
| Nonlinear financial time series
modelling | Chair: Zhengjun Zhang |
#109: Robust likelihood methods based on the skew-t and
related distributions
Authors: M. Genton, A. Azzalini
|
#7: Jumps and microstructure noise in realized volatility
prediction: an FDA approach
Authors: R. Sen
|
#6: Modeling dependence between extremes of financial
returns. An alternative to GARCH(1,1) models
Authors: J. Olmo, O. Martinez
|
#116: Extreme co-movements and extreme impacts in high
frequency data in finance
Authors: Z. Zhang, K. Shinki
|
| Session 09 | Room: MR080 |
| Global financial markets and econometric
modelling | Chair: Sotiris K. Staikouras |
#16: An investigation of the interest rate risk and
exchange rate risk of the European financial sector
Authors: R. Faff, A. Di Iorio, H. Sander
|
#20: Modeling the investment decision of the entrepreneur
in the tanker sector, between purchasing a second hand vessel and
building a new one
Authors: A. Merika, A. Merikas, G. Koutrouboussis
|
#11: Market information and the feedback effect of the CBOE
S&P500 variance futures on the underlying asset
Authors: S. Staikouras, P. Dawson
|
#24: Relative valuation and fundamental factors. The case
of the greek listed firms
Authors: P. Artikis
|
| Session 01 | Room: MR160 |
| Stochastic volatility, realized variance and
covariance | Chair: Yasuhiro Omori |
#77: Bayesian analysis for jumps, leverage and heavy-tails
in stochastic volatility and EGARCH models
Authors: Y. Omori, J. Nakajima
|
#78: Estimating stochastic volatility models using daily
returns and realized volatility simultaneously
Authors: T. Watanabe, M. Takahashi, Y. Omori
|
#72: Bayesian analysis of the HMM-GARCH model
Authors: T. Nakatsuma
|
#128: Test of unbiasedness of the integrated covariance
estimation in the presence of noise
Authors: K. Oya, M. Ubukata
|
| Session 07 | Room: MR030 |
| Nonparametric time series | Chair:
Konstantinos Fokianos |
#60: Estimation in a nonlinear cointegration model
Authors: H. Karlsen
|
#41: Variable selection for high-dimensional data:
two-stage convex optimization and statistical consistency
Authors: P. Buhlmann
|
#17: Testing temporal constancy of the spectral structure
of a time series
Authors: E. Paparoditis
|
#35: Ridge estimation for INAR(p) models
Authors: K. Fokianos
|
| Session 44 | Room: MR150 |
| Applied economics | Chair:
Giuseppe Storti |
#71: Reconsidering the macroeconomics of the oil price in
Germany - testing for causality in the frequency domain
Authors: M. Gronwald
|
#186: A diffusion model for dynamic flow of foreign direct
investment
Authors: Y. Chiang, C. Hung, Y. Li
|
#212: Managerial Human Capital Return:Empirical method and
evidence from Chinese emerged market
Authors: X. Kong
|
#52: Using finite mixtures of beta distributions for
improving accuracy of LGD prediction intervals
Authors: S. Alvarez, J. Baixauli
|
#133: A regional study on the Italian behaviour towards the
consumer credit
Authors: G. Skonieczny, B. Torrisi, S. Piccolo
|
| Parallel session E | Saturday, 21/04/2007 | 11:00 - 12:40 |
|
| Session 21 | Room: MR380 |
| Signal extraction and filtering -
3 | Chair: Esther Ruiz |
#148: Inspecting the cyclical properties of the Italian
manufacturing business survey data
Authors: T. Cesaroni
|
#136: Using Kalman-filtered radial basis function networks
to forecast changes in the ISEQ index
Authors: D. Edelman
|
#135: Specification of trend and seasonal components for
time series data
Authors: E. Godolphin
|
#142: Local polynomial regression in real time
Authors: A. Luati, T. Proietti
|
| Session 32 | Room: MR080 |
| VEC models and MCMC methods | Chair:
Anna Staszewska |
#91: Cointegration in high-dimensional VAR: the structure
of Germans short-term bank interest rates
Authors: P. Chen, J. Jaenicke
|
#153: Robust Bartlett adjustment for test of hypotheses on
cointegrating vectors: a bootstrap approach
Authors: A. Canepa
|
#39: Multivariate time series analysis with categorical and
continuous variables in an LSTR model
Authors: G. Davis, K. Ensor
|
#108: Inferring the shape of impulse response paths
Authors: A. Staszewska, M. Pipien
|
| Session 33 | Room: MR160 |
| Diagnostics and algorithms | Chair: Peter
Rousseeuw |
#208: An efficient adding row algorithm for large-scale
least trimmed squares regression
Authors: M. Hofmann, C. Gatu, E. Kontoghiorghes
|
#207: Subset selection of the linear regression model with
constraints
Authors: C. Gatu, E. Kontoghiorghes
|
#74: New results for the effectiveness of residuals as a
diagnostic tool in the general linear model
Authors: J. Godolphin
|
#82: Outlier detection for skewed distributions
Authors: M. Hubert
|
| Session 40 | Room: MR030 |
| Asset pricing | Chair: Stavros Siokos |
#25: A comparison of two mortgage insurance pricing
techniques
Authors: O. Erdem
|
#94: Separability of loan and deposit policy of German
banks: some multi-step Granger causality results
Authors: J. Jaenicke
|
#189: Adaptive Monte Carlo technique for dynamical asset
price simulation
Authors: Y. Li, C. Hung, Y. Chiang, S. Yu, S. Chiang
|
#200: Investment strategies based on supervised
learning
Authors: P. Casqueiro, A. Rodrigues
|
| Session 11 | Room: MR150 |
| Computational econometrics and finance in
R - 1 | Chair: Achim Zeileis |
#43: UseR in the financial sector
Authors: B. Pfaff
|
#197: Accuracy of GARCH model estimation and forecasting
Authors: D. Wuertz, Y. Chalabi, L. Luksan
|
#29: Fast and accurate asymptotic p-values for the KPSS
tests and related statistics
Authors: C. Kleiber
|
#9: Currency regime classification with structural change
methods
Authors: A. Zeileis, A. Shah, I. Patnaik
|
| Parallel session F | Saturday, 21/04/2007 | 14:15 - 15:55 |
|
| Session 35 | Room: MR380 |
| Matrix computations and statistics -
2 | Chair: Constantine Bekas |
#191: Dimensionality reduction using sparse approximations
over redundant dictionaries
Authors: E. Kokiopoulou, P. Frossard
|
#213: Univariate descent methods on manifolds
Authors: E. Celledoni
|
#214: A Riemannian approach to the regularization of symmetric
positive-definite matrix-valued data
Authors: M. Moakher
|
#163: An estimator for the diagonal of a matrix
Authors: C. Bekas, E. Kokiopoulou, Y. Saad
|
| Session 23 | Room: MR080 |
| Aggregation and
identification | Chair: Lynda Khalaf |
#57: Combining disaggregate forecasts versus disaggregate
information to forecast an aggregate
Authors: K. Hubrich, D. Hendry
|
#64: Structural multi-equation macroeconomic models: a
system-based estimation and evaluation approach
Authors: M. Kichian, J. Dufour, L. Khalaf
|
#34: Aggregating rational expectations models
Authors: F. Pelgrin, E. Jondeau
|
#61: Testing three-moments based asset pricing models: an
exact non-Gaussian multivariate regression approach
Authors: L. Khalaf, J. Dufour, M. Beaulieu
|
| Session 31 | Room: MR160 |
| Computational econometrics and finance in R -
2 | Chair: Achim Zeileis |
#164: Plm: a R package for panel data econometrics
Authors: Y. Croissant, G. Millo
|
#140: SDE: an R package for simulation and inference of
stochastic differential equations
Authors: S. Iacus
|
#118: Copula Implementation with R
Authors: X. Sun
|
#196: End-to-end performance analysis of network services
from an operational risk management point of view
Authors: D. Masson, D. Wuertz, M. Hanf
|
| Session 17 | Room: MR030 |
| Risk measurement and
prediction | Chair: Marc Paolella |
#21: Risk estimation using the multivariate normal inverse
Gaussian distribution
Authors: K. Aas, I. Hobaek Haff, X. Dimakos
|
#8: Representations and applications of multivariate
stochastic orderings
Authors: S. Ortobelli Lozza, S. Rachev, C. Bertini,
S. Stoyanov, F. Fabozzi
|
#137: The volatility of realized volatility
Authors: S. Mittnik, F. Corsi, C. Pigorsch, U. Pigorsch
|
#13: Thresholds, news impact surfaces and dynamic asymmetric
multivariate GARCH
Authors: M. Caporin, M. Mcaleer
|
| Session 26 | Room: MR150 |
| Fuzzy statistics | Chair: Maria
Angeles Gil |
#205: Managing uncertainty in fuzzy regression: a least
squares approach
Authors: R. Coppi
|
#161: A characterizing functional representation of
continuous distributions focussed on relevant parameters
Authors: A. Colubi, G. Gonzalez-rodriguez, M. Gil, M. Casals
|
#172: Approaches to prototype-less fuzzy clustering
Authors: C. Borgelt
|
#159: Conditions for the uniqueness of a linear model with
fuzzy random variables
Authors: G. Gonzalez-rodriguez, A. Colubi, M. Lubiano
|
| Parallel session G | Saturday, 21/04/2007 | 17:20 - 19:25 |
|
| Session 20 | Room: MR380 |
| Signal extraction and filtering -
4 | Chair: Stephen Pollock
|
#5: Stochastic volatility models and the Taylor effect
Authors: E. Ruiz, A. Mora-galan, A. Perez
|
#96: Online analysis of time series by the Qn estimator
Authors: R. Nunkesser, K. Schettlinger, R. Fried, U. Gather
|
#103: Real-time signal extraction: a generalized error
criterion emphasizing turning points
Authors: M. Wildi
|
#141: Testing for Granger causality in the frequency
domain
Authors: C. Croux, A. Lemmens, D. Marnik
|
#152: Investigating economic trends and cycles
Authors: S. Pollock
|
| Session 28 | Room: MR080 |
| Fat tails, VaR and portfolio
choice | Chair: Peter Winker |
#84: Parametric skewness and kurtosis modeling and its
application to financial analysis
Authors: Y. Pentsak, A. Holly
|
#111: The maximum Lq-Likelihood estimator in extreme value
theory with applications to financial risk measures
Authors: S. Paterlini, D. Ferrari
|
#48: A dynamic grouped-t copula approach for
high-dimensional portfolios
Authors: D. Fantazzini
|
#158: Multivariate distributions and financial
applications
Authors: J. Perote, D. Esther, T. Niguez
|
#115: Portfolio optimization under VaR constraint based on
dynamic estimates of the variance-covariance matrix
Authors: K. Specht, P. Winker
|
| Session 08 | Room: MR160 |
| Modelling exchange rates and
commodities | Chair: Jerry Coakley |
#114: Foreign exchange, fractional cointegration and the
implied-realized volatility relation
Authors: N. Kellard, C. Dunis, N. Sarantis
|
#131: Long memory and structural breaks in commodity
futures basis and market efficiency
Authors: J. Dollery, J. Coakley, N. Kellard
|
#95: Realized volatility fixings
Authors: X. Liu, S. Pong
|
#127: Forecasting Euro exchange rates volatility at high
frequency data
Authors: Y. Jiang, J. Nankervis, G. Chortareas
|
#112: Double bootstrap confidence intervals for parameters
of interest in the two-stage DEA approach
Authors: D. Chronopoulos, J. Nankervis, C. Girardone
|
| Session 39 | Room: MR030 |
| Market microstructure
analysis | Chair: Dietmar Maringer |
#175: Diagnostics for mean reversion in stock
volatilities
Authors: G. Figa-Talamanca
|
#12: Mean reversion and news sensitivity: a mean impact
analysis
Authors: S. Sarkar, P. Kanto, P. Martin
|
#105: Liquidity, information asymmetry and short sales
constraints: evidence from the Hong Kong stock market
Authors: L. Xia
|
#201: Non-parametric analysis of hedge fund risk: new
insights from high frequency data
Authors: L. Pelizzon, M. Billio, M. Getmansky
|
#173: Extended logistic discrimination
Authors: F. Beninel, C. Biernacki
|
| Session 06 | Room: MR150 |
| Financial engineering for asset
management | Chair: Ana-Maria Fuertes |
#99: Constructing hedge fund portfolios: an application of
copula
Authors: Y. Wang, X. Liu, S. Pong
|
#110: An out-of-sample recursive residuals graphical test
for equity premium and stock return prediction: Monte Carlo
evidence
Authors: F. Papadimitriou, J. Nankervis, N. Kellard
|
#89: Using the bootstrap for VaR forecasts from MS-GARCH
models
Authors: R. Sajjad, J. Nankervis, J. Coakley
|
#138: De-noising option prices with the wavelet method
Authors: L. Shen, E. Haven, X. Liu
|
#151: Dynamic factor analysis of industry sector default
rates and implication for portfolio credit risk modelling
Authors: A. Cipollini, G. Missaglia
|
| Parallel session H | Sunday, 22/04/2007 | 08:30 - 10:10 |
|
| Session 25 | Room: MR380 |
| Exact tests and goodness of
fit | Chair: Lynda Khalaf |
#46: Uniformly consistent and exact tests for semiparametric
single-index models
Authors: F. Jouneau, O. Torres
|
#150: Testing conditional distributional assumptions: a
L-moments approach
Authors: B. Chu, M. Salmon
|
#167: A quasi-likelihood approach based on eigenfunctions
for a bounded-valued Jacobi process
Authors: P. Valery, J. Dufour, C. Gourieroux
|
#166: Point-optimal instruments and generalized
Anderson-Rubin procedures for nonlinear models
Authors: J. Dufour, M. Taamouti
|
| Session 19 | Room: MR080 |
| Market dynamics and credit
ratings | Chair: Elena Kalotychou |
#37: Bootstrapping long memory tests: some Monte Carlo
results
Authors: M. Izzeldin, A. Murphy
|
#54: Prediction of ratings using information from equity
and debt markets
Authors: P. Dimou
|
#36: Nonlinearity in the British interest rate transmission
mechanism
Authors: E. Kalotychou, A. Fuertes, S. Heffernan
|
#155: Monetary policy analysis with agents
Authors: G. Haber
|
| Session 36 | Room: MR160 |
| Hidden Markov models | Chair:
Giuseppe Storti |
#190: An application of hidden Markov models to asset
allocation
Authors: J. Bulla
|
#198: Quantile forecasting for credit risk with possibly
mis-specified hidden Markov models
Authors: K. Banachewicz, A. Lucas
|
#73: Non-homogeneous Markov mixtures of periodic
autoregressions for the Bayesian analysis of sulphur dioxide
concentrations
Authors: L. Spezia, R. Paroli
|
#67: Hidden Markov extension of mixture transition
distribution models
Authors: A. Farcomeni, F. Bartolucci
|
| Session 16 | Room: MR030 |
| Risk measurement and estimation
risk | Chair: Marc Paolella |
#122: Hedge fund portfolio construction with estimation
risk
Authors: D. Giamouridis, I. Vrontos, L. Meligotsidou
|
#125: Hedge fund return predictability in the presence of
estimation risk and model uncertainty
Authors: I. Vrontos, D. Giamouridis
|
#23: Time-varying quantiles
Authors: G. De Rossi, A. Harvey
|
#121: Different risk measures for vanilla and path dependent
American options
Authors: G. Sorwar, K. Dowd
|
| Session 42 | Room: MR150 |
| Credit risk and risk
modelling | Chair: Loriana Pelizzon |
#176: Volatility spillovers: a new approach
Authors: M. Velucchi, R. Engle, G. Gallo
|
#184: Market linkages, variance spillover and correlation
stability: empirical evidences of financial contagion
Authors: M. Billio, M. Caporin
|
#179: Behavior of realized volatility and correlation
Authors: A. Safari, D. Seese
|
#193: Functional modelling of the volatility in the Swedish
limit order book
Authors: S. Elezovic
|
| Parallel session I | Sunday, 22/04/2007 | 10:40 - 12:20 |
|
| Session 38 | Room: MR380 |
| Computational intensive methods in statistics | Chair: Erricos John Kontoghiorghes |
#42: Forecast selection and evaluation using automated
procedures
Authors: R. Chumacero
|
#126: Computational efficiency in Bayesian model averaging
and variable selection
Authors: J. Eklund, S. Karlsson
|
#107: Soft computing for foreign exchange rate
forecasting
Authors: C. Slim
|
#178: Developing web-based and parallelized bioinformatics
applications
Authors: R. Diaz-Uriarte, A. Canada, E. Morrissey, O. Rueda,
A. Alibes, M. Neves
|
| Session 14 | Room: MR080 |
| Time series smoothing and
modelling | Chair: Ioannis Demetriou |
#79: Necessary and sufficient conditions for a best L1
convex fit to univariate data
Authors: S. Papakonstantinou, I. Demetriou
|
#81: A distributed lag estimator derived from smoothness
priors and nonnegative divided differences
Authors: E. Vassiliou
|
#149: A control systems approach for credit risk simulation
and control of a loan portfolio
Authors: S. Stavraki, J. Leventides, H. Pandis
|
#76: Separation of extrema of piecewise monotonic time
series
Authors: I. Demetriou
|
| Session 24 | Room: MR160 |
| Estimation and validation of multivariate
financial models | Chair: Lynda Khalaf |
#75: Efficient estimation of copula-GARCH models
Authors: R. Luger, Y. Liu
|
#132: Evaluating Value-at-Risk models with desk-level
data
Authors: D. Pelletier, J. Berkowitz, P. Christoffersen
|
#174: Semiparametric multivariate density estimation for
positive data
Authors: T. Bouezmarni, J. Rombouts
|
#69: Markov Chain Monte Carlo methods for parameter
estimation in multidimensional continuous time Markov switching
models
Authors: M. Hahn, S. Fruehwirth-Schnatter, J. Sass
|
| Session 15 | Room: MR030 |
| Modeling financial asset
returns | Chair: Marc Paolella |
#18: Indirect estimation of elliptical fat-tailed
distributions
Authors: D. Veredas, M. Lombardi
|
#30: Modeling fat tails in daily exchange rates: a
multivariate Stable-GARCH approach
Authors: M. Bonato
|
#22: An ARCHAIC approach to portfolio VaR forecasting
Authors: S. Broda, M. Paolella
|
#145: An econometric analysis of emission trading
allowances
Authors: M. Paolella, L. Taschini
|
| Session 04 | Room: MR150 |
| Spatial and/or temporal
modeling | Chair: Janette Walde |
#83: Small sample properties of maximum likelihood versus
generalized method of moments based tests for spatially autocorrelated
errors
Authors: M. Larch, P. Egger, M. Pfaffermayr, J. Walde
|
#85: Performance of diagnostic tests for spatial models
Authors: J. Walde, M. Larch
|
#93: Structured additive regression: a unifying perspective
on smoothing, spatial statistics, and mixed models
Authors: S. Lang, C. Belitz, T. Kneib
|
#58: Markov Chain Monte Carlo estimation of issuer-specific
and bond-specific components of credit and liquidity risk
Authors: L. Soegner, M. Fruehwirth, P. Schneider
|