Keynote 1 Friday, 09 December 2016 08:40 - 09:30 Room: Auditorium
Of quantiles and expectiles: Consistent scoring functions, mixture representations, and forecast rankings
Speaker: T. Gneiting  Co-authors: W. Ehm, A. Jordan, F. Krueger Chair: Ingrid Van Keilegom
Keynote 2 Friday, 09 December 2016 10:05 - 10:55 Room: Auditorium
Exogeneity tests, weak identification, incomplete models and instrumental variables: Identification-robust inference
Speaker: J.-M. Dufour   Chair: Richard Luger
Keynote 3 Saturday, 10 December 2016 18:25 - 19:15 Room: Auditorium
Structural vector autoregressions with heteroskedasticity: A review of different volatility models
Speaker: H. Luetkepohl  Co-authors: A. Netsunajev Chair: Helmut Herwartz
Keynote 4 Sunday, 11 December 2016 12:15 - 13:05 Room: Auditorium
Higher-order robust inference
Speaker: E. Ronchetti   Chair: Peter Rousseeuw
Keynote 5 Sunday, 11 December 2016 18:10 - 19:00 Room: Auditorium
Statistics for high-frequency observations of a stochastic process
Speaker: J. Jacod   Chair: Bent Nielsen


Parallel session B: CMStatistics Friday, 09 December 2016 09:40 - 10:55

Session EO029 Room: 213
Recent advances in survival analysis Friday, 09 December 2016   09:40 - 10:55
Chair: Gongjun Xu Organizer: Lan Wang
  EO1394:  G. Xu
  Estimation and inference of quantile regression for survival data under biased sampling
  EO1395:  A. El Ghouch, I. Van Keilegom, M. De Backer
  Semiparametric copula quantile regression for complete or censored data
  EO1398:  M. Amico, C. Legrand, I. Van Keilegom
  The single-index/Cox mixture cure model: A new modeling approach for the mixture cure model
Session EO033 Room: 214
Optimal and efficient designs Friday, 09 December 2016   09:40 - 10:55
Chair: Po Yang Organizer: Po Yang
  EO1162:  X. Li
  Mismeasured response adaptive design: Theory and implementation
  EO1507:  C.-Y. Lin
  Minimum contamination and beta-aberration criteria for screening quantitative factors
Session EO059 Room: 217
Non-regular statistical models Friday, 09 December 2016   09:40 - 10:55
Chair: Serguei Dachian Organizer: Serguei Dachian
  EO0565:  M. Doering
  Multiple cusp estimation in regression models
  EO0540:  S. Dachian
  On hypotheses testing for Poisson processes: Regular and singular cases
  EC1683:  E.K. Garcia Cruz, J.C. Correa Morales, J.C. Salazar Uribe
  A linear mixed model approach to build a calibration function from change points
Session EO063 Room: 212
Multiple testing Friday, 09 December 2016   09:40 - 10:55
Chair: Sebastian Doehler Organizer: Jacobo de Una-Alvarez, Sebastian Doehler
  EO0883:  P. Lafaye de Micheaux, B. Liquet
  Type-II generalized family-wise error rate formulas with application to sample size determination
  EO1336:  G. Durand
  An extension of the Benjamini and Hochberg procedure with optimal data-driven weights
  EO1500:  S. Doehler
  A modified Benjamini-Hochberg procedure for discrete data
Session EO069 Room: 008
Advances in fuzzy clustering Friday, 09 December 2016   09:40 - 10:55
Chair: Maria Brigida Ferraro Organizer: Maria Brigida Ferraro
  EO0566:  B. Lafuente-Rego, J. Vilar, P. Durso
  Robust fuzzy clustering based on quantile autocovariances
  EO1253:  A.B. Ramos-Guajardo, P. Giordani
  Comparing robust fuzzy methods for clustering non-precise data
  EO0868:  M.B. Ferraro
  Fuzzy two-mode clustering with polynomial fuzzifiers
Session EO089 Room: 003
Analysis of microbiome data Friday, 09 December 2016   09:40 - 10:55
Chair: Michele Guindani Organizer: Michele Guindani
  EO1237:  R. Argiento, M. Guindani, M. Vannucci, D. Wadsworth, J. Galloway-Pena, S. Shelburne
  A Bayesian Dirichlet-multinomial regression model for the analysis of taxonomic abundances in microbiome data
  EO1239:  S. Bacallado, L. Trippa, B. Ren, S. Favaro, S. Holmes
  A Bayesian nonparametric analysis of heterogeneous data on microbial communities
  EO0983:  S. Huzurbazar, E. Jackson
  Longitudinal microbiome data
Session EO115 Room: 101
Mixture models for complex data sets Friday, 09 December 2016   09:40 - 10:55
Chair: Geoffrey McLachlan Organizer: Geoffrey McLachlan
  EO0935:  G. Galimberti, G. Soffritti
  Maximum likelihood inference for mixtures of Gaussian regression models
  EO1206:  F. Greselin, A. Mayo-Iscar, L.A. Garcia-Escudero
  A fuzzy version of robust mixtures of Gaussian factor analyzers
  EO1042:  H. Nguyen
  Fast model-based clustering of functional data via Gaussian mixture models
Session EO135 Room: 103
Latent variable models for biostatistical applications Friday, 09 December 2016   09:40 - 10:55
Chair: Huazhen Lin Organizer: Xinyuan Song
  EO0340:  X. Feng, H.-T. Wu, X. Song
  Bayesian regularized multivariate generalized latent variable models
  EO0674:  Z. Wang, K. Sebestyen, S. Monsell
  A latent variable regression model for assessing mixed type biomarkers
  EO1041:  H. Shou, A. Eloyan, A. Mejia, M.B. Nebel, J. Pekar, S. Mostofsky, B. Caffo, M. Lindquist, C. Crainiceanu
  Measurement error correction through shrinkage estimation in multilevel imaging analysis
Session EO159 Room: 112
Multivariate data when dimensions are large, but samples are not Friday, 09 December 2016   09:40 - 10:55
Chair: Arne Bathke Organizer: Arne Bathke
  EO1265:  S. Harrar, J. Xu
  Confidence regions for level differences in growth curve models: Low- and high-dimensional under non-normality
  EO1147:  F. Klinglmueller
  Graph-based multiple testing with correlated and high-dimensional data
  EC1203:  F. Konietschke
  Multiple contrast tests for high-dimensional repeated measures designs
Session EO181 Room: 308 B
Decision criteria in clinical development Friday, 09 December 2016   09:40 - 10:55
Chair: Simon Kirby Organizer: Simon Kirby
  EO0549:  R. Vonk
  Quantitative decision making: One step further
  EO0863:  A. Grieve
  Decision criterion in drug development: Beyond statistical significance
  EO0606:  S. Kirby
  Establishing decision rules for an early signal of efficacy design strategy in clinical development
Session EO243 Room: 306 A
Statistics in astrophysics Friday, 09 December 2016   09:40 - 10:55
Chair: Sylvain Sardy Organizer: Sylvain Sardy
  EO1702:  F. Feroz
  Bayesian inference with nested sampling in Astrophysics
  EO1694:  J. Diaz Rodriguez, S. Sardy, D. Eckert
  GLM-lasso explores the cosmos
  EO1722:  J. Bobin
  Sparsity-based statistical methods for the estimation of the cosmological microwave background
Session EO251 Room: 301
Theory and methods for statistical models with complex dependence Friday, 09 December 2016   09:40 - 10:55
Chair: Pramita Bagchi Organizer: Moulinath Banerjee
  EO0276:  S. Roy, Y. Atchade, G. Michailidis
  Likelihood inference for large stochastic blockmodels with covariates
  EO0480:  M. Bhattacharjee, A. Bose
  Large sample behaviour of high dimensional autocovariance matrices
  EO0763:  P. Bagchi, V. Characiejus, H. Dette
  Testing for white noise in functional time series
Session EO265 Room: 203
Nonparametric functional data analysis Friday, 09 December 2016   09:40 - 10:55
Chair: Germain Van Bever Organizer: Germain Van Bever
  EO1230:  M. Hubert, J. Raymaekers, P. Rousseeuw, P. Segaert
  The functional outlier map for detecting and classifying functional outliers
  EO1236:  P. Oliveira
  Small-ball probabilities and representations for the MSE
  EO1382:  B. Park
  Smooth backfitting for additive modeling with multiple predictor functions
Session EO435 Room: 305 A
Robust statistical modelling Friday, 09 December 2016   09:40 - 10:55
Chair: Alfio Marazzi Organizer: Alfio Marazzi
  EO1027:  G. Boente, M. Salibian-Barrera, J.-L. Wang
  Robust functional principal components for sparse data
  EO0849:  E. Cantoni, X. De Luna
  Robust semi-parametric estimators: Missing data and causal inference
  EO1313:  A. Mayo-Iscar, L.A. Garcia-Escudero, F. Greselin
  Robust estimation of mixture models with skew components via trimming and constraints
Session EO439 Room: S23
Statistics challenges for complex large data Friday, 09 December 2016   09:40 - 10:55
Chair: Annie Qu Organizer: Annie Qu
  EO0153:  P. Song, L. Tang, L. Zhou
  Method of divide-and-combine in regularized generalized linear models for big data
  EO0163:  Y. Sun, L. Qi, P. Gilbert
  Analysis of generalized semiparametric mixed varying-coefficient effects model for longitudinal data
  EO1033:  J. Lin, G. Michailidis
  Regularized estimation of a mix VAR model
Session EO605 Room: S22
Dealing with unobserved heterogeneity in component-based methods Friday, 09 December 2016   09:40 - 10:55
Chair: Laura Trinchera Organizer: Laura Trinchera
  EO0505:  C. Tortora, P. McNicholas
  Mixture of coalesced distributions for high-dimensional data clustering
  EO0650:  G. Lamberti, L. Trinchera, T. Aluja
  PATHMOX segmentation tree for discovering different models present in data: Application in alumni satisfaction
  EO1680:  G. Russolillo, L. Trinchera
  Comparing methods for discovering unobserved heterogeneity in PLS-PM: A Monte Carlo study
Session EC663 Room: 309 B
Contributions in regression analysis Friday, 09 December 2016   09:40 - 10:55
Chair: Natalie Neumeyer Organizer: CMStatistics
  EC0166:  L.A. Arteaga Molina, J.M. Rodriguez-Poo
  Empirical likelihood based inference for fixed effects varying-coefficient panel data models
  EC1543:  D. Bloznelis, G. Claeskens
  Fitting models that will be combined
  EC1424:  E. Fiserova, I. Muller, K. Hron
  Regression with compositional data and its interpretation
Session EG178 Room: 216
Contributions in extremes and their applications Friday, 09 December 2016   09:40 - 10:55
Chair: Yuri Goegebeur Organizer: CMStatistics
  EC1223:  C. de Valk, J.J. Cai
  A high quantile estimator based on the log-generalised Weibull tail limit
  EC1544:  A. Ferreira, C. Dombry
  Maximum likelihood estimators under block maxima
  EC1491:  D. Dupuis
  On the hourly temperature data behaviour and the daily extreme temperature tail dynamics
Parallel session D: CMStatistics Friday, 09 December 2016 11:25 - 13:05

Session EI673 (Special Invited Session) Room: Graduation hall
Functional data analysis: theory and applications Friday, 09 December 2016   11:25 - 13:05
Chair: Jeng-Min Chiou Organizer: Jeng-Min Chiou
  EI0307:  S. Hoermann, G. Nisol, P. Kokoszka
  Detection of periodicity in functional time series
  EI0905:  W. Gonzalez-Manteiga, J.A. Cuesta-Albertos, E. Garcia-Portugues, M. Febrero-Bande
  Goodness-of-fit tests for models with functional data
  EI1368:  X. Zhang, J.-L. Wang
  Weighing schemes for functional data
Session EO003 Room: 312
Big data: Convergence of statistics and optimization Friday, 09 December 2016   11:25 - 13:05
Chair: Stephane Chretien Organizer: Stephane Chretien
  EO0416:  J.-P. Ortega, L. Grigoryeva, J. Henriques, L. Larger
  Time-delay reservoir computers and high-speed information processing capacity
  EO1025:  C. Biernacki, A. Celisse, M. Brunin
  Trade-off between computational cost and estimate accuracy: Some attempts
  EO1260:  S. Sardy
  A unified rule to select a threshold
  EO1333:  S. Chretien
  Some results in nonconvex estimation
  EO1771:  I. Mizera, L. Zhang
  Periodogram and spectral density estimation using l1/l2 regularization
Session EO009 Room: 212
Vine copulas: Theory and applications Friday, 09 December 2016   11:25 - 13:05
Chair: Claudia Czado Organizer: Claudia Czado
  EO0171:  A. Panagiotelis, C. Czado, J. Stoeber, H. Joe
  Model selection for discrete regular vine copulas
  EO0281:  I. Hobaek Haff, A. Frigessi, D. Maraun
  Regional climate models and the spatial dependence of precipitation
  EO0504:  D. Kraus, C. Czado
  Predicting conditional quantiles using D-Vine copulas
  EO1181:  B. Graeler
  Precipitation modeling via spatial vine copulas
Session EO023 Room: 203
Foundations for depth methods in multivariate and functional data settings Friday, 09 December 2016   11:25 - 13:05
Chair: Ingrid Van Keilegom Organizer: Robert Serfling
  EO0726:  A. Cuevas, J. Berrendero, B. Bueno-Larraz
  RKHS tools for functional depth
  EO0692:  K. Mosler
  Aspect-based depth statistics for functional data
  EO1191:  A. Nieto-Reyes, H. Battey
  On the properties of statistical functional depth
  EO0668:  R. Serfling
  Perspectives on multivariate depth and quantile functions
Session EO025 Room: 301
Nonparametric analysis of financial markets Friday, 09 December 2016   11:25 - 13:05
Chair: Stefan Sperlich Organizer: Stefan Sperlich
  EO0552:  D. La Vecchia, B. Koo, O. Linton
  Recovering the yield curve evolution
  EO0939:  J.M. Sarabia, F. Prieto, V. Jorda
  Some classes of univariate and multivariate beta-generated distributions to model financial data
  EO0871:  M. Scholz, S. Sperlich, J.P. Nielsen, E. Mammen
  Improved nonparametric estimation of the Sharpe-ratio
  EO1296:  J.M. Rodriguez-Poo, S. Sperlich, F. Penaranda
  An omnibus specification test of conditional asset pricing models
Session EO071 Room: 305 B
Outliers, robustness and extremes in time series Friday, 09 December 2016   11:25 - 13:05
Chair: Roland Fried Organizer: Roland Fried
  EO0550:  X. Pedeli, C. Varin
  Aspects of composite likelihood inference in time series models
  EO0378:  P. Galeano, D. Pena
  Outlier detection in high-dimensional time series
  EO0996:  A. Duerre, R. Fried
  Robust approaches for change point detection in panel data
  EO1246:  P. Kinsvater, R. Fried, J. Lilienthal
  On asymptotical methods for joint estimation of a common extreme value characteristic from multiple stations
Session EO099 Room: Board meeting room II
Bayesian methods in biostatistics Friday, 09 December 2016   11:25 - 13:05
Chair: Yung-Seop Lee Organizer: Jaeyong Lee
  EO0807:  B. Hwang, Z. Chen
  A Bayesian high-dimensional couple-based latent risk model with an application to infertility
  EO0903:  G. Sim, Y. Chung, H. Kim, A. Zanobetti, J. Schwartz
  Nonparametric Bayesian multivariate meta-regression: An application in the temperature-mortality association study
  EO1323:  T. Park, I. Huh, S. Yi
  Classification of methylation status using Bayes classifier
  EO1341:  N. Mukhopadhyay
  Bayesian modeling of medical imaging in tumor delineation
Session EO175 Room: 214
Design of experiments Friday, 09 December 2016   11:25 - 13:05
Chair: Kalliopi Mylona Organizer: Kalliopi Mylona
  EO0450:  V. Casero-Alonso, J. Lopez-Fidalgo, W.K. Wong
  Optimal designs for fractional polynomial models
  EO0522:  S. Biedermann, K. Lee, R. Mitra
  Optimal design for experiments with partially observed data
  EO0599:  L. Trinca, M. da Silva, S. Gilmour
  Response surface designs robust to missing observations
  EO0940:  D. Palhazi Cuervo, P. Goos, K. Sorensen
  Optimal design of two-stratum experiments in the presence of autocorrelation
Session EO191 Room: 308 B
Recent advances on estimating equations Friday, 09 December 2016   11:25 - 13:05
Chair: Yves Berger Organizer: Yves Berger
  EO0627:  D. Becker, V. Patilea, A. Kneip
  Smooth minimum distance estimation with generated regressors
  EO0638:  S. Vansteelandt, K. Vermeulen
  Bias-reduced double-robust estimation
  EO0710:  Y. Berger, V. Patilea
  Estimating equations, empirical likelihood and complex sampling
  EO1013:  P. Clarke, Y. Bao
  Panel-data modelling using structural mean models
Session EO477 Room: 213
About 40 years of graphical Markov models: Some personal perspectives Friday, 09 December 2016   11:25 - 13:05
Chair: Nanny Wermuth Organizer: Nanny Wermuth
  EO1144:  M. Frydenberg
  From Markov properties to causal effects: From mathematics to epidemiology
  EO1035:  H. Massam
  Existence of the maximum likelihood estimate in discrete graphical models
  EO1154:  F. Matus
  Conditional independence in multivariate analysis and beyond
Session EO481 Room: 306 A
Statistics for high-dimensional data with environmental applications Friday, 09 December 2016   11:25 - 13:05
Chair: Emre Barut Organizer: Huixia Judy Wang
  EO0889:  M. Genton
  Computational challenges with big environmental data
  EO0958:  A. Hering
  Fusing multiple existing space-time land cover products
  EO0890:  Y. Sun
  Total variation depth for functional data: Properties and applications
  EO1311:  T. Apanasovich
  A spatio-temporal framework for modeling active layer thickness
Session EO495 Room: Board meeting room I
Applying extreme value statistics in finance and economics Friday, 09 December 2016   11:25 - 13:05
Chair: Chen Zhou Organizer: Chen Zhou
  EO0402:  B. Schwaab, X. Zhang
  Tail risk in government bond markets and ECB unconventional policies
  EO0426:  S. Engelke, J. Ivanovs
  Robust bounds for multivariate extreme value distributions
  EO0597:  F. Yang, C. Zhou
  Asymptotic analysis of portfolio diversification
  EO1085:  A. Daouia, S. Girard, G. Stupfler
  Estimation of the marginal expected shortfall using extreme expectiles
Session EO519 Room: 305 A
Recent advances of statistical methods in survival analysis and missing data Friday, 09 December 2016   11:25 - 13:05
Chair: Lihong Qi Organizer: Lihong Qi
  EO0699:  C.-H. Hsu
  Cox regression analysis with missing covariates via nonparametric multiple imputation
  EO0790:  S. Haneuse, I. Jazic
  Re-use of nested case-control studies for the analysis of semi-competing risks data
  EO1173:  L. Qi, Y.-F. Wang, R. Chen, J. Siddique, J. Robbins, Y. He
  MICE: Guidelines for imputing missing covariates in accelerated failure time models
  EO0995:  J. Schildcrout
  Modeling strategies to enrich a multiplexed, preemptive genomic testing program using electronic health records data
Session EO691 Room: 309 B
Order restricted inference Friday, 09 December 2016   11:25 - 13:05
Chair: Ori Davidov Organizer: Ori Davidov
  EO0555:  M. Fernandez, Y. Larriba, C. Rueda, S. Peddada
  Detection of rhythmic signals in oscillatory systems using order restricted inference
  EO1215:  H. ElBarmi, V. Nunez-Anton
  On comparing cumulative incidence functions in a competing risks model using empirical likelihood
  EC1573:  Y. Larriba, C. Rueda, M. Fernandez, S. Peddada
  Influence of microarray normalization strategies and rhythmicity detection algorithms to detect circadian rhythms
  EC1496:  V. Pastukhov, D. Anevski
  A stochastic process approach to multilayer neutron detectors
Parallel session D: CFE Friday, 09 December 2016 11:25 - 13:05

Session CO299 Room: 008
Quantile regression methods in economics and finance Friday, 09 December 2016   11:25 - 13:05
Chair: Massimiliano Caporin Organizer: Massimiliano Caporin
  CO0516:  G. Bonaccolto, M. Caporin, S. Paterlini
  Conditional quantile-dependent autoregressive value-at-risk
  CO0620:  M. Caporin, M. Costola, S. Hammoudeh, A. Khalifa
  Systemic risk measurement for GCC financial institutions and its role for oil
  CC1470:  K. Kuck, R. Maderitsch
  Intra-day dynamics of US-dollar exchange-rates: Evidence from quantile autoregressions
  CC1572:  F. Cech, J. Barunik
  Measurement of common risk factors: A panel quantile regression models for returns and volatility
Session CO307 Room: 101
Big data in economics and finance Friday, 09 December 2016   11:25 - 13:05
Chair: Veronika Czellar Organizer: Veronika Czellar
  CO0581:  J. Walden
  Information networks, profits, and pricing in financial markets
  CO1492:  V. Czellar, F. Le Grand, R. Garcia
  Limited participation in the joint behavior of asset prices and individual consumptions
  CO1744:  F. Poli, M. Caporin
  News measures, volatility and jumps
  CO0526:  A. Martin Utrera, V. DeMiguel, F.J. Nogales, R. Uppal
  Firm characteristics and the cross section of stock returns: A portfolio perspective
Session CO309 Room: S22
Quantitative asset management Friday, 09 December 2016   11:25 - 13:05
Chair: Serge Darolles Organizer: Serge Darolles
  CO0573:  A. Becam
  Currency carry trade and the cross section of hedge fund returns
  CO0593:  J.-M. Zakoian, C. Francq
  Joint inference on market and estimation risks in dynamic portfolios
  CO0619:  G. Mero
  Measuring hedge fund performance: A Markov regime-switching with false discoveries approach
  CO1168:  G. Monarcha
  About the risks of alternative risk premia
Session CO311 Room: S23
Bayesian econometrics Friday, 09 December 2016   11:25 - 13:05
Chair: Roberto Leon-Gonzalez Organizer: Deborah Gefang
  CO0408:  R. Leon-Gonzalez, J. Chan, R. Strachan
  Parsimonious inverted Wishart processes for multivariate stochastic volatility
  CO0906:  F. Yang, R. Leon-Gonzalez
  An application of a Bayesian VAR copula model to the effect of macroeconomic risk appetite on the GDP growth
  CC1523:  C. Legnazzi, G. Barone-Adesi, A. Mira
  A Bayesian estimate of the pricing kernel
Session CO353 Room: 003
Incomplete data and measurement error Friday, 09 December 2016   11:25 - 13:05
Chair: Laura Spierdijk Organizer: Laura Spierdijk
  CO0165:  L. Spierdijk, E. Meijer, T. Wansbeek, R. Moon
  A semiparametric test for measurement error in panel data
  CO0311:  N. Mittag, P. Celhay, B.D. Meyer
  Measurement errors: Evidence from reports of program participation from multiple surveys
  CO0338:  P. van Santen, A. Kalwij, R. Alessie
  Binary response models with misclassified dependent variables applied to annuity ownership
Session CO385 Room: 217
Financial time series modelling and forecasting Friday, 09 December 2016   11:25 - 13:05
Chair: Alessandra Amendola Organizer: Alessandra Amendola
  CO0424:  A. Palandri
  A simple Markovian process with hyperbolic rates of convergence.
  CO0685:  V. Candila, A. Amendola
  Forecasting volatility with the asymmetric GARCH-MIDAS model
  CO1305:  A. Portela Santos, G. Valle Moura, J. Frois Caldeira
  Combination of conditional quantile forecasts: An application to value at risk modeling
  CO0840:  F. Violante, J. Rombouts, L. Stentoft
  Risk evaluation and pricing: Risk differential and return predictability patterns across markets and countries
Session CO401 Room: 103
Macro and financial econometrics Friday, 09 December 2016   11:25 - 13:05
Chair: Menelaos Karanasos Organizer: Menelaos Karanasos
  CO0653:  Y. Karavias, S. Asimakopoulos, F. Fernandes
  Trade credit and firm performance
  CC1555:  S. Roszkowska
  Labor market dynamics and labor market institutions: The cointegrated VAR approach
  CC1739:  D. Kyriakopoulou
  Asymptotic normality of the QML estimator of the EGARCH(1,1) model
  CO1309:  Y. Xu, M. Karanasos
  Nonnegativity constraints for $N$-dimensional asymmetric power heavy/MEM/GARCH Models and a new mixture hormulation
Session CO599 Room: 112
Macroeconomic spillovers and monetary policy Friday, 09 December 2016   11:25 - 13:05
Chair: Hilde Bjornland Organizer: Hilde Bjornland
  CO1342:  E. Prieto, S. Eickmeier, A. Abbate
  Financial shocks and inflation dynamics
  CO1334:  G. Caggiano
  Economic policy uncertainty spillovers in booms and busts
  CO1337:  V. Larsen
  Components of Uncertainty
  CO0482:  S. Zahiri, H. Bjornland, L.A. Thorsrud
  On central banks response to developments in the global economy
Session CO710 Room: 216
Credit risk, liquidity and bond pricing Friday, 09 December 2016   11:25 - 13:05
Chair: Ana Escribano Organizer: Ana Escribano
  CO0815:  Y. Wang
  On the effect of bond liquidity on financial contracts
  CO1053:  A. Escribano, M.D. Robles, P. Abad, A. Diaz
  Liquidity and the size of trades around credit event news
  CO1137:  R. Jelic, D. Maringer, X. Chen, W. Aussenegg
  Time varying illiquidity of European corporate bonds
  CO0858:  D. Robles, P. Abad, R. Ferreras
  Credit rating news and stock return synchronicity: Informational effects of regulation reforms
Session CG270 Room: 109
Contributions in portfolio optimization and performance evaluation Friday, 09 December 2016   11:25 - 13:05
Chair: Ralf Wunderlich Organizer: CFE
  CC0404:  I. Meilijson
  The reopening of Dubins and Savage casino in the era of diversification
  CC1545:  A. Stephan, M. Sahamkhadam, R. Ostermark
  Portfolio optimization based on GARCH-EVT-copula CVaR and mean-variance models
  CC1433:  A. Palczewski
  Black-Litterman model for continuous distributions and general risk measures
  CC1372:  W. Pohlmeier, E. Kazak
  Testing out-of-sample portfolio performance
Parallel session E: CMStatistics Friday, 09 December 2016 14:35 - 16:15

Session EO031 Room: 203
Complex and next generation functional data analysis Friday, 09 December 2016   14:35 - 16:15
Chair: Wenceslao Gonzalez-Manteiga Organizer: Jane-Ling Wang
  EO0795:  J.-M. Chiou
  A functional data approach to heterogeneous aging effects on functional connectivity
  EO0242:  K. Chen
  Modeling multi-way functional data with weak separability
  EO0725:  A. Petersen, H.-G. Mueller
  Fr\'echet integration and adaptive metric selection for covariance objects in functional data
  EO1140:  S. Lopez Pintado
  Depth-based nonparametric statistics for complex data
Session EO055 Room: 309 B
Machine learning, approximation and robustness Friday, 09 December 2016   14:35 - 16:15
Chair: Andreas Christmann Organizer: Andreas Christmann
  EO0271:  D.-X. Zhou
  Approximation analysis of distributed learning with spectral algorithms
  EO0942:  B. Sinova, G. Gonzalez-Rodriguez, S. Van Aelst
  A robust approach to summarize the location of functional data
  EO0568:  K. Strohriegl, A. Christmann
  Support vector machines for non-i.i.d. observations
  EO0406:  A. Christmann
  Robust localized learning with kernels
Session EO075 Room: 216
Quantile regression models for dependent data Friday, 09 December 2016   14:35 - 16:15
Chair: Ghislaine Gayraud Organizer: Ghislaine Gayraud, Sophie Dabo
  EO0644:  S. Dabo, A. Bassene, A. Diop, B. Thiam
  Nonparametric extreme quantile estimation for spatial data
  EO0654:  T. Bouezmarni
  Nonparametric tests for conditional independence using conditional quantiles and distributions
  EO0756:  A. Laksaci
  Local linear quantile regression for functional data
  EO1179:  A. Adekpedjou
  Confidence bands for a recurrent quantile as a function of the covariates in recurrent event models
Session EO087 Room: 308 B
Statistical imaging Friday, 09 December 2016   14:35 - 16:15
Chair: Michele Guindani Organizer: Michele Guindani
  EO0280:  T. Johnson
  Bayesian semi-parametric modeling of near infra-red spectroscopy data
  EO0927:  M. Fiecas, I. Cribben
  A variance components model for statistical inference on functional connectivity networks
  EO1159:  J. Harezlak, M. Dzemidzic, J. Goni, D. Kareken, M. Karas
  Association of structural brain imaging markers with alcoholism using structural connectivity via a regularized approach
  EO1308:  I. Cribben
  Time varying models for brain imaging data
Session EO133 Room: 305 A
Deconvolution and boundary estimation Friday, 09 December 2016   14:35 - 16:15
Chair: Leopold Simar Organizer: Ingrid Van Keilegom, Leopold Simar
  EO0626:  N. Neumeyer
  Nonparametric boundary regression
  EO0611:  V. Zelenyuk, L. Simar, I. Van Keilegom
  Inference for non-parametric stochastic frontier models
  EO0766:  J.-P. Florens
  Estimation of the boundary of a variable observed with symmetric error
  EO0798:  A. Vanhems, P. Marechal
  A mollification approach to deconvolution problems
Session EO163 Room: 217
Statistical modeling for high-dimensional and biomedical data Friday, 09 December 2016   14:35 - 16:15
Chair: Mauricio Castro Organizer: Mauricio Castro
  EO0517:  V. Inacio, M. de Carvalho, A. Branscum
  Nonparametric Bayesian regression analysis of the Youden index
  EO0524:  W.-L. Wang
  Analysis of incomplete high-dimensional data via mixtures of common t-factor analyzers
  EO0563:  T.-I. Lin
  Skew-t factor analysis models with incomplete data
  EO1656:  G. Page
  Using covariate informed partition models to identify subpopulations via curve clustering
Session EO209 Room: S21
Advances in latent variable models Friday, 09 December 2016   14:35 - 16:15
Chair: Giuliano Galimberti Organizer: Giuliano Galimberti
  EO0957:  I. Gollini
  Latent variable models for complex networks: Flexible modelling and scalable inference
  EO0898:  G. McLachlan, S. Lee
  Adoption of skew distributions in mixtures of factor models
  EO1249:  A. Punzo, A. Maruotti
  On the use of the contaminated Gaussian distribution in hidden Markov models for longitudinal data
  EO1322:  D. Oberski
  A sensitivity analysis approach to model fit evaluation in latent variable models
Session EO441 Room: 306 A
Computational methods in the design of experiments Friday, 09 December 2016   14:35 - 16:15
Chair: Radoslav Harman Organizer: Radoslav Harman
  EO0681:  S. Ahipasaoglu
  A first-order algorithm for the A-optimal experimental design problem: A mathematical programming approach
  EO0490:  L. Filova, R. Harman
  Computation of optimal experimental designs in R
  EO1075:  H. Nyquist
  Some relations between optimum on-the-average designs and maximin designs
  EO0630:  J. Lopez-Fidalgo, V. Casero-Alonso
  Computational construction of Minimax designs in binary response and heteroscedastic simple linear regression models
Session EO475 Room: 205
Recent developments in estimation and testing for graphical models Friday, 09 December 2016   14:35 - 16:15
Chair: Wicher Bergsma Organizer: Wicher Bergsma
  EO0694:  G.M. Marchetti
  Palindromic Ising models
  EO1095:  T. Rudas, A. Klimova
  Estimation and testing in relational models
  EO1114:  K. Sadeghi
  A strategy for selecting mixed graphs from distributions
  EC1472:  E. Pircalabelu
  Zoom-in/out joint graphical lasso for different coarseness scales
Session EO517 Room: 204
Estimation of tail risk Friday, 09 December 2016   14:35 - 16:15
Chair: Abdelaati Daouia Organizer: Abdelaati Daouia
  EO0269:  A. Guillou, J.J. Cai, V. Chavez-Demoulin
  Estimation of the marginal expected shortfall in the context of an infinite mean model
  EO1141:  S. Girard, A. Daouia, G. Stupfler
  Estimation of extreme expectiles from heavy tailed distributions
  EO0920:  Y. Goegebeur, A. Guillou, M. Escobar-bach
  Local robust estimation of the Pickands dependence function
  EO1713:  C. Zhou, J. Danielsson
  Why risk is so hard to measure
Session EO640 Room: 206
Survival analysis with copula and frailty models Friday, 09 December 2016   14:35 - 16:15
Chair: Takeshi Emura Organizer: Takeshi Emura
  EO0462:  C. Geerdens, E. Acar, P. Janssen
  A conditional copula model for clustered right-censored event time data
  EO1289:  V. Rondeau, A. Krol
  The use of tumor dynamics and new lesions to predict survival with multivariate joint frailty models
  EO1369:  R. Braekers
  Modelling unbalanced hierarchical survival data using HAC-copula functions
  EO0467:  T. Emura, V. Rondeau, M. Nakatochi, S. Matsui, H. Michimae
  Dynamic prediction according to tumour progression and genetic factors: Meta-analysis with a joint frailty-copula model
Parallel session E: CFE Friday, 09 December 2016 14:35 - 16:15

Session CI685 (Special Invited Session) Room: Graduation hall
Efficiency results in high dimension Friday, 09 December 2016   14:35 - 16:15
Chair: Marc Hallin Organizer: Marc Hallin
  CI0162:  D. Paindaveine, T. Verdebout
  Efficiency in the high-dimensional one-sample location problem
  CI0990:  A. Onatski
  Local asymptotic normality of the spectrum of high-dimensional spiked $F$-ratios
  CI1306:  N. El Karoui
  On high-dimensional robust regression and the bootstrap
Session CO315 Room: 110
Econometrics of art markets Friday, 09 December 2016   14:35 - 16:15
Chair: Douglas Hodgson Organizer: Douglas Hodgson
  CO0488:  D. Hodgson, J. Galbraith
  Statistical prediction of art prices at auction
  CO0493:  J. Prieto-Rodriguez
  A finite mixture model to capture unobserved heterogeneity in art prices: Evidences from surrealism
  CO0947:  A. Duivenvoorden, M. Gertsberg, R. Pownall
  Cultural and creative industries in peripheral areas: A study of the Euregion Maas Rhein area
  CO0948:  M. Gertsberg, R. Pownall, D. De Silva
  Market evolution, bidding strategies, and survival of art dealers
Session CO319 Room: 106
Common features in economics and finance Friday, 09 December 2016   14:35 - 16:15
Chair: Joao Victor Issler Organizer: Joao Victor Issler
  CO1274:  A. Hecq, T. del Barrio Castro
  Testing for deterministic seasonality in mixed-frequency VARs
  CO1291:  J.V. Issler
  Inattention in individual expectations
  CO1326:  J.D. Barbosa
  Asymptotically unbiased estimation of large dynamic panel models
  CO1539:  S. Telg, A. Hecq, J.V. Issler
  Mixed causal-noncausal autoregressions with strictly exogenous regressors for structural expectations equations
Session CO325 Room: 005
Recent advances in high dimension econometrics Friday, 09 December 2016   14:35 - 16:15
Chair: Weining Wang Organizer: Degui Li, Weining Wang
  CO0419:  C. Breunig
  Inference in high-dimensional instrumental variable models
  CO1079:  W. Wang
  Network quantile autoregression
  CO1561:  M. Chen
  Estimation of nonlinear panel models with multiple unobserved effects
  CO0251:  Y. Okhrin
  Vine based modeling of multivariate realized volatility
Session CO333 Room: 003
Advances in financial forecasting Friday, 09 December 2016   14:35 - 16:15
Chair: Ekaterini Panopoulou Organizer: Ekaterini Panopoulou
  CO0249:   , J. Griffin
  Bayesian inference and prediction for high-frequency data using particle filtering
  CO0321:  G. Mitrodima, J. Griffin
  A Bayesian dynamic quantile model for forecasting asset return distributions
  CO0351:  C. Argyropoulos, E. Panopoulou
  Evaluating the performance of risk models: A quantile score approach
  CO0332:  T. Pantelidis, M. Koutsigka
  The combined effect of aggregation and the log transformation on forecasting
Session CO383 Room: 108
Recent advances on financial time series modelling Friday, 09 December 2016   14:35 - 16:15
Chair: Cristina Amado Organizer: Cristina Amado
  CO0744:  E. Zanetti Chini, M. Costola
  The Stukel Copula
  CO1450:  K. Lasak, H. Jelsma
  Forecasting volatility using long memory dynamics: How effective is the use of a realised measure
  CC1710:  C. Amado, T. Terasvirta
  A smooth transition approach to modelling diurnal variation in models of autoregressive conditional duration
  CC1577:  J. Barunik, T. Kley
  Quantile cross-spectral measures of dependence between economic variables
Session CO411 Room: 008
Volatility models and their applications Friday, 09 December 2016   14:35 - 16:15
Chair: Teruo Nakatsuma Organizer: Yasuhiro Omori
  CO0473:  Y. Yamauchi, Y. Omori
  Multivariate stochastic volatility models with realized volatility and pairwise realized correlation
  CO1016:  S. Trojan
  Stochastic volatility with regimes, skew, fat tails, and leverage using returns and realized volatility for inference
  CO1370:  K. Irie, M. West
  Bayesian emulation for optimization: Multi-step portfolio decision analysis
  CC1520:  T. Nakatsuma, T. Toyabe
  Hierarchical Bayes modeling of autocorrelation and intraday seasonality in financial durations
Session CO429 Room: 112
New developments in time-varying parameter models Friday, 09 December 2016   14:35 - 16:15
Chair: Francisco Blasques Organizer: Francisco Blasques
  CO0331:  L. Catania, T. Proietti
  Adaptive combination schemes for point and density forecasts
  CO0367:  D. Delle Monache, F. Venditti, I. Petrella
  Adaptive state space models with applications to the business cycle and financial stress
  CO0758:  R. Ito, A. Harvey, R. Ito
  Dynamic models with too many zeroes
Session CO447 Room: 111
Inflation expectations in low inflation environment Friday, 09 December 2016   14:35 - 16:15
Chair: Maritta Paloviita Organizer: Maritta Paloviita, Tomasz Lyziak
  CO0268:  P. Hubert
  Monetary shocks, central bank projections and policy and macro signals
  CO0323:  G. Kenny, J. Dovern
  The long-term distribution of expected inflation in the euro area: What has changed since the great recession
  CO0409:  T. Lyziak, M. Paloviita
  Drivers of experts' inflation expectations in the euro area
  CO0478:  F. Rumler, M.T. Valderrama
  Financial literacy and inflation expectations
Session CO485 Room: 107
Nowcasting and forecasting macroeconomic trends I Friday, 09 December 2016   14:35 - 16:15
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO0217:  R. Basselier, D. de Antonio Liedo, G. Langenus
  Nowcasting real economic activity in the euro area: Assessing the impact of qualitative surveys
  CO0446:  T. Chernis, R. Sekkel
  A dynamic factor model for nowcasting Canadian GDP growth
  CO0907:  P. Hauber, C. Schumacher
  Going global: The role of international data in nowcasting German GDP
  CO0845:  A. Pestova, M. Mamonov
  On the economic effect of Western sanctions on Russia
Session CO539 Room: Board meeting room II
Recent developments in nonparametric and robust inference Friday, 09 December 2016   14:35 - 16:15
Chair: Jana Jureckova Organizer: Jana Jureckova
  CO0451:  R. Navratil
  Behavior of rank tests and estimates in measurement error models
  CO0532:  J. Picek, M. Schindler
  Generalization of L-moments in the linear regression model
  CO0496:  K. Konecna, I. Horova
  Maximum likelihood method for bandwidth detection of kernel conditional density estimation
  CO0498:  J. Jureckova
  Regression quantile and averaged regression quantile processes
Session CO545 Room: Board meeting room I
Sparse Bayesian factor analysis Friday, 09 December 2016   14:35 - 16:15
Chair: Sylvia Fruehwirth-Schnatter Organizer: Sylvia Fruhwirth-Schnatter
  CO0317:  G. Kastner
  Sparse Bayesian time-varying covariance estimation in many dimensions
  CO1685:  E. George, V. Rockova
  Fast Bayesian factor analysis via automatic rotations to sparsity
  CO1727:  S. Fruehwirth-Schnatter
  Recent advances in sparse Bayesian factor analysis
  CO1747:  S. Kaufmann, M. Pape
  Unique representations of sparse factor models
Session CO632 Room: 002
Empirical macroeconomics Friday, 09 December 2016   14:35 - 16:15
Chair: Kirstin Hubrich Organizer: Kirstin Hubrich
  CO0392:  B. Rossi
  Understanding the sources of macroeconomic uncertainty
  CO1201:  P. Andrade, E. Ghysels, J. Idier
  Tails of inflation forecasts and tales of monetary policy
  CO1218:  K. Hubrich, F. Holm-Hadulla
  Macroeconomic implications of oil price fluctuations: A regime-switching framework for the Euro area
  CO1698:  E. Granziera
  Monetary policy, private debt and financial stability risks
Parallel session F: CMStatistics Friday, 09 December 2016 16:45 - 18:50

Session EI677 (Special Invited Session) Room: Graduation hall
Recent advances in robust statistics Friday, 09 December 2016   16:45 - 18:50
Chair: Juan Romo Organizer: Juan Romo
  EI1320:  C. Croux
  Robust and sparse estimation in multivariate statistics
  EI1701:  M. Riani, A. Cerioli, A. Farcomeni
  Wild adaptive trimming for robust estimation and cluster analysis
  EO1197:  L.A. Garcia-Escudero, F. Dotto, A. Farcomeni, A. Mayo-Iscar
  A feasible algorithm for robust fuzzy clustering throughout trimming and constraints
Session EO013 Room: 308 B
Modelling discrete data: Extensions and diagnostics Friday, 09 December 2016   16:45 - 18:50
Chair: John Hinde Organizer: John Hinde
  EO0776:  R. de Andrade Moral, C. Garcia Borges Demetrio, J. Hinde
  Joint models for repeated counts of predators and prey
  EO0781:  I.A. Rodrigues de Lara, J. Hinde, C.A. Taconeli
  Transition models and tests for stationarity
  EO0511:  M. Higueras, P. Puig, E. Ainsbury
  Count data models for biological dosimetry
  EO0892:  J. Einbeck, P. Wilson
  Assessing deflation or inflation of counts in count data regression
  EO0583:  J. Hinde, W. Bonat
  Poisson-Tweedie regression models for overdispersed, underdispersed, and zero-inflated data
Session EO039 Room: Board meeting room I
Statistical inference for networks Friday, 09 December 2016   16:45 - 18:50
Chair: Jens-Peter Kreiss Organizer: Jens-Peter Kreiss
  EO1224:  S. Olhede, P. Wolfe
  Summaries of network characteristics
  EO1363:  D. Schuhmacher, F. Kueck
  Convergence rate for the degree distribution in a dynamic network model
  EO1367:  J. Niedermeyer
  Estimating the fibre length distribution in fibre reeinforced polymers
  EO1404:  S. Bhattacharyya, S. Chatterjee
  Spectral clustering for dynamic stochastic block models
Session EO041 Room: Board meeting room II
Circular models and its related topics Friday, 09 December 2016   16:45 - 18:50
Chair: Toshihiro Abe Organizer: Toshihiro Abe
  EO0329:  K. Mulder, I. Klugkist
  Bayesian estimation and hypothesis tests for a circular GLM
  EO0334:  J. Cremers, K. Mulder, I. Klugkist
  Interpretation and evaluation of circular effects in projected normal regression models
  EO0519:  F. Lagona
  Hidden Markov models for the analysis of environmental cylindrical data
  EO0716:  T. Verdebout, S. Meintanis
  Maximin tests for symmetry of circular data based on the characteristic function
  EO1046:  T. Shiohama
  Nonlinear state-space modeling for wind speed and direction
Session EO091 Room: 305 A
Model specification tests Friday, 09 December 2016   16:45 - 18:50
Chair: Maria Dolores Jimenez-Gamero Organizer: Maria Dolores Jimenez-Gamero
  EO0294:  A. Cabana, A. Quiroz, A.M. Estrada, J.I. Pena Hidalgo
  Permutation tests in the two-sample problem for functional data
  EO0372:  A. Batsidis, M.D. Jimenez-Gamero, V. Alba-Fernandez
  Testing for the generalized Poisson-inverse Gaussian distribution
  EO0407:  M. Cousido Rocha, J. de Una-Alvarez, J. Hart
  Testing equality of a large number of densities under mixing conditions
  EO0460:  B. Milosevic, M. Obradovic
  Characterizations of symmetry via central order statistics and the applications to goodness-of-fit testing
  EO0901:  N. Mimoto, H. Koul, D. Surgailis
  A goodness-of-fit test for marginal distribution of linear random fields with long memory
Session EO117 Room: 203
Functional data analysis Friday, 09 December 2016   16:45 - 18:50
Chair: Alicia Nieto-Reyes Organizer: Alicia Nieto-Reyes
  EO1178:  V. Panaretos
  Separating large and small scale variation in discretely observed functional data
  EO0589:  S. Van Aelst, H. Cevallos Valdiviezo, M. Salibian-Barrera
  Least trimmed squares for functional principal component analysis
  EO0245:  C.-R. Jiang, L.-H. Chen
  Multi-dimensional functional principal component analysis
  EO1171:  P. Navarro, J.A. Cuesta-Albertos, A. Nieto-Reyes
  Outlier detection using random projections
  EO0819:  N. Acar-Denizli, P. Delicado, G. Basarir, I. Caballero de Frutos
  A simulation-based comparative study of functional linear regression models on remote sensing data
Session EO129 Room: 216
New methodologies in survival and reliability Friday, 09 December 2016   16:45 - 18:50
Chair: Mariangela Zenga Organizer: Mariangela Zenga, Juan Eloy Ruiz-Castro
  EO0284:  N. Caballe Cervigon, I. Torres Castro
  Comparison of condition-based maintenance strategies under different approaches in degradation-threshold-shock models
  EO0551:  J.E. Ruiz-Castro, M. Zenga
  A discrete non-homogeneous Markov model in survival analysis: Application to breast cancer
  EO0991:  I. Barranco-Chamorro, P.L. Luque-Calvo
  A note on the use of Linex loss function in parametric reliability models
  EO1090:  M. Cattelan, G. Cortese
  Regression approaches for competing risks models with time-dependent covariates
  EO1290:  H. Mitchell, A. Marshall, M. Zenga
  Coxian phase-type survival models with a hidden layer
Session EO147 Room: 206
Multivariate analysis and change-point detection Friday, 09 December 2016   16:45 - 18:50
Chair: Daniel Vogel Organizer: Daniel Vogel
  EO0395:  H. Chen
  Change-point detection for locally dependent data
  EO0430:  R. Killick, B. Pickering, I. Eckley
  Multivariate changepoint detection with subsets
  EO0556:  I. Kojadinovic, P. Naveau
  Change-point detection in series of maxima using probability weighted moments
  EO0701:  M. Huskova
  Change point detection in panel data
  EO1205:  S. Schwaar
  Self-weighted change-point test and estimator
Session EO177 Room: 204
Extremes and their real-life applications Friday, 09 December 2016   16:45 - 18:50
Chair: Gilles Stupfler Organizer: Gilles Stupfler
  EO0283:  J. El Methni, L. Gardes, S. Girard
  Frontier estimation based on extreme risk measures
  EO0464:  A. Kiriliouk, H. Rootzen, J. Segers, J. Wadsworth
  Peaks-over-thresholds modelling with multivariate generalized Pareto distributions
  EO0625:  L. Belzile, A. Davison
  Extreme values, from theory to practice
  EO0817:  C. Neves
  On tail trend estimation and testing with application to extreme rainfall
  EO0851:  D. Walshaw
  Risks to the nuclear industry from environmental extremes: Problems in return-level estimation
Session EO201 Room: 217
Applications of empirical measures and empirical processes Friday, 09 December 2016   16:45 - 18:50
Chair: Eric Beutner Organizer: Eric Beutner, Henryk Zaehle
  EO0787:  L. Bordes, E. Beutner, L. Doyen
  Semiparametric consistent estimators for virtual age models under right censoring
  EO1110:  V. Kraetschmer, A. Schied, H. Zaehle
  The concept of local robustness with a view toward statistical estimation and risk management
  EO1199:  P. Nyquist
  Empirical measures as a tool in the analysis of Monte Carlo methods
  EO1339:  S. Volgushev, X. Shao
  A general approach to the analysis of statistics from subsamples
  EO1176:  H. Zaehle, E. Beutner
  A new functional delta-method for the bootstrap
Session EO535 Room: 306 A
Dependence-based clustering methods Friday, 09 December 2016   16:45 - 18:50
Chair: Fabrizio Durante Organizer: Fabrizio Durante, F Marta L Di Lascio
  EC0229:  A.M. Alonso, D. Pena
  A procedure for clustering time series
  EO1113:  G. De Luca, P. Zuccolotto
  Cross-dynamical analysis of the tail dependence structures of classic and fuzzy clusters of stocks
  EO0862:  M. Disegna, F. Durante, P. Durso
  Copula-based fuzzy clustering of spatial time series
  EO0614:  G. Marti, F. Nielsen, P. Donnat
  Empirical convergence rates of dependence-based clustering methods illustrated with financial time series
  EO0842:  S. Romagnoli, E. Bernardi, M. Doti
  The impact of the dependence structure in credit-risk management
Session EO603 Room: 309 B
Time series analysis Friday, 09 December 2016   16:45 - 18:50
Chair: Rainer Dahlhaus Organizer: Rainer Dahlhaus
  EO0813:  A. Luati, K. Abadir, P. Paruolo
  The predictive density of a GARCH(1,1) process
  EO1213:  G. Motta, M. Eichler
  Semi-parametric dynamic factor models for nonstationary time series
  EO0846:  A. van Delft, M. Eichler
  Locally stationary functional time series
  EO0656:  S. Tunyavetchakit, R. Dahlhaus
  Volatility decomposition and estimation in time-changed price models
  EO0829:  J. Peters, B. Scholkopf, S. Bauer
  The arrow of time in multivariate time series
Session EP002 Room: Hall
Poster Session I Friday, 09 December 2016   16:45 - 18:50
Chair: Elena Fernandez Iglesias Organizer: CMStatistics
  EP0888:  M. van Heel
  Asymptotic efficient estimation under random censorship models
  EP1475:  R. Caballero-Aguila, A. Hermoso-Carazo, J. Linares-Perez
  Centralized fusion estimation from multisensor observations with correlated noises and random transmission failures
  EP1487:  A. Hermoso-Carazo, J. Linares-Perez, R. Caballero-Aguila
  Centralized estimators in networked systems with bounded random delays and packet dropouts
  EP1408:  I. Horova, J. Kolacek
  Bandwidth matrix selector for multivariate kernel regression
  EP1476:  J. Linares-Perez, R. Caballero-Aguila, A. Hermoso-Carazo
  Distributed filtering in connected sensor networks from measurements with random matrices and transmission failures
  EP1504:  M.M. Rodriguez Hernandez, J. Lopez-Fidalgo
  D-optimal and quasi-optimal design for the monomer and dimer in the Adair model
  EP1601:  S.R. Martins, L. Costa, P. Oliveira
  Bootstrap control charts for INR control
  EP1626:  S. Park
  Estimation of a bivariate convex function
  EP1650:  B. Cobo, M.D.M. Rueda, P.F. Perri
  Optimal allocation in the item sum technique
  EP1765:  E. Fernandez Iglesias, J. Marquinez, G. Gonzalez-Rodriguez
  Statistical analysis of the relationship between fluvial sediment and coastal dunes in the Cantabrian coast
Parallel session F: CFE Friday, 09 December 2016 16:45 - 18:50

Session CO277 Room: 107
Seasonality Friday, 09 December 2016   16:45 - 18:50
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi, Tucker McElroy
  CO0827:  D. de Antonio Liedo
  Forecasting evaluation in JDemetra+
  CO0916:  G.L. Mazzi, T. Proietti, M. Marczak
  A class of periodic trend models for economic time series
  CO0764:  J. Palate
  Model-based seasonal adjustment in case of seasonal heteroskedasticity
  CO0968:  D. Ladiray
  A X11-based seasonal adjustment method for series with multiple periodicities
  CO0385:  D. Ollech
  Seasonal and calendar adjustment of daily time series
Session CO317 Room: 002
Majorization theory in economics and finance (dedicated to the memory of Prof. Ingram Olkin) Friday, 09 December 2016   16:45 - 18:50
Chair: Rustam Ibragimov Organizer: Artem Prokhorov, Rustam Ibragimov
  CO0439:  F. Roosta, G. Szekely
  Schur properties of convolutions of gamma random variables with applications
  CO0669:  E. Jorswieck
  Schur-convexity of outage capacity for fading wireless channels
  CO0886:  M. Xu, M. Xu
  Cybersecurity risk: A majorization approach
  CO0314:  P. Kattuman, J. Ma
  Dispersion inference in small samples
  CO1031:  R. Ibragimov, A. Prokhorov, J. Walden
  Majorization theory, heavy-tailedness and robustness in economics, finance, econometrics and engineering
Session CO345 Room: 008
Regime change modeling in economics and finance I Friday, 09 December 2016   16:45 - 18:50
Chair: Willi Semmler Organizer: Willi Semmler
  CO1691:  M. Gross, W. Semmler
  Mind the output gap: The disconnect of growth and inflation during recessions \& convex Phillips curves in the Euro area
  CO1679:  W. Semmler, M. Gross
  Inflation targeting, credit flows and financial stability in a regime change model
  CO1583:  E. Gerba, M. Kremer
  CISS in a time-varying environment: How frequent are systemic distress?
  CO1453:  J. Vazquez, S.P. Cassou
  Real-time vs ex-post monetary policy evaluation under opportunistic policy
  CO1416:  M.E. Virgillito, G. Dosi, A. Roventini, M. Pereira
  The effects of labour market reforms upon unemployment and income inequalities: an Agent Based Model
Session CO349 Room: 111
Topics in financial econometrics Friday, 09 December 2016   16:45 - 18:50
Chair: Leopold Soegner Organizer: Leopold Soegner, Joern Sass
  CO0369:  J. Sass, E. Leoff, V. Krishnamurthy, E. Leoff
  Continuous-time regime switching models with jumps and filter-based volatility
  CO0904:  I. Fortin, J. Hlouskova, J. Crespo Cuaresma
  Exchange rate forecasting and the performance of currency portfolios
  CO0765:  K. Poetzelberger
  Properties of estimators of the quantization dimension of distributions
  CO1263:  S. Gur, K. Poetzelberger
  Pricing Parisian option with adaptive Monte Carlo method
  CC0926:  R. Hirk, L. Vana, K. Hornik
  Cross-sectional multivariate ordinal regression models with an application in credit risk
Session CO375 Room: 112
Bayesian copula and time series models Friday, 09 December 2016   16:45 - 18:50
Chair: Rodney Strachan Organizer: Rodney Strachan
  CO0308:  E. Eisenstat, L. Benati, J. Chan, G. Koop
  A new approach to identify noise shocks
  CO0357:  J. Chan
  Large Bayesian VARs: A flexible Kronecker error covariance structure
  CO0366:  R. Strachan, E. Eisenstat, F. Carmignani, R. Tourky
  Computation of continuous, piecewise linear reaction functions
  CO1331:  R. Loaiza Maya, M. Smith, W.O. Maneesoonthorn
  Time series copulas for heteroskedastic data
  CO1332:  W.O. Maneesoonthorn, M. Smith
  Inversion copulas from nonlinear state space models
Session CO395 Room: 005
Dependence modelling in financial econometrics Friday, 09 December 2016   16:45 - 18:50
Chair: Jean-David Fermanian Organizer: Jean-David Fermanian
  CO0160:  J.-D. Fermanian, A. Derumigny
  Some tests of the simplified assumption for conditional copulae models
  CO0354:  B. Beare, J. Seo
  Randomization tests of copula symmetry
  CO0553:  B. Remillard
  Testing hypotheses for the copula of dynamic models
  CO0887:  E. Acar, C. Czado
  Dynamic vine copula models for multivariate time series data
  CO1729:  U. Cherubini
  Marking to market credit derivatives on simultaneous credit events
Session CO399 Room: 205
Advances in Bayesian regression modeling Friday, 09 December 2016   16:45 - 18:50
Chair: Richard Hahn Organizer: Richard Hahn
  CO0436:  C. Hans
  Dependence priors for Bayesian regularized regression
  CO0442:  R. Hahn, C. Carvalho
  A bivariate treed linear model for causal inference from observational studies
  CO0447:  C. Carvalho, R. Hahn, R. McCulloch
  Variable selection in non-linear regression models: A parsimony-utility approach
  CO0476:  D. Rossell, O. Papaspiliopoulos
  Exact Bayesian variable selection and averaging for block-diagonal designs
  CO0632:  V. Rockova
  Particle EM for variable selection
Session CO533 Room: 110
Financial econometrics under uncertainty Friday, 09 December 2016   16:45 - 18:50
Chair: Yan Sun Organizer: Zudi Lu, Yan Sun
  CO0305:  H. Shiraishi, Z. Lu
  Nonparametric estimation for optimal dividend barrier with insurance portfolio
  CO0399:  H. Xie
  Traders structure and the process for speculative assets price
  CO0564:  Q. Zhang
  An information lag component in spread decomposed model
  CO0601:  Y. Sun, G. Lian, Z. Lu, J. Loveland, I. Blackhurst
  Conditional heteroskedasticity of return range processes
  CO1689:  X. Li
  Fuzzy multiplication and its applications in multi-period portfolio selection
Session CO644 Room: 106
Empirical asset pricing and high-frequency financial econometrics Friday, 09 December 2016   16:45 - 18:50
Chair: Roberto Reno Organizer: Cesare Robotti
  CO1106:  F. Penaranda, E. Sentana, E. Manresa
  Empirical evaluation of overspecified asset pricing models
  CO1059:  V. Raponi
  Estimating risk premia using large cross-sections
  CO1282:  D. Pirino, R. Reno, F. Bandi
  Systematic flatness
  CO1310:  R. Reno, A. Kolokolov, M. Caporin
  Systemic cojumps
  CO1344:  N. Zambon, M. Caporin, W. Distaso
  Jump risk and pricing implications
Session CO695 Room: 003
Bayesian methods in macroeconomics and finance Friday, 09 December 2016   16:45 - 18:50
Chair: Nalan Basturk Organizer: Nalan Basturk
  CO0315:  Y. Shapovalova
  Advances in Bayesian computations with application to stochastic volatility models
  CO0343:  A. Pollastri, P. Rodrigues, N.J. Seeger, C. Schlag
  A jumping index of jumping stocks
  CO0347:  S. Grassi, F. Ferroni, S. Grassi, M. Leon Ledesma
  Fundamental shock selection in DSGE models
  CO1069:  A. Bitto
  Extensions in time varying parameter shrinkage models
  CC1558:  A. Borowska, L. Hoogerheide, S.J. Koopman
  Bayesian risk evaluation for long horizons
Session CG390 Room: 108
Contributions in risk analysis and banking Friday, 09 December 2016   16:45 - 18:50
Chair: Rochelle Edge Organizer: CFE
  CC1600:  G. Bormetti, F. Corsi, A.A. Majewski
  Term structure of variance risk premium and returns' predictability
  CC1667:  S. Caton, P. Prakash Pore, O. Creaner
  Changes to banking behaviour in response to regulatory stress testing
  CC1578:  S.H.M. Deininger, D. Maringer
  Channels of sovereign risk spillovers and investment in the manufacturing sector
  CC1483:  R. Edge, J. Berrospide
  The effects of bank capital requirements on bank lending: What can we learn from the post-crisis regulatory reforms
  CC1541:  H. Dakhli
  Towards a new taxonomy of systemic risk measures
Session CG412 Room: S21
Contributions in volatility models and their applications Friday, 09 December 2016   16:45 - 18:50
Chair: Christian Conrad Organizer: CFE
  CC1414:  L. Barbaglia, C. Croux, I. Wilms
  Estimating volatility spillovers: A large t-Vector AutoRegressive approach
  CC1681:  M. Ficura, J. Witzany
  Modeling VIX Index dynamics with Bayesian methods and intraday data
  CC1004:  K. Brzozowska-Rup, A.L. Dawidowicz
  Fitting a Heston's stochastic volatility model to the option quotes on the Warsaw stock exchange
  CC1542:  L. Vacha, J. Barunik, E. Kocenda
  Asymmetric volatility connectedness on forex markets
Parallel session G: CMStatistics Saturday, 10 December 2016 08:40 - 10:20

Session EO011 Room: 007
Bayesian biostatistics Saturday, 10 December 2016   08:40 - 10:20
Chair: Timothy Johnson Organizer: Michael Daniels
  EO0541:  J. Roy
  Flexible Bayesian models for causal inference and missing data
  EO1156:  C. Wang
  A Bayesian non-parametric causal inference model for comparative effectiveness research
  EO0684:  A. Linero
  Bayesian nonparametric analysis of longitudinal studies in the presence of informative missingness
  EO0727:  F. Stingo
  Bayesian approaches for integrative genomics
Session EO017 Room: 211
Predictive inference Saturday, 10 December 2016   08:40 - 10:20
Chair: Fumiyasu Komaki Organizer: Fumiyasu Komaki
  EO0337:  E. Marchand
  Predictive density estimation: Recent results
  EO0816:  M. Kojima
  Relationship between minimax predictive densities under Kullback-Leibler risk and conditional regret
  EO0823:  G. Mukherjee
  Minimax optimality of sparse Bayes predictive density estimates
  EO0836:  P. Vidoni
  Improved simultaneous prediction intervals for autoregressive models
Session EO035 Room: 201
Recent development in nonparametric statistics and its applications Saturday, 10 December 2016   08:40 - 10:20
Chair: Xin Zhang Organizer: Xiangrong Yin
  EO0398:  Q. Mai
  On the estimation of ultra-high dimensional semiparametric Gaussian copula models
  EO1038:  W. Luo, L. Xue, J. Yao
  Sufficient directional forecasting using factor models
  EO0979:  L. Qian, S. Wang
  Subject-wise empirical likelihood inference in partial linear models for longitudinal data
Session EO073 Room: 202
Statistical applications in genetics Saturday, 10 December 2016   08:40 - 10:20
Chair: Florian Frommlet Organizer: Florian Frommlet
  EO0608:  J. Claesen, T. Burzykowski
  Hidden Markov models for QTL-mapping in haploid and diploid yeast
  EO0609:  M. Gallopin, E. Devijver
  Model selection for network inference from gene expression data with small sample size
  EO0770:  F. Pflug, A. von Haeseler
  Stochastic modelling of PCR to estimate and correct for unobserved molecules in quantitative NGS experiments
  EO1192:  M. Bogdan, D. Brzyski, C. Peterson, P. Sobczyk, E. Candes, C. Sabatti
  Controlling the rate of GWAS false discoveries
Session EO101 Room: S22
The Stein method in statistics Saturday, 10 December 2016   08:40 - 10:20
Chair: Christophe Ley Organizer: Christophe Ley
  EO0441:  Y. Swan, B. Arras, G. Reinert
  Stein's method for noncentral chi-squared approximation
  EO0510:  F.-X. Briol, C. Oates, J. Cockayne, M. Girolami
  Monte Carlo integration using Stein's method
  EO0520:  A. Anastasiou
  Bounds for the normal approximation of the maximum likelihood estimator
Session EO107 Room: 209
Recent advances in complex data modeling and computational methods Saturday, 10 December 2016   08:40 - 10:20
Chair: Tsung-I Lin Organizer: Tsung-I Lin
  EO0539:  A. Roy, C. Coelho
  Hypothesis test of a block compound symmetric covariance matrix for two-level multivariate data
  EO0680:  M. Castro
  Likelihood-based inference for Tobit confirmatory factor analysis using the multivariate Student-$t$ distribution
  EO0797:  T. von Rosen, D. von Rosen
  Reduced rank analysis in GMANOVA-MANOVA models
  EO0875:  Z. Zhu
  Spatial Bayesian hierarchical model for small area estimation of proportions with constraint
Session EO111 Room: 205
Graphical models: dependence in networks Saturday, 10 December 2016   08:40 - 10:20
Chair: Giovanni Maria Marchetti Organizer: Alberto Roverato, Giovanni Maria Marchetti
  EO1089:  W. Bergsma
  Testing conditional independence
  EO0867:  R. Castelo, A. Roverato
  The networked partial correlation and its application to the analysis of genetic interactions
  EO1049:  V. Vinciotti, E. Tosetti, F. Moscone
  Credit risk model with network effects for a large panel of companies
  EO1352:  P. Zwiernik
  Sparsity in Gaussian totally positive distributions
Session EO125 Room: 215
Detecting structural changes in multidimensional data Saturday, 10 December 2016   08:40 - 10:20
Chair: Zuzana Praskova Organizer: Zuzana Praskova
  EO0732:  M. Jirak
  Uniform change point tests in high dimension
  EO1044:  J. Antoch
  Detecting changes in panel data
  EO1018:  Z. Praskova
  Change point detection in a dynamic panel data model
  EO1301:  A. Steland
  Detection of changes and inference for high-dimensional covariance matrices
Session EO139 Room: 207
Recent developments of statistical methods for complex longitudinal data Saturday, 10 December 2016   08:40 - 10:20
Chair: Yanqing Sun Organizer: Yanqing Sun
  EO0164:  J. Sun
  Regression analysis of mixed and incomplete recurrent event data
  EO0339:  L. Wang, F. Wang, P. Song
  Fused lasso with the adaptation of parameter ordering in combining multiple studies with repeated measurements
  EO0652:  H. Wu
  Dynamic predictions of disease comorbidity using longitudinal Big Data from EHR systems
  EO0806:  A. Qu
  Individualized subgroup variable selection
Session EO153 Room: 213
Recent advances in quantitle regression and survival analysis Saturday, 10 December 2016   08:40 - 10:20
Chair: Roel Braekers Organizer: Liming Xiang, Roel Braekers
  EO0543:  G. Li
  Conditional quantile inference for generalized autoregressive conditional heteroscedastic models: A hybrid approach
  EO1387:  L. Xiang, S. Wang
  Two layer EM algorithm for ALD mixture regression models: A new solution to composite quantile regression
  EO0592:  G. Dikta
  Informative censoring models
  EO0635:  I. Van Keilegom, G. Claeskens
  The focused information criterion for a mixture cure model
Session EO157 Room: S23
Risk measures: Theoretical and practical aspects Saturday, 10 December 2016   08:40 - 10:20
Chair: Elena Di Bernardino Organizer: Elena Di Bernardino
  EO0207:  F. Palacios Rodriguez, E. Di Bernardino
  Extreme estimation of multivariate return levels based on maximization problems
  EO0757:  R.A. Torres Diaz, E. Di Bernardino, H. Laniado Rodas, R. Lillo
  Estimation of directional multivariate extremes at high level
  EO1186:  F. Bellini, B. Klar, A. Mueller
  Expectiles, omega ratios and stochastic ordering
  EO1297:  T. Laloe, E. Di Bernardino, R. Servien
  Estimating covariate functions associated to multivariate risks: A level set approach
Session EO161 Room: 206
Robust methods for reliable financial decision making Saturday, 10 December 2016   08:40 - 10:20
Chair: Marjan Wauters Organizer: Kris Boudt
  EO0880:  K. Bluteau, K. Boudt, D. Ardia
  Aggregating the panel of daily textual sentiment for sparse forecasting of economic growth
  EO0852:  D. Cornilly, T. Verdonck, K. Boudt
  Estimation of Higher Order Comoments using Unobserved Factors
  EO0824:  G. Nguyen, K. Boudt, D. Ardia
  Beyond risk-based portfolios: Balancing performance and risk contributions in asset allocation
  EO0843:  M. Wauters, K. Boudt, D. Ardia
  Block bootstrap impact evaluation of the equity portfolio choice on CPPI performance
Session EO167 Room: S24
Big data analytics and its applications in biomedicine Saturday, 10 December 2016   08:40 - 10:20
Chair: Yi Li Organizer: Ejaz Ahmed
  EO0274:  Y. Li
  Classification with ultrahigh-dimensional features
  EO0286:  Y. Wang
  Smoothing spline mixed-effects density models for clustered data
  EO1381:  D. Nguyen
  Measurement error case series model of infection-cardiovascular risk: Application to database of patients on dialysis
Session EO173 Room: 217
Deterioration models for reliability Saturday, 10 December 2016   08:40 - 10:20
Chair: Sophie Mercier Organizer: Sophie Mercier
  EO0223:  C. Sanguesa
  Log-concavity for shock models with applications in inventory models
  EO0494:  G. Pulcini, M. Giorgio
  Where statistical tools are unable to choose between two degradation models based on different physical assumptions
  EO0643:  I. Torres Castro
  Computational tools for the calculus of some performance measures in a degradation system
  EO0923:  F. Postiglione
  Some advancements on degradation empirical models for reliability evaluation of solid oxide fuel cells
Session EO195 Room: 208
Bayesian modeling and applications Saturday, 10 December 2016   08:40 - 10:20
Chair: Christopher Hans Organizer: Christopher Hans
  EO0438:  D. van Dyk, S. Algeri, J. Conrad, D. Jones
  Quantifying discovery in astrophysics and particle physics
  EO0465:  S. Jensen, A. Normoyle
  Bayesian clustering of player styles for multiplayer games
  EO1165:  J. Hill, V. Dorie, U. Shalit, D. Cervone, M. Scott
  Black box versus do-it-yourself methods for causal inference: Lessons learned from a data analysis competition
  EO0914:  A. Volfovsky
  Analysis of ordinal non-numeric data: networks and causal inference
Session EO213 Room: 214
Building optimal experimental designs Saturday, 10 December 2016   08:40 - 10:20
Chair: Victor Casero-Alonso Organizer: Jesus Lopez-Fidalgo, Victor Casero-Alonso
  EO0485:  R. Harman, L. Filova
  Methods of computing efficient exact designs based on optimal approximate designs
  EO0621:  J.M. Rodriguez-Diaz
  Computing $c$-optimal designs for non-independent observations
  EO1078:  J. Moler
  Some tools to measure the performance of adaptive dose finding experiments
  EO0876:  R. Schwabe
  Building optimal designs of experiments in multi-factor settings from their univariate counter-parts
Session EO215 Room: 006
Software for high-performance and big-data statistics and machine learning Saturday, 10 December 2016   08:40 - 10:20
Chair: Alireza Mahani Organizer: Alireza Mahani
  EO0240:  A. Hasan, S. Mansur, A. Mahani
  Combining data and task parallelism in big-data analytics platforms
  EO0634:  H. Ltaief
  HiCMA: Hierarchical computations on manycore architectures
  EO1182:  A. Mahani, A. Hasan
  High-performance maximum likelihood estimation of multinomial logit regression for big-data applications
  EO0930:  A. Posekany, S. Fruehwirth-Schnatter
  The Yin-Yang method for merging parallel MCMC output, with application to Austrian stroke data
Session EO467 Room: 002
Dimension reduction and robustness in causal inference Saturday, 10 December 2016   08:40 - 10:20
Chair: Xavier de Luna Organizer: Xavier De Luna
  EO0706:  O. Dukes, S. Vansteelandt, T. Martinussen
  Doubly-robust estimation of semiparametric additive hazards models
  EO0999:  J. Haggstrom
  Data-driven confounder selection via Markov and Bayesian networks
  EO1148:  M. Schnitzer, M. Cefalu
  Collaborative targeted learning using regression shrinkage
  EO0679:  Y. Zhu, W. Luo
  Matching using sufficient dimension reduction for causal inference
Session EO513 Room: 204
Multivariate extremes Saturday, 10 December 2016   08:40 - 10:20
Chair: Miguel de Carvalho Organizer: Miguel de Carvalho
  EO0471:  M. de Carvalho, S. Padoan
  Angular volatility for multivariate extremes
  EO0746:  I. Antoniano-Villalobos, G. Marcon, S. Padoan
  Bayesian inference for the extremal dependence
  EO0821:  D. Castro-Camilo, R. Huser
  Flexible modeling of non-stationary spatial extremes over large heterogeneous regions using factor copula models
  EO0956:  L. Mhalla, V. Chavez-Demoulin, P. Naveau
  Non linear models for extremal dependence
Session EO523 Room: 101
Inference and applications of dynamic and time-dependent networks Saturday, 10 December 2016   08:40 - 10:20
Chair: Yulia Gel Organizer: Yulia Gel
  EO0454:  M. Schweinberger
  High-dimensional multivariate time series with additional structure
  EO0805:  A. Galstyan
  Latent space models for complex networks
  EO1350:  L. Peel
  Community change-point detection in time-dependent networks
  EO1366:  Y. Gel
  Anomaly detection in time-evolving networks using tensor spectrum
Session EO541 Room: 203
High-dimensional or multivariate functional data analysis Saturday, 10 December 2016   08:40 - 10:20
Chair: Juhyun Park Organizer: Juhyun Park
  EO0333:  J. Ahn, M.H. Lee, J.A. Lee, H.C. Chung
  Outlier detection of high dimensional data via dual rotations
  EO0690:  S. Barbosa, N. Brunel
  Estimation of ecological networks from multidimensional functional data with optimal control
  EO0736:  H. Zhu, Y. Sun, F. Wei
  Bayesian region selection in functional regression
  EO1345:  L. Sangalli, M.S. Bernardi, M. Carey, J. Ramsay
  Smoothing of surfaces and spatial fields with anisotropy using penalties involving partial differential operators
Session EO561 Room: 216
Modern statistical methods for analysis of complex data Saturday, 10 December 2016   08:40 - 10:20
Chair: Alexander Aue Organizer: Shujie Ma
  EO0663:  A. Aue, H. Liu, D. Paul
  Spectral analysis of high-dimensional time series with applications to the mean-variance frontier
  EO1294:  M. Yuan
  Combined hypothesis testing on graphs with applications to gene set enrichment analysis
  EO1303:  H. Xiao
  On the maximum cross correlations under high dimension
  EO1321:  R. Lund
  Bayesian multiple changepoint detection
Session EO569 Room: 210
High and infinite dimensional time series analysis Saturday, 10 December 2016   08:40 - 10:20
Chair: Pramita Bagchi Organizer: Pramita Bagchi
  EO0617:  H. Maeng, P. Fryzlewicz
  A flexible regression model for functional time series
  EO0993:  S. Bhattacharya, S. Stoev
  An open source architecture for online monitoring, statistical analysis and forensics of multi-gigabit streams
  EO1172:  G. Hahn
  Parameter estimation and inference in a continuous piecewise linear regression model
  EO1169:  G. Rice
  Inference for the cross covariance of stationary functional time series
Session EO727 Room: 212
Dependence models and copulas I Saturday, 10 December 2016   08:40 - 10:20
Chair: Fabrizio Durante Organizer: Fabrizio Durante, Wolfgang Trutschnig
  EO1050:  H. Tsukahara, J. Segers, M. Sibuya
  The empirical beta copula and its applications
  EO0172:  F. Spanhel
  Modeling the serial dependence of financial returns with copulas
  EO1746:  K. Herrmann
  Using the Rosenblatt transformation to compute joint probabilities for random vectors
Parallel session G: CFE Saturday, 10 December 2016 08:40 - 10:20

Session CI681 (Special Invited Session) Room: Graduation hall
Noncausal time series models Saturday, 10 December 2016   08:40 - 10:20
Chair: Alain Hecq Organizer: Alain Hecq
  CI1280:  G. Cubadda, A. Hecq, L. Lieb, S. Telg
  Detecting co-movements in asymmetric cycles: A noncausal time series approach
  CI1287:  M. Lanne, J. Luoto
  A new time-varying parameter autoregressive model for U.S. inflation expectations
  CI1403:  C. Gourieroux, J. Jasiak
  Semi-parametric estimation of noncausal vector autoregression
Session CO287 Room: 102
Bayesian methods in econometrics Saturday, 10 December 2016   08:40 - 10:20
Chair: Enrique ter Horst Organizer: Jonathan Stroud
  CO0557:  J. Maheu, J. Griffin, J. Liu
  Bayesian nonparametric estimation of ex-post variance
  CO0753:  M. Kalli, J. Griffin
  Bayesian nonparametric time varying vector autoregressive models
  CO1468:  E. ter Horst, R. Casarin, G. Molina
  A Bayesian time-varying approach to risk neutral density estimation
Session CO327 Room: 112
Recent advances in nonlinear and nonstationary time series Saturday, 10 December 2016   08:40 - 10:20
Chair: Weining Wang Organizer: Degui Li, Weining Wang
  CO0181:  T. Cheng
  Functional coefficient time series models with trending regressors
  CO0188:  D. Wied, K. Pape, P. Galeano
  Monitoring multivariate variance changes
  CO0802:  J. Sun, W. Cui, H. Cheng
  RKHS-based approach to SCAD-penalized regression in high-dimensional partially linear models
Session CO331 Room: 103
Regional macroeconomics Saturday, 10 December 2016   08:40 - 10:20
Chair: Michael Owyang Organizer: Michael Owyang
  CO0202:  W. Dupor, B. Dupor
  Local and aggregate fiscal policy multipliers
  CO0203:  A. Guisinger, M. Owyang
  A state-level analysis of Okun's law
  CO0209:  L. Jackson Young, K. Kliesen, M. Owyang
  Assessing state and national labor market conditions
  CO1001:  M. Owyang, H. Shell
  Regional beveridge curves
Session CO341 Room: 105
Forecasting I Saturday, 10 December 2016   08:40 - 10:20
Chair: Francesco Ravazzolo Organizer: Francesco Ravazzolo
  CO0237:  J. Vespignani
  A new monthly indicator of global real economic activity
  CO1100:  C. Frey
  Using analysts' forecasts for stock predictions: An entropic tilting approach
  CO1490:  A. Ahrens
  Spatio-temporal diffusion of US house prices with unknown spatial weights
  CC0259:  E. Pavlidis, A. Yusupova
  Forecasting UK house prices during turbulent periods
Session CO369 Room: 104
Inference in time series volatility models Saturday, 10 December 2016   08:40 - 10:20
Chair: Jean-Michel Zakoian Organizer: Jean-Michel Zakoian
  CO0587:  E. Gourier, M. Leippold, C. Bardgett
  Inferring volatility dynamics and risk premia from the S\& P 500 and VIX markets
  CO1210:  S. Darolles, S. Laurent, C. Francq
  Cholesky-GARCH, theory and application to conditional beta
  CO1175:  C. Francq, J.-M. Zakoian, O. Wintenberger
  Goodness-of-fit tests for log and exponential GARCH models
  CO1447:  S. Fries, J.-M. Zakoian
  Noncausal heavy-tailed AR($p$) processes
Session CO387 Room: 111
Persistence and asymmetries in financial time series Saturday, 10 December 2016   08:40 - 10:20
Chair: Josu Arteche Organizer: Josu Arteche
  CO0786:  A. Perez Espartero, A. Carnero
  Outliers and misleading leverage effects in asymmetric GARCH-type models
  CO0610:  M. Will, M. Demetrescu, P. Sibbertsen
  A robust LM test for long memory
  CO0615:  P. Grau
  Assessment of Value-at-Risk estimation of long and short-memory GARCH-class using filtered historical simulation methods
  CO0456:  J. Arteche, J. Garcia
  Estimation of the volatility in SV models using singular spectrum analysis
Session CO487 Room: 107
Business cycle analysis and forecasting Saturday, 10 December 2016   08:40 - 10:20
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO0422:  A. Gomez-Loscos, L. Gadea, D. Leiva-Leon
  The evolution of regional economic interlinkages in Europe
  CO0469:  S. Pollock
  Stochastic processes in discrete and continuous time
  CO0931:  A. Banerjee, M. Marcellino, I. Masten
  Structural analysis using factor augmented VARs and three-pass regression filters
  CO1105:  R. Ruggeri Cannata, G.L. Mazzi, M. Billio
  A multivariate system of turning points detection for all Euro area countries
Session CO565 Room: Board meeting room I
Jumps and volatility Saturday, 10 December 2016   08:40 - 10:20
Chair: Eduardo Rossi Organizer: Eduardo Rossi
  CO0572:  E. Rossi, P. Santucci de Magistris
  Models for jumps in trading volume
  CO0578:  P. Santucci de Magistris, E. Rossi
  A model for jumps in volatility and volume
  CO0980:  X. Yao, M. Izzeldin
  A model-free option-implied volatility for forecasting returns and realized volatility
  CO1335:  A. Rossi, C. Planas, E. Rossi
  Regimes in stochastic volatility
Session CO567 Room: Board meeting room II
Persistence change and structural breaks Saturday, 10 December 2016   08:40 - 10:20
Chair: Paulo Rodrigues Organizer: Paulo Rodrigues
  CO0393:  N. Salish
  Testing shock induced asymmetries under unknown form of conditional heteroskedastisity
  CO0612:  J. Nicolau
  A structural change test in duration of bull and bear markets
  CO0697:  L.F. Martins, P. Rodrigues
  Tests for segmented cointegration
  CO1189:  P. Rodrigues, U. Hassler, M. Hosseinkouchack, A. Rubia
  CUSUM based ratio tests for parameter constancy: With application to variance stability
Session CO636 Room: 106
Continuous-time and high frequency econometrics Saturday, 10 December 2016   08:40 - 10:20
Chair: Ruijun Bu Organizer: Ruijun Bu
  CO0673:  A. Taamouti
  Term structure of forward moments and equity premium predictability
  CO0346:  F. Jawadi, L. Wael, Z. Ftiti
  Modelling the relationship between future energy intraday volatility and trading volume with wavelet
  CO0735:  M. Kim
  Forecasting low-frequency return density using high-frequency information: MC simulation and FAR
  CO0326:  J. Cheng, R. Bu
  Analysing market volatility dynamics: Evidence from a latent factor-based regime-switching continuous-time model
Session CC735 Room: 109
Contributions in macroeconometrics and time series I Saturday, 10 December 2016   08:40 - 10:20
Chair: Thanasis Stengos Organizer: CFE
  CC1457:  M. Ellington, C. Milas
  Evolving macroeconomic dynamics: A time-varying structural approach
  CC1642:  L. Hanus, L. Vacha
  Frequency response analysis of monetary policy transmission
  CC1517:  M.V. Geraci, J.-Y. Gnabo
  Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions
  CC0401:  B. Kwak, Y. Chang
  Endogenous monetary-fiscal regime change in the United States
Parallel session H: CMStatistics Saturday, 10 December 2016 10:50 - 12:55

Session EO007 Room: 201
Model selection in high dimensions Saturday, 10 December 2016   10:50 - 12:55
Chair: Malgorzata Bogdan Organizer: Malgorzata Bogdan
  EO1219:  W. Su, M. Bogdan, E. van den Berg, C. Sabatti, E. Candes
  Multiple testing and adaptive estimation via the sorted L-one norm
  EO0777:  F. Frommlet, M. Bogdan
  Some optimality properties of FDR controlling modifications of AIC and BIC in high dimensions
  EO0397:  L. Janson
  Model-free high-dimensional false discovery rate control with knockoffs
  EO1240:  P. Sobczyk, M. Bogdan, J. Josse
  Bayesian dimensionality reduction with PCA using penalized semi-integrated likelihood
Session EO045 Room: 211
Statistical design, modelling and inference Saturday, 10 December 2016   10:50 - 12:55
Chair: Apostolos Batsidis Organizer: Apostolos Batsidis, Polychronis Economou
  EO0724:  M.D. Jimenez-Gamero, J.-C. Pardo-Fernandez
  Testing for the conditional variance in nonparametric regression models
  EO0278:  L. Machado
  Estimation of multivariate distributions in censored gap times
  EO0714:  S. Scolas, A. El Ghouch, C. Legrand
  Goodness-of-fit in mixture cure models with interval-censoring
  EO0423:  P. Jodra-Esteban
  A lifetime distribution with increasing failure rate
  EO0660:  P. Economou
  Joint modelling of diagnosis and survival time
Session EO053 Room: 209
Theoretical foundations of big data Saturday, 10 December 2016   10:50 - 12:55
Chair: Guang Cheng Organizer: Guang Cheng
  EO0353:  X. Huo
  A distributed estimator based on a one-step approach
  EO0688:  C. Durot
  Divide and conquer in non-standard problems and the super-efficiency phenomenon
  EO1295:  Z. Shang
  Generalized cross-validation in divide-and-conquer
  EO1731:  C.-H. Zhang
  Adaptive prediction in additive models
Session EO057 Room: 213
Bayesian methods for dependent data Saturday, 10 December 2016   10:50 - 12:55
Chair: Antonio Linero Organizer: Bertrand Clarke
  EO0182:  J. Lee
  Dependent Bayesian density estimation with species sampling models
  EO0234:  V. Berrocal
  Treed covariate segmentation models for soil carbon and other nonstationary spatial processes
  EO0717:  Y. Zhou, A. Finley, S. Banerjee, B. Cook
  Process-based hierarchical models for coupling high-dimensional LiDAR and forest variables over large geographic domains
  EO0896:  J. Bradley, S. Holan, C. Wikle
  Models for high-dimensional non-Gaussian dependent data
Session EO065 Room: 212
Dependence models and copulas II Saturday, 10 December 2016   10:50 - 12:55
Chair: Fabrizio Durante Organizer: Fabrizio Durante, Wolfgang Trutschnig
  EO0231:  J. Navarro
  Dependence models and copulas in coherent systems
  EO0289:  R. Rodriguez-Grinolo, J.-M. Fernandez-Ponce, P. Franco
  Stochastic properties of conditionally dependent frailty models
  EO1048:  W. Trutschnig
  Distributions with fixed marginals maximizing the mass of the endograph and the graph of a function
  EO0571:  M. Schreyer, W. Trutschnig, J. Fernandez Sanchez
  Some results on two-dimensional extreme-value copulas
  EO0662:  P. Jaworski
  CoVaR for asymptotically dependent losses
Session EO081 Room: 204
Rare and extreme events in climatology Saturday, 10 December 2016   10:50 - 12:55
Chair: Ivette Gomes Organizer: Ivette Gomes
  EO0453:  D. Faranda
  Extreme events of the mid-latitude atmospheric circulation: A dynamical systems perspective
  EO0538:  A. Freitas
  Rare events point processes for chaotic dynamical systems
  EO0647:  J. Freitas
  Area and peaks over thresholds processes dynamically generated
  EO1183:  M. Neves
  Extreme precipitation data in the North of Portugal: A spatial analysis application
  EO0860:  P. Tencaliec, C. Prieur, A.C. Favre, P. Naveau
  Modeling full range rainfall intensities using sparse semi-parametric mixture models
Session EO083 Room: 203
Statistics for Hilbert spaces Saturday, 10 December 2016   10:50 - 12:55
Chair: Gil Gonzalez-Rodriguez Organizer: Gil Gonzalez-Rodriguez
  EO0900:  M. Yamamoto
  Dimension-reduced clustering of functional data via variance-penalized optimization
  EO0658:  X. Qiao, P. Basu, C. Leng
  Dynamic functional covariance models
  EO0413:  I. Epifanio
  Functional archetype and archetypoid analysis
  EO0720:  M. Reimherr, H. Choi
  Confidence regions for functional parameter estimates
  EO1118:  S. Greven, C. Happ
  Multivariate functional principal component analysis for data observed on different (dimensional) domains
Session EO103 Room: 007
Bayesian semi-and nonparametric modelling I Saturday, 10 December 2016   10:50 - 12:55
Chair: Antonio Lijoi Organizer: Matteo Ruggiero, Antonio Lijoi, Li Ma
  EO0190:  J. Schmidt-Hieber
  Frequentist analysis of the posterior for high-dimensional models
  EO0682:  L. Nguyen
  Posterior contraction of the population polytope in finite admixture models
  EO0590:  F. Bassetti, R. Casarin, F. Ravazzolo
  Bayesian nonparametric calibration and combination of predictive distributions
  EO1225:  C. Villa
  Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations
  EO1775:  W.W. Yoo, S. Ghoshal
  Posterior contraction and credible sets for multivariate regression mode with two-stage improvements
Session EO145 Room: 003
Statistical methods for actuarial sciences and finance Saturday, 10 December 2016   10:50 - 12:55
Chair: Tim Verdonck Organizer: Tim Verdonck
  EO0285:  E. Valdez
  Regression modeling for the valuation of large variable annuity portfolios
  EC1674:  E. Beutner, S. Reese, J.-P. Urbain
  Identifiability of plug-in age-period-cohort models of Lee-Carter type
  EO1264:  V. Asimit, V. Bignozzi, K.C. Cheung, J. Hu, E.-S. Kim
  Robust and Pareto optimality of insurance contracts
  EO0273:  M. Petracco, F. Di Girolamo, A. Pagano
  On CRDIV and banks' simultaneous defaults
  EO1228:  D. Linders, S. van Bilsen
  A new approach for buffering stock returns in investment-linked annuity contracts
Session EO185 Room: 202
Dealing with financial time series Saturday, 10 December 2016   10:50 - 12:55
Chair: Pedro Galeano Organizer: Pedro Galeano
  EO0221:  H. Nguyen, C. Ausin, P. Galeano
  Modelling high dimensional stock dependence using factor copulas
  EO0368:  C. Cappelli, F. Di Iorio
  A robust theoretical regression tree to detect structural breaks in financial time series
  EO0672:  M. Danielova Zaharieva
  Bayesian semiparametric multivariate stochastic volatility
  EO1010:  A. Virbickaite, H. Lopes
  Non-parametric mixture copula models
  EC1153:  A.E. da Silva Neto, J. Gonzalo, J.-Y. Pitarakis
  Out-of-sample forecasting performance of predictive regression models
Session EO187 Room: 110
Applications of times series in energy and economics Saturday, 10 December 2016   10:50 - 12:55
Chair: Carolina Garcia-Martos Organizer: Carolina Garcia-Martos
  EO0771:  E. Senra, J. Bogalo, P. Poncela
  Assessing the properties of circulant SSA for signal extraction
  EO1130:  R. Bolado Lavin
  Estimation of 1-in-20 year national gas peak daily demand in some European countries
  EO1726:  R. Ortells, M. Ortego, J.J. Egozcue
  Compositional analysis on econometric time series
  EO1699:  F. Pierri, C. Caroni
  Bankruptcy prediction by survival models based on current and lagged values of time-varying financial data
  EO1207:  C. Garcia-Martos, M. Ramirez Jaen, M.J. Sanchez Naranjo
  Multivariate time series modeling with missing data: Application to the air quality of Madrid
Session EO203 Room: 206
Advances in robustness for functional and complex data Saturday, 10 December 2016   10:50 - 12:55
Chair: Graciela Boente Organizer: Graciela Boente
  EO0530:  I.R. Costa Lima, N. Billor, G. Cao
  Robust simultaneous inference for the mean function of functional data
  EO0664:  E. Smucler
  Asymptotics for M-estimators in linear models with increasing dimension
  EO0864:  A.M. Bianco, C. Agostinelli, G. Boente
  Robust procedures for single index models with asymmetric errors
  EO1358:  Y. Wang, S. Van Aelst
  Robust variable screening for regression using factor profiling
  EO1396:  A. Perez Gonzalez, G. Boente, A.M. Bianco, W. Gonzalez-Manteiga
  Marginal estimation under a partially linear model with missing observations
Session EO217 Room: 006
Graphical tools for statistical data analysis Saturday, 10 December 2016   10:50 - 12:55
Chair: Lola Martinez-Miranda Organizer: Lola Martinez-Miranda
  EO0159:  C. Park, Y. Jeon, K.-H. Kang
  SiZer for untraditional data
  EO0282:  K. Grimm
  Choosing graphics for exploring data: Scagnostics and interaction
  EO0336:  J.E. Chacon
  Graphical tools for modal clustering diagnostics
  EO0415:  M. Oliveira, R. Crujeiras, A. Rodriguez-Casal
  Statistical significance of features using CircSiZer
  EO1131:  H. Hofmann, D. Cook
  Visual inference: Statistics at street corners
Session EO233 Room: 205
Bayesian computation with complex data Saturday, 10 December 2016   10:50 - 12:55
Chair: David van Dyk Organizer: David van Dyk
  EO0461:  D.-H. Lau, A. Gandy
  RMCMC: Safe, efficient updating of Bayesian models
  EO0506:  J. Murray
  Probabilistic record linkage and deduplication after indexing, blocking, and filtering
  EO0636:  S. Kurtek
  A geometric approach to Bayesian alignment of functional data
  EO0703:  M. Taddy
  Deep learning for demand
  EO0729:  J. Niemi, W. Landau
  Parallelized Markov chain Monte Carlo algorithms utilizing GPUs with an application to RNAseq data analysis
Session EO237 Room: 214
Recent applications and methods in directional statistics Saturday, 10 December 2016   10:50 - 12:55
Chair: Eduardo Garcia-Portugues Organizer: Eduardo Garcia-Portugues
  EO0793:  W. Boomsma, E. Wood, E. Garcia-Portugues
  Rank-regularized estimation of mixtures of multivariate von Mises
  EO0881:  J. Ameijeiras-Alonso, C. Ley, A. Pewsey, T. Verdebout
  Simple optimal tests for reflective symmetry of circular data
  EO1097:  C. Fallaize
  Bayesian inference and model selection in directional statistics
  EO1070:  S. Fensore, M. Di Marzio, A. Panzera, C.C. Taylor
  Local trigonometric moments for circular density estimation
Session EO249 Room: 207
Methods and applications of copula modeling Saturday, 10 December 2016   10:50 - 12:55
Chair: Yichen Qin Organizer: Jun Yan
  EO0507:  P. Krupskiy, R. Huser, M. Genton
  Factor copula models for replicated spatial data
  EO1174:  P. Asadi, A. Davison, S. Engelke
  Extremes on river networks
  EO1099:  Y. Li, Y. Li, Y. Qin, J. Yan
  Copula modeling for data with ties
  EO1002:  Y. Qin, Y. Li, J. Yan, S. Xiang
  Nonparametric estimation for extreme-value copula functions via constrained spline regressions
  EO0894:  P. Shi, L. Yang
  Insurance experience rating using mixed D-vine copulas
Session EO253 Room: 002
Recent advances in the analysis of long memory time series Saturday, 10 December 2016   10:50 - 12:55
Chair: Rebecca Killick Organizer: Marina Knight, Rebecca Killick
  EO1136:  N. Watkins, C. Franzke
  Long range dependence, fractional renewal models and Bayesian inference
  EO0215:  C. Leschinski, P. Sibbertsen
  Multivariate spurious long memory and a robust local Whittle estimator
  EO0645:  B. Norwood, R. Killick
  Long memory and changepoint models: A spectral classication procedure
  EO0737:  X. Li, J. Davidson
  Strict stationarity, persistence and volatility forecasting in ARCH($\infty$) processes
Session EO469 Room: 216
Modern approaches to analysis of correlated data Saturday, 10 December 2016   10:50 - 12:55
Chair: Hyokyoung Grace Hong Organizer: Hyokyoung Grace Hong
  EO0250:  H.G. Hong, J. Kang, Y. Li
  Conditional screening for survival data
  EO0715:  Y. Lee, A. Landgraf
  Generalized principal component analysis: Dimensionality reduction through the projection of natural parameters
  EO0801:  J. Lim
  Permutation based test on covariance separability
  EO1338:  I. Gaynanova, G. Li
  Integrative association analysis of multiple heterogeneous data sources
  EO1330:  Y. Kim
  Rank-consistency of the generalized Bradley-Terry model with link misspecification
Session EO589 Room: 210
New advances in optimal design of experiments and statistical modelling Saturday, 10 December 2016   10:50 - 12:55
Chair: Stefanie Biedermann Organizer: Stefanie Biedermann
  EO0585:  K. Mylona, S. Gilmour, P. Goos
  Optimal restricted-randomised response surface designs allowing for pure-error estimation of the variance components
  EO0544:  R. Khashab, S. Gilmour, S. Biedermann
  Fitting fractional polynomial models to mixture experiments
  EO1082:  P. Bobotas, A. Kimber, S. Biedermann
  Sensitivity analysis for informative censoring in parametric survival models: An evaluation of the method
  EO1087:  A. Kimber, S. Biedermann, M. Konstantinou
  Minimax optimal designs for approximately exponential-based proportional hazards models subject to Type-I censoring
  EO1640:  R. Kessels, D. Palhazi Cuervo
  Optimal design and analysis of discrete choice experiments with partial profiles involving a no-choice option
Session EO611 Room: 217
Statistics in sports Saturday, 10 December 2016   10:50 - 12:55
Chair: Marica Manisera Organizer: Marica Manisera, Paola Zuccolotto
  EO1081:  J. Vecer
  Goals in soccer: Factors that matter
  EO0952:  J.M. Perez Sanchez, N. Davila Cardenes, E. Gomez Deniz
  A probability model for analyzing the points of a team in a football match: An application to the Spanish league
  EO0463:  R. Lit, S.J. Koopman
  Forecasting match results in European football competitions: New dynamic models and comparisons
  EO1116:  M. Ferrante, G. Fonseca
  A new Markovian model for tennis matches
  EO0874:  P. Zuccolotto, M. Manisera, D. Verzeletti
  Big data analytics to model scoring probability in basketball: The effect of shooting under high-pressure conditions
Session EO693 Room: 215
Beyond mean regression Saturday, 10 December 2016   10:50 - 12:55
Chair: Andreas Mayr Organizer: Andreas Mayr
  EO0869:  D. Stasinopoulos
  The GAMLSS models: Past and future
  EO1151:  T. Hepp, M. Schmid, A. Mayr
  Assessing the significance of effects in boosted distributional regression models
  EO0533:  J. Thomas, A. Mayr, M. Schmid, B. Bischl, B. Hofner
  Stability selection for boosted generalized additive models for location scale and shape
  EO0418:  T. Kneib, N. Klein, G. Marra, R. Radice
  Semiparametric bivariate conditional copula regression with binary and continuous marginals
  EO1570:  J. Hambuckers, T. Kneib, R. Langrock, A. Sohn
  A Markov-Switching generalized additive model for compound Poisson processes
Session EO700 Room: 208
Shrinkage estimators Saturday, 10 December 2016   10:50 - 12:55
Chair: Genso-Yuan Tsung Watanabe-Chang Organizer: Yuan-Tsung Chang
  EO0708:  G.-Y.T. Watanabe-Chang, N. Shinozaki
  Shrinkage estimators of Poisson means based on prior information and its applications to multiplicative Poisson models
  EO0747:  T. Matsuda, F. Komaki
  Improvement of singular value shrinkage priors and block-wise Stein priors
  EO0814:  K. Yano, F. Komaki
  Shrinkage priors for nonparametric estimations
  EO1040:  F. Komaki
  Shrinkage priors for a class of Poisson regression models
  EO0943:  Y. Maruyama
  Harmonic Bayesian prediction under alpha-divergence
Session EP733 Room: Hall
Poster Session II Saturday, 10 December 2016   10:50 - 12:55
Chair: Marta Garcia Barzana Organizer: CMStatistics
  EP1469:  S. Kim, Y. Lee, Y. Kim
  A bias-corrected estimator of competitive balance in sports leagues
  EP1618:  K. Krivoruchko
  A comparison of spatial Bayesian, empirical Bayesian and frequentist interpolators with large data
  EP1452:  G. Baek, Y. Kim, I. Ohn
  A new method of measuring uncertainty propagation in the study of climate change on hydrology
  EP1505:  H. Mourino, P. Dario
  The multinomial logistic regression model to predict eye color: An application to the Portuguese case
  EP0785:  D. Pestana, I. Gomes, F. Caeiro, F.O. Figueiredo, L. Henriques-Rodrigues
  Partially reduced-bias value-at-risk estimation
  EP1455:  B.Y. Kim, Y. Kim, J. Hwang, O.-R. Kwon
  Semi-parametric logistic regression model with random forest
  EP1465:  J. Kysely
  Comparison of sub-daily precipitation extremes in observed data and regional climate model simulations
  EP1531:  G. Wimmer, V. Witkovsky
  Computing the distribution of collective risk models via numerical inversion the characteristic function
  EC1508:  J.A. Visek
  Significance of explanatory variables when model is estimated by S-weighted estimator
  EP1769:  A. Sjostrom
  The lattice generalized Von Mises distribution
  EP1770:  R. Sabolova, H. Oja, G. Van Bever, F. Critchley
  Recovery of Fisher's linear discriminant subspace by invariant coordinate selection (ICS) methods: Latest advances
  EP1774:  M. Bogicevic, M. Merkle
  ABCDepth: Efficient algorithm for Tukey depth
Parallel session H: CFE Saturday, 10 December 2016 10:50 - 12:55

Session CO279 Room: 101
Empirical processes Saturday, 10 December 2016   10:50 - 12:55
Chair: Bent Nielsen Organizer: Bent Nielsen
  CO0421:  B. Nielsen
  Tightness of M-estimators for multiple linear regression in time series
  CO0427:  W. Stute
  The bivariate Kakutani division process
  CO0444:  H. Koul
  Residual empirical processes
  CO0500:  V. Berenguer Rico, B. Nielsen
  Statistical functionals of residuals
  CO0838:  M.A. Delgado
  Testing constancy of structural parameters in the direction of random alternatives
Session CO329 Room: 103
Uncertainty: Measurement and inference Saturday, 10 December 2016   10:50 - 12:55
Chair: Wojciech Charemza Organizer: Svetlana Makarova, Wojciech Charemza
  CO0837:  C. Melo Fernandes, G. Kenny
  Understanding the role of uncertainty in the Euro area business cycle
  CO0616:  V. Lopez-Perez
  On the effect of uncertainty on non-response to the European central bank survey of professional forecasters
  CO0853:  S. Makarova, W. Charemza, C. Diaz
  Quasi ex-ante inflation forecast uncertainty
  CO0855:  R. Golinelli, I. Mammi
  Uncertainty, parameters' heterogeneity and cross-sectional dependence in fiscal reaction functions estimation
  CO0755:  C. Diaz
  A measure of ex-ante inflation uncertainty based on density forecast revisions
Session CO363 Room: 102
Recent developments in cointegration analysis Saturday, 10 December 2016   10:50 - 12:55
Chair: Martin Wagner Organizer: Martin Wagner
  CO1043:  L. Soegner, M. Wagner
  Residual based consistent bubble detection
  CO0856:  O. Stypka, M. Wagner
  Linear fully modified OLS estimation of cointegrating polynomial regressions
  CO1385:  M. Franchi
  Some results on the structure theory of cointegrated state space systems
  CO0779:  M. Wagner, O. Stypka
  Cointegrating multivariate polynomial regressions: Fully modified OLS estimation and inference
  CO0531:  K. Neusser
  A topological view on the identification of structural vector autoregressions
Session CO365 Room: 109
Macroeconometrics Saturday, 10 December 2016   10:50 - 12:55
Chair: Toshiaki Watanabe Organizer: Toshiaki Watanabe
  CO1077:  G. Amisano, D. Giannone, M. Lenza
  Large time varying parameter VARs for macroeconomic forecasting
  CO0850:  P. Guerron
  Macroeconomic forecasting in times of crises
  CO1032:  T. Kano
  Trend inflation and exchange rate dynamics: A new Keynesian approach
  CO0966:  M. Lenza, C. Altavilla, G. Carboni
  Money market interest rate uncertainty and macroeconomic implications
  CO1574:  J. Nakajima, A. Filardo
  Cross-country evidence on the effectiveness of monetary policy: A time-varying parameter VAR approach
Session CO373 Room: 112
Computational approaches in econometrics Saturday, 10 December 2016   10:50 - 12:55
Chair: Sandra Paterlini Organizer: Peter Winker, Sandra Paterlini, Dietmar Maringer
  CO1065:  W. Li, S. Ben, U. Hommel, S. Paterlini, J. Yu
  Default contagion \& systemic risk in the intercorporate loan guarantee network
  CC0477:  M. Rizzo, F. Battaglia
  Statistical and computational tradeoff in econometric models building by genetic algorithms
  CO0960:  P.J. Kremer, S. Paterlini, M. Bogdan, S. Lee
  Sorting out your investments: Sparse portfolio construction via the ordered L1-norm
  CO0752:  M. Giuzio, S. Paterlini, B. Craig
  EU Sovereign-Bank Network: Effects of Diversification and Capital Buffers on Sovereign Debt
  CC0170:  S. Paterlini, C. Klueppelberg, O. Key
  Modelling multidimensional extremal dependance for operational risk
Session CO389 Room: 104
Measuring systemic risk Saturday, 10 December 2016   10:50 - 12:55
Chair: Fulvio Corsi Organizer: Monica Billio
  CO0295:  F. Nucera, A. Lucas, J. Schaumburg, B. Schwaab
  Systemic risk contribution and bank business models
  CO0750:  L. Frattarolo, R. Casarin, M. Billio, M. Costola
  Time to consensus in financial causality networks: A Von Neumman entropy approach to contagion
  CO1073:  F. Corsi, G. Buccheri, S. Peluso
  Hidden leaders: Identifying latent lead-lag structures in multivariate ultra-high-frequency returns
  CO0946:  F. Parpinel, C. Pizzi, L. Frattarolo
  Systemic risk measures relevance: A permutation test approach to European banks
  CO1553:  G. Torri, R. Giacometti, S. Paterlini
  Capturing systemic risk by robust and sparse network estimation
Session CO403 Room: 106
Advances in complex spatial and spatio-temporal econometrics Saturday, 10 December 2016   10:50 - 12:55
Chair: Maria Kyriacou Organizer: Maria Kyriacou, Zudi Lu
  CO0365:  M. Muhammad, Z. Lu
  Improving the UK index flood estimation by catchment characteristics with additive and spatial regression analyses
  CO1003:  A. Bhattacharjee, L. Cai, R. Calantone, T. Maiti
  Variable selection with spatially autoregressive errors: A generalized moments LASSO estimator
  CO1187:  M. Kyriacou, P.C. Phillips, F. Rossi
  Continuously updated indirect inference in SAR models with unobserved heterogeneity
  CO0959:  J. Lee
  Testing misspecification in spatial autoregressive models
  CO1021:  Z. Lu
  Some recent progress on nonlinear spatial modelling: A review
Session CO415 Room: 105
Topics in modelling dependence and sample selection Saturday, 10 December 2016   10:50 - 12:55
Chair: Artem Prokhorov Organizer: Artem Prokhorov
  CO0262:  C. Muris
  Efficient GMM estimation with incomplete observations
  CO1104:  V. Patilea
  Conditional moment restriction models with missing data
  CO0186:  M. Hirukawa, A. Prokhorov
  Consistent estimation of linear regression models using matched data
  CO0637:  M. Burda, A. Prokhorov
  Bayesian adaptive sparse copula
  CO0986:  Y. Zhu, A. Prokhorov, E. Anderson
  Copula by triangulation
Session CO419 Room: Graduation hall
Recent advances in large panel data analysis Saturday, 10 December 2016   10:50 - 12:55
Chair: Herman van Dijk Organizer: Jean-Pierre Urbain
  CO0929:  M. Norkute, J. Westerlund
  Local-to-unity asymptotics for the factor analytical approach
  CO0759:  A. Juodis, J. Westerlund
  Point optimal panel unit root testing with covariates
  CO1696:  H. Karabiyik, J.-P. Urbain, S. Smeekes, J. Westerlund
  Cross-section average-based confidence intervals for diffusion index forecasts
  CO1317:  S. Reese
  A Hausman test for cross-section dependence in linear panel regression models
Session CO489 Room: 107
Indicators for risk monitoring and imbalancing detection Saturday, 10 December 2016   10:50 - 12:55
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO0241:  T. Duprey, B. Klaus
  How to predict financial stress: An assessment of Markov switching versus logit models
  CO0435:  A. Kornprobst
  Financial crisis indicators based on implied correlations computed from option prices
  CO1204:  M. Kratz
  Risk measure estimates in quiet and turbulent times: An empirical study
  CO0913:  C. Menden, C. Proano
  Dissecting the financial cycle with dynamic factor models
  CO1068:  E. Tolo, M. Viren, T. Virtanen, K. Taipalus
  Use of unit root methods in early warning of financial crises
Session CO525 Room: 111
Time-varying dependencies Saturday, 10 December 2016   10:50 - 12:55
Chair: Dominik Wied Organizer: Dominik Wied
  CO0158:  K. Pape, P. Galeano, D. Wied
  Sequential detection of parameter changes in dynamic conditional correlation models
  CO0192:  B. Gribisch, J. Bekierman
  A mixed frequency stochastic volatility model for intraday stock market returns
  CO0200:  L. Hersing, O. Grothe
  Add the beef and combine: Dynamic density combinations from point forecasts
  CO0302:  A. Anundsen
  Econometric methods for detecting imbalances in house prices
  CO0503:  R. Loeser, D. Wied, D. Ziggel
  New backtests for unconditional coverage of the expected shortfall
Session CO591 Room: S23
Advances in option pricing and hedging using stochastic volatility models Saturday, 10 December 2016   10:50 - 12:55
Chair: Juan-Pablo Ortega Organizer: Juan-Pablo Ortega
  CO1036:  A. Badescu, Z. Cui, J.-P. Ortega
  Non-affine GARCH option pricing models, variance dependent kernels, and diffusion limits
  CO1235:  C. Chorro, F. Rahantamialisoa
  Option valuation with IG-GARCH model and an U-shaped pricing kernel
  CO0569:  A. Melnikov, M. Fengler
  GARCH option pricing models with Meixner innovations
  CO0324:  L. Stentoft
  On different pricing approaches for options under GARCH with non-normal innovations
  CO1155:  L. Grigoryeva, A. Badescu, J.-P. Ortega
  Pricing and hedging of non-affine ARSV options using volatility dependent kernels
Session CO628 Room: S22
Advances in macroeconometrics Saturday, 10 December 2016   10:50 - 12:55
Chair: Luca Fanelli Organizer: Luca Fanelli
  CO0168:  S. Morris
  DSGE Pileups
  CO0360:  A. Tryphonides
  Robust inference for dynamic economies with frictions
  CO0833:  G. Angelini
  Expectations correction and DSGE model selection
  CO0676:  S. Soccorsi
  Measuring nonfundamentalness for structural VARs
  CO0502:  M.M. Sorge
  On the fundamentalness of nonfundamentalness in DSGE models
Session CO705 Room: S24
Investment strategies Saturday, 10 December 2016   10:50 - 12:55
Chair: Alan Hanna Organizer: Fotis Papailias
  CO0579:  J. Liu, F. Papailias, D. Thomakos
  Returns signal momentum
  CO1128:  T. Alexopoulos, D. Thomakos, R. Yahlomi
  Investment strategies for energy assets
  CO1115:  A. Hanna
  A top-down approach to identifying bull and bear market states
  CO1312:  A. Atak, Y. Zhang
  Testing common time-varying coefficients in semiparametric panel data models with fixed effects
  CC0474:  T. Raffinot
  Nowcasting economic turning points with a simple machine-learning algorithm
Session CO721 Room: Board meeting room I
Regime change modeling in economics and finance II Saturday, 10 December 2016   10:50 - 12:55
Chair: Willi Semmler Organizer: Willi Semmler
  CO1478:  S. Orlov, E. Rovenskaya, J. Puaschunder, W. Semmler
  A three-phase model of climate change mitigation
  CO1704:  T. Faulwasser, L. Gruene, C.M. Kellett, S. Weller
  Application of receding horizon optimal control to DICE integrated assessment models
  CO0219:  J. Kotlowski, M. Brzoza-Brzezina
  The nonlinear nature of country risk
  CO1647:  S. Nicar
  On the way out of a recession
  CO1664:  R. Joosten
  Stochastic games with endogenous transitions
Session CG282 Room: 108
Contributions in bootstrap in econometrics Saturday, 10 December 2016   10:50 - 12:55
Chair: Peter Boswijk Organizer: CFE
  CC0491:  Y. Yamamoto
  Bootstrap inference for impulse response functions in factor-augmented vector autoregressions
  CC1591:  U. Hounyo, K. Christensen, M. Podolskij
  Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach
  CC1615:  E. Hwang, D.W. Shin
  Stationary bootstrapping for realized covolatility with high frequency noisy and asynchronous observations.
  CC1477:  J. Krampe, J.-P. Kreiss, E. Paparoditis
  Estimated Wold representation and spectral density driven bootstrap for time series
  CC0178:  A. Skrobotov, G. Cavaliere, R. Taylor
  Wild bootstrap seasonal unit root tests for time series with periodic non-stationary volatility
Session CG324 Room: Board meeting room II
Contributions in time-series econometrics Saturday, 10 December 2016   10:50 - 12:55
Chair: Stanislav Anatolyev Organizer: CFE
  CC0452:  L. Kristoufek
  Fractal methods for fractional cointegration
  CC0629:  C. Guollo Taufemback
  Asymptotic behavior of temporal aggregation in mixed-frequency datasets
  CC0981:  N. Aka, R. Tschernig
  Specifying autoregressive processes: A horse race of frequentist model selection methods
  CC1494:  S. Anatolyev
  Volatility filtering in estimation of kurtosis (and variance)
Parallel session I: CMStatistics Saturday, 10 December 2016 14:25 - 16:05

Session EI675 (Special Invited Session) Room: Graduation hall
Multivariate extremes and applications Saturday, 10 December 2016   14:25 - 16:05
Chair: Armelle Guillou Organizer: Armelle Guillou
  EI0433:  M. Falk, G. Stupfler
  D-norms and the max-characteristic function: Offsprings of multivariate extreme value theory
  EI0508:  H. Drees, A. Janssen
  Conditional extreme value models: Fallacies and pitfalls
  EI1119:  J. Einmahl, A. Krajina
  Empirical likelihood based testing for multivariate regular variation
Session EO005 Room: 006
Statistical network modeling Saturday, 10 December 2016   14:25 - 16:05
Chair: Harry Crane Organizer: Harry Crane
  EO0893:  W. Dempsey, H. Crane
  Edge exchangeability: A new foundation for network modeling
  EO1030:  C.M. Le, L. Levina
  Estimating the number of communities in networks by spectral method
  EO0649:  E. Wit
  COSTNET, networks and detecting epistatic selection
  EO1752:  A. Zhang, C. Gao, H. Zhou, Z. Ma
  Community detection in degree-corrected block models
Session EO015 Room: 215
Joint modelling Saturday, 10 December 2016   14:25 - 16:05
Chair: Thomas Kneib Organizer: Thomas Kneib, Elisabeth Waldmann
  EO0689:  E. Waldmann
  Combining distributional regression with joint modelling
  EO0691:  A. Mayr, E. Waldmann
  Boosting joint models
  EO0586:  C. Faes, C. Cadarso Suarez, I. Guler
  Joint modeling of multivariate longitudinal and survival data
  EO0429:  G. Hickey
  Joint modelling of multivariate longitudinal and time-to-event data
Session EO037 Room: S23
Software developments toward high frequency data Saturday, 10 December 2016   14:25 - 16:05
Chair: Nakahiro Yoshida Organizer: Nakahiro Yoshida
  EO1360:  C. Driver
  ctsem: R software for continuous time structural equation modelling
  EO0542:  H. Masuda
  Stepwise estimation and assessment of Levy driven SDE
  EO1063:  L. Mercuri, N. Yoshida
  Point process regression models in YUIMA project
  EO1058:  S. Iacus
  The Yuima framework for simulation and inference of stochastic processes and its GUI
Session EO061 Room: 211
Change point detection in time series Saturday, 10 December 2016   14:25 - 16:05
Chair: Herold Dehling Organizer: Herold Dehling
  EO0567:  C. Gerstenberger
  A Wilcoxon-type test for distinguishing between long-range dependence and short-range dependence with a change in mean
  EO1017:  A. Betken, M. Wendler
  Subsampling-based change-point detection in LRD time series
  EO1047:  M. Wornowizki, H. Dehling, R. Fried
  Structural break detection using Fourier methods
  EO1351:  I. Zelo, A. Rooch, R. Fried
  Estimation methods for the long memory parameter under a change in the mean
Session EO079 Room: 201
Advances in time series analysis Saturday, 10 December 2016   14:25 - 16:05
Chair: Gregory Rice Organizer: Gregory Rice, Edit Gombay
  EO0252:  L. Trapani, L. Horvath
  Testing for randomness in a random coefficient autoregression model
  EO0235:  C. Cerovecki, S. Hormann
  On the CLT for the discrete Fourier transforms of functional time series
  EO0425:  O. Sonmez, G. Rice, A. Aue
  Dating structural breaks in functional data without dimension reduction
  EO1142:  S. Chenouri, G. Rice
  Robust multivariate change point analysis based on data depth
Session EO121 Room: 202
Recent advances in statistical depth Saturday, 10 December 2016   14:25 - 16:05
Chair: Davy Paindaveine Organizer: Davy Paindaveine
  EO0988:  H. Battey, A. Nieto-Reyes
  A topologically valid definition of depth for functional data
  EO1152:  G. Van Bever, D. Paindaveine
  Shape depth
  EO0709:  Y. He
  Asymptotics for extreme depth-based quantile region estimation
  EO0841:  R. Dyckerhoff, P. Mozharovskyi
  Approximate computation of data depths that satisfy the projection property
Session EO123 Room: 213
Non- and semiparametric inference for complex time to event data Saturday, 10 December 2016   14:25 - 16:05
Chair: Markus Pauly Organizer: Markus Pauly
  EO0197:  T. Scheike
  Two-stage modelling of additive Gamma frailty models for survival data, case-control and ascertainment
  EO0224:  J. Beyersmann, A. Allignol, C. Mueller
  Nonparametric estimation of state occupation and transition probabilities in non-Markov multistate models
  EO0420:  D. Dobler, M. Pauly
  Inference for the concordance index for possibly right-censored and tied data
  EO0546:  G. Cortese, S. Holmboe, T. Scheike
  Regression models for the restricted residual mean life
Session EO151 Room: 208
Computational tools for the analysis of unconventional datasets Saturday, 10 December 2016   14:25 - 16:05
Chair: Jochen Luedering Organizer: Peter Winker
  EC0173:  P. Tillmann, J. Luedering
  Monetary policy on Twitter and its effect on asset prices: Evidence from computational text analysis
  EO0174:  J. Luedering, P. Winker
  Forward or backward looking: The economic discourse and the observed reality
  EO0391:  L.A. Thorsrud
  Words are the new numbers: A newsy coincident index of business cycles
  EC1439:  N. Trendafilov, P. Galindo
  Sparse dimension reduction of multiple data on same observations
Session EO179 Room: 214
Higher moments in multivariate analysis Saturday, 10 December 2016   14:25 - 16:05
Chair: Nicola Loperfido Organizer: Nicola Loperfido
  EO0180:  K. Podgorski, N. Loperfido, S. Mazur
  Third cumulant for multivariate aggregate claim models
  EO0191:  F. Javed, K. Podgorski
  Tail behavior and dependence structure in the APARCH model
  EO0255:  C. Ley, M. Hallin, L. Gelbgras
  Optimal tests for elliptical symmetry against skew-elliptical alternatives
  EO0335:  C. Franceschini, N. Loperfido
  MultiSkew: An R package for skewness-based data analysis
Session EO223 Room: 205
Causal inference in theory and practice I Saturday, 10 December 2016   14:25 - 16:05
Chair: Jonas Peters Organizer: Jonas Peters
  EO0266:  S. Bongers, J. Peters, B. Scholkopf, J. Mooij
  Marginalization and reduction of structural causal models
  EO0933:  M. Rojas Carulla, B. Scholkopf, R. Turner, J. Peters
  Causal transfer in machine learning
  EO1163:  A. Shojaie
  Identifiability of causal effects from subsampled and mixed-frequency time series
  EO1399:  R. Evans, V. Didelez
  Model parameterisations using causal quantities
Session EO225 Room: 203
Inference for functional data, with life sciences applications Saturday, 10 December 2016   14:25 - 16:05
Chair: Laura Sangalli Organizer: Laura Sangalli
  EO0247:  J. Goldsmith, D. Backenroth, J. Goldsmith, M. Harran, J. Cortes, J. Krakauer, T. Kitago
  Modeling heterogeneity in motor learning using heteroskedastic functional principal components
  EO0440:  D. Ruegamer, S. Brockhaus, K. Gentsch, K. Scherer, S. Greven
  Detecting synchronisation in EEG- and EMG-signals via boosted functional historical models
  EO0928:  A. Pini, L. Spreafico, S. Vantini, A. Vietti
  Partial differential interval-wise testing for the functional data analysis of tongue profiles
Session EO247 Room: 217
Recent advances on analysis of high-dimensional data Saturday, 10 December 2016   14:25 - 16:05
Chair: Xin Zhang Organizer: Yichao Wu
  EO0226:  X. Zhang
  Parsimonious tensor response regression with applications to neuroimaging analysis
  EO1361:  E. Barut, H.J. Wang, Y. Tang
  Testing the presence of significant covariates through conditional marginal regression
  EC1688:  S. Ko, D. Yu, J.-H. Won
  A feature-splitting distributed algorithm for generalized linear models under generalized and group lasso penalties
Session EO259 Room: 206
Robust covariance matrix estimation of high-dimensional data Saturday, 10 December 2016   14:25 - 16:05
Chair: Esa Ollila Organizer: Esa Ollila
  EO0661:  A. Wiesel, E. Peker
  Fitting generalized multivariate Huber losses
  EO1188:  F. Pascal
  Robust RMT for covariance matrix estimation and applications to signal processing
  EO0812:  T. Zhang, A. Wiesel
  Automatic diagonal loading for Tyler's robust covariance estimator
  EO0808:  E. Ollila, D. Tyler, I. Soloveychik, A. Wiesel
  Simultaneous penalized M-estimation of covariance matrices using geodesically convex optimization
Session EO431 Room: 002
Recent advances in statistical genetics Saturday, 10 December 2016   14:25 - 16:05
Chair: Wesley Thompson Organizer: Wesley Thompson, Yu Cheng
  EO0792:  W. Thompson
  A novel Bayesian model for the local false discovery rate
  EO1071:  A. Buil
  Advanced methods in molecular quantitative trait loci mapping
  EO1325:  S. Picart-Armada, F. Fernandez-Albert, W. Thompson, A. Buil, A. Perera-Lluna
  Statistical characterisation of diffusion-based approaches in biological networks
Session EO505 Room: S24
Recent advances in mixed effects modelling Saturday, 10 December 2016   14:25 - 16:05
Chair: Estelle Kuhn Organizer: Estelle Kuhn
  EO0537:  M. Delattre, M.-A. Poursat
  On BIC for mixed-effects models
  EO0740:  C. Baey, P.-H. Cournede, E. Kuhn
  Testing variance components in nonlinear mixed effects models: Application to plant growth modelling
  EO1124:  C. Laredo, V. Genon-Catalot, M. Delattre
  Parametric inference for discrete observations of diffusions with mixed effects
Session EO511 Room: 207
Recent developments on statistical machine learning Saturday, 10 December 2016   14:25 - 16:05
Chair: Yuying Xie Organizer: Yufeng Liu
  EO0212:  N. Simon
  A computationally and theoretically efficient framework for sparse additive modeling
  EO0403:  Y. Dong
  Sufficient dimension reduction via principal $L_q$ support vector machine
  EO0449:  S.J. Shin, A. Artemiou
  Penalized principal logistic regression for sparse sufficient dimension reduction
Session EO547 Room: Board meeting room I
Flexible models for modern econometric and statistical analysis Saturday, 10 December 2016   14:25 - 16:05
Chair: Massimiliano Caporin Organizer: Hao Zhang, Massimiliano Caporin
  EO1498:  R. Pan, X. Zhu, G. Li, Y. Liu, H. Wang
  Network vector autoregression
  EO1709:  K. Knight
  Combining subsample estimators in quantile regression
  EO0596:  R. Panzica, G. Bonaccolto, M. Caporin
  Causality networks: Estimation and combination
  EO1725:  M. Bernardi
  Robust dynamic conditional score models
Session EO551 Room: 007
Smoothing methods for complex data Saturday, 10 December 2016   14:25 - 16:05
Chair: Maria Xose Rodriguez-Alvarez Organizer: Maria Xose Rodriguez-Alvarez
  EO0501:  L. Vittert, A. Bowman, S. Katina
  Statistics of the human face
  EO0963:  M. Durban, M.X. Rodriguez-Alvarez, D.-J. Lee, P. Eilers
  Fast estimation of adaptive P-spline models
  EO1060:  D.-J. Lee, D. Ayma, M. Durban, P. Eilers
  Disaggregation of spatial and spatio-temporal counts in epidemiology: A penalized composite link model approach
  EO1011:  M. Rodriguez-Girondo
  Non-linear regularized regression in multi-omic applications
  EO0965:  G. Frasso, P. Eilers
  Direct semi-parametric estimation of the state price density implied in option prices
Session EO553 Room: 204
High-dimensional inference in spatial models and panel data Saturday, 10 December 2016   14:25 - 16:05
Chair: Carles Breto Organizer: Carles Breto
  EO0768:  A. Gupta, P. Robinson
  Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension
  EO0381:  D. Conesa, R. Amoros, A. Lopez-Quilez, M. Martinez-Beneito
  A spatio-temporal Markov switching model for the detection of influenza outbreaks
  EO1008:  Y. Rao, B. McCabe
  Real-time surveillance for abnormal events: The case of influenza outbreaks
  EO1157:  C. Breto, E. Ionides, A. King
  Panel data analysis via mechanistic models
Session EO555 Room: 209
Statistical techniques for the analysis of complex biomedical signals Saturday, 10 December 2016   14:25 - 16:05
Chair: Anna Maria Paganoni Organizer: Anna Maria Paganoni
  EO1190:   , J. Romo
  Analyzing dependence for multivariate functional data
  EO1026:  L. Ippoliti, L. Fontanella, P. Valentini
  Modeling mandibular shape variation using functional ANOVA models
  EO0972:  H. Sorensen
  Interval-wise testing for dependent functional data
  EO1129:  A. Stamm, O. Commowick, S. Vantini, S.K. Warfield
  Numerical and computational challenges in ML estimation of mixture models for analyzing diffusion MRI data
Session EO559 Room: Board meeting room II
Lifetime modeling and estimation Saturday, 10 December 2016   14:25 - 16:05
Chair: Maria Luz Gamiz Organizer: Maria Luz Gamiz
  EO0187:  A. Debon, S. Haberman, F. Montes, E. Otranto
  Testing model effect on projected mortality indicators
  EO0306:  B.H. Lindqvist, O.E. Farestveit
  Degradation and maintenance modeling using the inverse Gaussian process
  EO0513:  J.T. Kvaloy, B.H. Lindqvist, S. Aaserud
  Residual plots for the modelling of covariates in accelerated failure time models
  EO0848:  M.L. Gamiz, L. Martinez-Miranda, J.P. Nielsen
  Best one-sided cross-validation for hazards
Session EO595 Room: 210
Dimension reduction for regression Saturday, 10 December 2016   14:25 - 16:05
Chair: Stephane Girard Organizer: Florence Forbes, Stephane Girard
  EO0470:  F. Forbes, A. Chiancone, S. Girard
  Student sliced inverse regression
  EO0412:  I. Wilms, C. Croux
  Robust Variable Section with the sparse shooting S
  EO1108:  J. Saracco, I. Jlassi
  Variable importance assessment in sliced inverse regression for variable selection
Session EO646 Room: S22
Testing and inference in nonparametric models of production Saturday, 10 December 2016   14:25 - 16:05
Chair: Paul Wilson Organizer: Paul Wilson
  EO0577:  C. Daraio, L. Simar, P. Wilson
  Quality of European universities: Model uncertainty, endogeneity and testing of unobserved heterogeneity
  EO0600:  L. Badin, C. Daraio, L. Simar
  Bandwidth selection issues for nonparametric conditional efficiency estimation
  EO0665:  C. Mastromarco
  Cross-section dependence and latent heterogeneity: A conditional nonparametric frontier analysis
  EO0891:  P. Wilson, B. Park, L. Simar, V. Zelenyuk
  On cross-validation in regression
Session EO723 Room: 212
Dependence models and copulas III Saturday, 10 December 2016   14:25 - 16:05
Chair: Wolfgang Trutschnig Organizer: Wolfgang Trutschnig, Fabrizio Durante
  EO0352:  A. Derumigny, J.-D. Fermanian
  Inference of elliptical copula generators
  EO0472:  G. Mazo
  A semiparametric and location shift copula based mixture model
  EO0157:  N. Uyttendaele
  Building conditionally dependent parametric factor copulas
  EO1221:  C. Schellhase, F. Spanhel
  Estimating non-simplified vine copulas using penalized splines
Session EP734 Room: Hall
Poster Session III Saturday, 10 December 2016   14:25 - 16:05
Chair: Stella Hadjiantoni Organizer: CMStatistics
  EP1378:  I. Castro-Conde, M. Cousido Rocha, J. Roca Pardinas, A. Vidal Vidal
  A comparative study on time series forecasting in telecommunications
  EP1388:  J. Voelzke, T. Weigt
  Another look at the value of individual labor income
  EP1473:  R. Hendrych
  Marginal expected shortfall as a systemic risk measure: The Czech PX index case study
  EP1628:  A. Machno, H. Gurgul
  Modeling financial returns in different regions with a regime switching regular vine copula.
  EP1662:  J. Prochazka, S. Flimmel
  Modelling seasonality with long seasonal period
Parallel session I: CFE Saturday, 10 December 2016 14:25 - 16:05

Session CO271 Room: 112
Big data and econometrics Saturday, 10 December 2016   14:25 - 16:05
Chair: Matthew Harding Organizer: Matthew Harding
  CO0712:  J. Hersh, D. Newhouse, R. Engstrom
  Poverty from Space: Using High Resolution Satellite Imagery for Estimating Economic Well-being and Geographic Targeting
  CO1076:  G. Brandi
  Tensor autoregression in economics and finance
  CO1029:  M. Harding, C. Lamarche
  A panel quantile approach to attrition bias in big data: Evidence from a randomized experiment
  CO1548:  J. Marcucci, F. D Amuri
  The predictive power of Google searches in forecasting US unemployment
Session CO291 Room: 105
One-step-ahead in dynamic factor models Saturday, 10 December 2016   14:25 - 16:05
Chair: Esther Ruiz Organizer: Esther Ruiz
  CO0384:  J. Breitung, M. Demetrescu
  Identification and estimation of dynamic factor models
  CO0826:  G. Perez Quiros, M. Camacho, P. Poncela
  Markov-switching dynamic factor models in real time
  CO0976:  M. Hallin
  Dynamic functional principal components
  CO1056:  E. Ruiz, I. Albarran, J. de Vicente
  Measuring the uncertainty of principal components in dynamic factor models
Session CO295 Room: 109
Econometrics of bond prices Saturday, 10 December 2016   14:25 - 16:05
Chair: Niklas Ahlgren Organizer: Niklas Ahlgren
  CO0671:  L. Kalliovirta, R. Hanninen
  Finnish wood purchasing cartel: Damage estimates on pulpwood based on the VECM approach
  CO1120:  J. Lyhagen, L. Forsberg
  A probabilistic approach to unit root testing in the presence of structural breaks
  CO0884:  J. Kanniainen, Y. Yue, K. Christensen
  Dynamics of VIX term structure and macroeconomic news arrivals
  CO0667:  N. Ahlgren, P. Catani
  Pricing of risk in the long run with strong persistence in volatility
Session CO321 Room: 103
Empirical macroeconomics Saturday, 10 December 2016   14:25 - 16:05
Chair: Daniel Kaufmann Organizer: Daniel Kaufmann
  CO1138:  A. Rathke, S. Sarferaz
  Large Bayesian VAR forecasting in a national accounting environment
  CO0773:  S. Beyeler, S. Kaufmann
  FAVAR revisited: A sparse dynamic factor approach
  CO1102:  R. Indergand
  Seasonal adjustment and data inefficiency: Evidence from simulation and real-world data
  CO0233:  D. Kaufmann
  On the cost of deflation: Evidence from noisy historical data
Session CO351 Room: 102
Regime switching, filtering, and portfolio optimization Saturday, 10 December 2016   14:25 - 16:05
Chair: Joern Sass Organizer: Joern Sass, Leopold Soegner
  CO0330:  R. Wunderlich
  Expert opinions and utility maximization in a market with partially observable Gaussian drift
  CO0443:  J. Reynolds, L. Soegner, M. Wagner, D. Wied
  Analyzing and testing arbitrage parities
  CO1091:  L. Vana, R. Hirk, K. Hornik
  A joint model of firm failure and credit ratings
  CO0949:  C. Damian, Z. Eksi-Altay, R. Frey
  Filter-based discrete-time EM algorithm with diffusion and point process observation
Session CO421 Room: 106
Network analysis and high dimensional time series models Saturday, 10 December 2016   14:25 - 16:05
Chair: Christian Brownlees Organizer: Christian Brownlees
  CO0497:  M. Barigozzi, H. Cho, P. Fryzlewicz
  Simultaneous change-point and factor analysis for high-dimensional time series
  CO0705:  L. Pelizzon, M. Caporin, R. Panzica, M. Billio
  The impact of network connectivity on factorexposures, asset pricing and portfolio diversication
  CO1232:  G. Mesters, C. Brownlees
  Detecting granular time series in large panels
  CO0917:  A. Kock
  Inference in partially identified models with many moment inequalities using lasso
Session CO425 Room: 216
Nonparametric methods for nonstationary time series Saturday, 10 December 2016   14:25 - 16:05
Chair: Christopher Walsh Organizer: Michael Vogt
  CO0270:  M. Meyer, C. Jentsch, A. Leucht, C. Beering
  Empirical characteristic function-based inference for locally stationary processes
  CO1241:  L. Truquet
  Partially linear time series models with time-varying coefficients
  CO1092:  C. Walsh, N. Hautsch
  Analysing dynamic interactions in limit order book markets using nonparametric methods
  CO1762:  M. Schienle, C. Liang
  Determination of vector error correction models in higher dimensions
Session CO471 Room: 107
Sparse Bayesian modelling Saturday, 10 December 2016   14:25 - 16:05
Chair: Helga Wagner Organizer: Helga Wagner
  CO0458:  M. Papathomas, S. Richardson
  Using variable selection within Bayesian clustering to explore dependence between categorical variables
  CO1314:  D. Pauger, H. Wagner
  Bayesian effect fusion with spike and slab prior
  CO0713:  G. Malsiner-Walli, H. Wagner, D. Pauger, B. Gruen
  Effect fusion using sparse finite mixtures
  CO1083:  A. White, J. Wyse, T.B. Murphy
  Bayesian variable selection for latent class analysis using a collapsed Gibbs sampler
Session CO473 Room: 101
Alpha-stable processes with applications in financial econometrics Saturday, 10 December 2016   14:25 - 16:05
Chair: Nourddine Azzaoui Organizer: Nourddine Azzaoui, Gareth Peters
  CO0319:  M. Egan, N. Azzaoui, G. Peters
  Simulation of a general class of $\alpha$-stable processes
  CO0363:  M. Paolella
  Stable-GARCH models for financial returns: Fast estimation and tests for stability
  CO1329:  N. Azzaoui, G. Peters
  Spatial and temporal interpolation based on impulsive alpha stable processes.
  CO1327:  G. Peters
  New results in non-independent increment stable process specifications and characterizations
Session CO622 Room: 110
Cyclical properties of financial and economic data Saturday, 10 December 2016   14:25 - 16:05
Chair: Jozef Barunik Organizer: Jozef Barunik
  CO0479:  Y. Schueler
  Financial cycle facts across G-7 countries and detrending: Spuriously robust!
  CO0648:  C. Proano, T. Strohsal, J. Wolters
  Assessing the cross-country interaction of financial cycles: Evidence from the US and the UK
  CO0745:  T. Krehlik, J. Barunik
  Quantile vector-autoregressions
Session CO654 Room: 104
Forecasting and volatility: R\&M University of Messina project Saturday, 10 December 2016   14:25 - 16:05
Chair: Edoardo Otranto Organizer: Edoardo Otranto
  CO0263:  L. Bauwens, M. Braione, G. Storti
  A multiplicative dynamic model for realized covariance matrices
  CO0487:  C. Hafner, O. Linton, H. Tang
  Estimation of a multiplicative covariance structure
  CO1019:  W. Distaso, L. Giraitis, K. Abadir
  Estimating the frequency of a time series
  CO1245:  G. Gallo, E. Otranto, F. Cipollini
  More than just errors: Accounting for state dependent mean reversion in volatility forecasting
Session CO729 Room: 111
Forecasting II Saturday, 10 December 2016   14:25 - 16:05
Chair: Francesco Ravazzolo Organizer: Francesco Ravazzolo
  CO0734:  J. Hallgren, T. Koski
  Modeling networks of currency tick-data as continuous time graphical models
  CO0743:  B. Mazur
  Density forecasts of inflation and interest rates using Bayesian DCS models with dynamic conditional skewness
  CO0902:  S. Ben Taieb, J. Taylor, R. Hyndman
  Probabilistic forecasting of hierarchical time series data
  CO0847:  P. Schmidt
  Optimal Value-at-Risk reports: Reducing capital requirement with state dependent forecasting
Session CP001 Room: Hall
Poster Session Saturday, 10 December 2016   14:25 - 16:05
Chair: Stella Hadjiantoni Organizer: CFE
  CP1405:  D. Kurisu, N. Kunitomo
  Simultaneous event multivariate point process models with application to causality analysis of financial markets
  CP1519:  H. Uri
  Dynamic bayesian models for panel data with dynamic skewness
  CP1599:  A. Czapkiewicz, A.L. Dawidowicz
  Model selection tests in the Markov switching models
  CP1588:  L. Kraicova, J. Barunik
  Common cycles in risk
  CC1516:  L. Grassetti, R. Bellio
  Consistent estimation for true fixed effects stochastic frontier models
  CC1485:  U. Triacca, F. Di Iorio
  Spatial variability of the relationship between carbon dioxide and temperature
  CP1754:  M. Gorajski
  Robust vs risk-sensitive monetary policy in a linear model of the Polish economy
  CP1768:  P. Pederzoli
  The market price of skewness and limits to arbitrage
Parallel session J: CMStatistics Saturday, 10 December 2016 16:35 - 18:15

Session EO019 Room: 215
Recent developments in large-scale inference Saturday, 10 December 2016   16:35 - 18:15
Chair: Guang Cheng Organizer: Chenlei Leng
  EO0325:  G. Cheng
  Computationally efficient nonparametric testing
  EO0678:  K. Kato, V. Chernozhukov, D. Chetverikov
  Testing many moment inequalities
  EO1281:  B. Jiang
  A direct approach for sparse quadratic discriminant analysis
  EO1415:  X. Wang, C. Leng, D. Dunson
  DECOrrelated feature space partitioning for distributed sparse regression
Session EO067 Room: 204
Multivariate extremes Saturday, 10 December 2016   16:35 - 18:15
Chair: Michael Falk Organizer: Michael Falk
  EO0475:  C. Klueppelberg
  Risk modelling by max-linear models on graphs.
  EO0481:  A. Janssen, T. Mikosch, M. Rezapour, X. Xie
  Eigenvalues of sample covariance matrices of heavy-tailed stochastic volatility models
  EO0897:  B. Beranger, S. Padoan, C. Dombry
  On some features of the skewed families of max-stable processes
  EO0799:  J. Segers, G. Mazo
  Regularly varying Markov trees
Session EO077 Room: 211
Advances in mixed effects modeling Saturday, 10 December 2016   16:35 - 18:15
Chair: Subir Ghosh Organizer: Subir Ghosh
  EC0414:  N. Helwig
  Efficient estimation of variance components in nonparametric mixed-effects models with large samples
  EO0376:  L. Wang
  Simulation-based estimation in mixed effects models with measurement error and missing data
  EO0639:  S. Ghosh
  Near optimum estimation of variance components in mixed effects models
  EC1557:  A. Soberon, W. Stute
  Assesing skewness, kurtosis and normality in linear mixed models
Session EO095 Room: 207
Change-point analysis Saturday, 10 December 2016   16:35 - 18:15
Chair: Ivan Kojadinovic Organizer: Ivan Kojadinovic
  EO0953:  D. Jaruskova
  Estimating non-simultaneous changes
  EO0700:  D. Vogel, A. Duerre, R. Fried, D. Tyler
  Applications of the spatial sign covariance matrix
  EO0711:  P. Naveau
  Detecting changes in climate records
  EO0978:  R. Fried, A. Duerre, T. Liboschik, J. Rathjens
  robts - An R-package for robust time series analysis and change-point detection
Session EO113 Room: 006
Inference and assessment of stochastic process models Saturday, 10 December 2016   16:35 - 18:15
Chair: Hiroki Masuda Organizer: Hiroki Masuda
  EO0525:  M. Uchida
  Hybrid estimators for discretely observed small diffusion processes
  EO0899:  Y. Koike
  Time-varying lead-lag effect
  EO0941:  N. Yoshida
  Applications of the quasi-likelihood analysis for point processes to high frequency data
  EO1418:  A. Brouste
  Diffusion processes for the forecast of wind turbine energy production and LAN property
Session EO143 Room: 213
Flexible regression models in survival analysis Saturday, 10 December 2016   16:35 - 18:15
Chair: Ingrid Van Keilegom Organizer: Anouar El Ghouch, Ingrid Van Keilegom
  EO0356:  J.-F. Dupuy
  Estimation of extreme quantiles of a conditional survival distribution
  EO0445:  S. Maistre, A. El Ghouch, I. Van Keilegom
  Spline backfitted kernel estimation of a nonparametric additive model with censored data
  EO0696:  P. Janssen, C. Geerdens, N. Veraverbeke
  Large sample properties of nonparametric copula estimators under bivariate censoring
  EO0918:  P. Lambert
  Bayesian inference and identification issues in a flexible promotion time cure model
Session EO149 Room: 214
Computational methods for inference from multivariate time series Saturday, 10 December 2016   16:35 - 18:15
Chair: Anna Staszewska-Bystrova Organizer: Anna Staszewska-Bystrova, Peter Winker
  EO0161:  J. Dovern, H. Manner
  Order invariant evaluation of multivariate density forecasts
  EO0370:  S. Bruder, M. Wolf
  New joint confidence bands for structural impulse response functions
  EO1149:  S. Schreiber
  Density forecasts with endogenous coefficient sparseness
  EO0987:  A. Staszewska-Bystrova, H. Luetkepohl, P. Winker
  Confidence intervals and bands for impulse responses in structural vector autoregressions with long-run restrictions
Session EO155 Room: 201
Statistical methods for blind source separation Saturday, 10 December 2016   16:35 - 18:15
Chair: Sara Taskinen Organizer: Sara Taskinen
  EO0512:  J. Miettinen, K. Nordhausen, S. Taskinen, K. Kalcher, R. Boubela
  Convergence of FastICA algorithms in performing temporal ICA for fMRI data
  EO0570:  F. Van Eeghem, L. de Lathauwer
  Tensor-based convolutive independent component analysis
  EO0857:  B. Risk, D. Matteson, D. Ruppert
  Likelihood-based non-Gaussian and Gaussian component analysis
  EO1286:  P. Ilmonen, N. Lietzen, K. Nordhausen
  On complex valued ICA
Session EO231 Room: 206
R and robustness and official statistics Saturday, 10 December 2016   16:35 - 18:15
Chair: Valentin Todorov Organizer: Valentin Todorov
  EO0839:  V. Lourenco, P. Canas Rodrigues, A.M. Pires
  Robust SNP-based estimation of heritability with R
  EO1238:  A. Ruiz-Gazen, D. Haziza, J.-F. Beaumont
  Robust estimation in surveys using the conditional bias approach and implementation with R
  EO0985:  T. Tuoto, G. Barcaroli
  Web scraping, text mining and machine learning experiences at Istat with R and other open source systems
  EO1423:  K. Hron, M. Templ, P. Filzmoser
  Exploring outliers in compositional data with structural zeros
Session EO235 Room: 208
Nonparametric and semiparametric methods for directional data Saturday, 10 December 2016   16:35 - 18:15
Chair: Thomas Verdebout Organizer: Thomas Verdebout
  EO0641:  B. Thiam, A. Amiri, T. Verdebout
  On the estimation of the density of a directional data stream
  EO0730:  C. Cutting, T. Verdebout, D. Paindaveine
  Testing uniformity on high-dimensional spheres against symmetric and asymmetric spiked alternatives
  EO1000:  E. Garcia-Portugues, C. Ley, T. Verdebout
  Nonparametric density estimation with directional data under rotational symmetry
  EO1214:  T.M. Pham Ngoc
  Localized spherical deconvolution
Session EO261 Room: 002
Statistical modelling in insurance Saturday, 10 December 2016   16:35 - 18:15
Chair: Vali Asimit Organizer: Vali Asimit
  EO0355:  T. Boonen, A. Tsanakas, M. Wuethrich
  Capital allocation for insurance portfolios with non-linear risk aggregation
  EO0780:  T. Verdonck, K. Peremans, P. Segaert, S. Van Aelst
  Robust bootstrap procedures for claims reserving using GLM
  EO1143:  P. Millossovich, A. Villegas, V. D Amato
  Structural constraints on multi-population mortality models
  EO1279:  K. Antonio, R. Verbelen, R. Henckaerts, M. Clijsters
  Using risk factors in P\& C insurance pricing: A data driven strategy with GAMs, regression trees and GLMs
Session EO267 Room: 209
Advances in model specification tests in regression Saturday, 10 December 2016   16:35 - 18:15
Chair: Tatyana Krivobokova Organizer: Tatyana Krivobokova
  EO0198:  U. Schneider, K. Ewald
  Exact post model selection inference: Confidence sets based on the lasso
  EO0344:  F. Enikeeva, A. Munk, F. Werner
  Bump detection in heterogeneous Gaussian regression
  EO1098:  F. Dunker, K. Eckle, K. Proksch, J. Schmidt-Hieber
  Multiscale tests for shape constraints in linear random coefficient models
  EO0909:  P. Serra, F. Enikeeva, T. Krivobokova
  Exact, adaptive tests for polynomial regression against a general alternative
Session EO443 Room: 202
Statistical genomics for tumor heterogeneity and evolution Saturday, 10 December 2016   16:35 - 18:15
Chair: Wenyi Wang Organizer: Wenyi Wang
  EO0267:  P. Van Loo
  Molecular archaeology of cancer
  EO0260:  D. Chedom Fotso, C. Yau, A. Ahmed
  A novel method for estimating somatic mutations cellular prevalence in cancer using whole genome haplotype phasing
  EO1258:  S. Tyekucheva, S. Haider, J. Ahn, W. Wang, P. Boutros, M. Loda
  Comparing methods for cellularity estimation using different genomic data types in prostate cancer
  EO1386:  J. Ahn, W. Wang, S. Tyekucheva, G. Parmigiani, Y. Yuan
  Heterogeneous tumor expression deconvolution: DeMix-Bayes
Session EO521 Room: 210
Recent advances of statistical genetics and genomics Saturday, 10 December 2016   16:35 - 18:15
Chair: Lihong Qi Organizer: Lihong Qi
  EO0514:  H. Tang
  Learning about the genetic architecture of complex traits across populations
  EO0580:  L. Chen
  Adaptive surrogate confounding adjustment in genomic mediation analysis and an application to GTEx data
  EO1024:  F. Petralia
  Joint random forest for the simultaneous construction of multiple related networks
  EO0882:  P. Wang
  Construct tumor specific gene regulatory network based on expression data from samples with tumor purity heterogeneity
  EO1349:  I. Gorlov, C. Amos
  Bayesian modeling to evaluate multiple gene-gene and gene-environment interactions
Session EO529 Room: 205
Causal inference in theory and practice II Saturday, 10 December 2016   16:35 - 18:15
Chair: Marloes Maathuis Organizer: Marloes Maathuis
  EO1355:  J. Kuipers
  Bayesian structure learning in causal graphical models
  EO1440:  D. Malinsky
  Learning causal models from time series data in the presence of latent variables
  EO0628:  E. Perkovic, J. Textor, M. Kalisch, M. Maathuis
  Characterizing and constructing adjustment sets
  EO1390:  B. Chen, J. Pearl, E. Bareinboim
  Incorporating knowledge into structural equation models using auxiliary variables
Session EO575 Room: S22
Object oriented data analysis Saturday, 10 December 2016   16:35 - 18:15
Chair: Benjamin Eltzner Organizer: Steve Marron
  EO0527:  A. Srivastava
  Elastic shape analysis of neuronal trees
  EO0878:  P. Secchi
  Random domain decomposition for object oriented spatial statistics
  EO1229:  S. Tavakoli, J. Aston, D. Pigoli
  Inferring accents from geo-localized acoustic speech recordings
  EO1319:  B. Eltzner, S. Huckemann
  Nested subspace asymptotics with application to stem cell analysis
Session EO577 Room: 216
Advanced statistical modeling of neuroimaging data Saturday, 10 December 2016   16:35 - 18:15
Chair: Timothy Johnson Organizer: Timothy Johnson
  EO0529:  H. Ombao
  Multi-scale factor analysis of high dimensional time series
  EO0554:  T. Ogden, Y. Chen, J. Goldsmith
  Functional data modeling of dynamic PET data
  EO0623:  S. Montagna, T. Wager, T. Johnson, T. Nichols
  A Bayesian approach to the joint modeling of image-based and coordinate-based neuroimaging meta-analysis data
  EO1226:  A. Park, J. Aston, F. Ferraty, A.Y. Park
  Functional domain selection for neuroimaging
Session EO609 Room: 007
Advances in biostatistics Saturday, 10 December 2016   16:35 - 18:15
Chair: Maria De Iorio Organizer: Maria De Iorio
  EO0984:  A. Guglielmi, M. De Iorio
  Bayesian autoregressive semiparametric models for gap times of recurrent events
  EO1250:  W. Barcella, M. De Iorio, S. Favaro, G. Rosner
  Covariate dependent clustering via the dependent generalised Dirichlet process
  EO1088:  A. Gottard
  On graphical models for studying the metabolic signature of a disease
  EO1429:  G. Rosner, C. Wang
  Bayesian nonparametric models in comparative effectiveness research
Session EO620 Room: 203
Non- and semi-parametric approaches in functional statistics Saturday, 10 December 2016   16:35 - 18:15
Chair: Enea Bongiorno Organizer: Enea Bongiorno
  EO0371:  D. Liebl, A. Kneip
  On the perfect reconstruction of partially observed (non-)sparse functional data
  EO0992:  M. Febrero-Bande, W. Gonzalez-Manteiga, M. Oviedo de la Fuente
  Variable selection in functional additive Regression Models
  EO0982:  A. Ghiglietti, A.M. Paganoni, F. Ieva
  Inference on the means of functional data based on a generalized Mahalanobis distance
  EO1220:  E. Bongiorno, A. Goia
  Functional principal component for concentration curves
Session EO626 Room: S23
Doubly stochastic counting processes Saturday, 10 December 2016   16:35 - 18:15
Chair: Paula Bouzas Organizer: Paula Bouzas
  EO0595:  G. Mohler
  Hawkes process modeling and estimation for crime and conflict data
  EO0782:  N. Ruiz-Fuentes, P. Bouzas
  Goodness-of-fit test for Cox processes and generalizations
  EO0877:  C. Montes-Gijon, P. Bouzas, N. Ruiz-Fuentes
  Forecasting a compound Cox process
  EO1480:  I. Trolle Andersen, U. Hahn
  Mat\'{e}rn thinned Cox point processes
Session EO638 Room: 217
Model-based clustering of high dimensional data Saturday, 10 December 2016   16:35 - 18:15
Chair: Cristina Tortora Organizer: Cristina Tortora
  EO1051:  A. Iodice D Enza, M. van de Velden, A. Markos
  Clustering of high dimensional categorical data via dimension reduction
  EO1006:  D. Karlis, I. Kosmidis
  Using copulas for model based clustering
  EC1432:  A. Silva, S. Rothstein, S. Subedi
  Mixture-model based clustering of high-throughput sequencing data
Session EO708 Room: S24
Variable selection methods Saturday, 10 December 2016   16:35 - 18:15
Chair: Camino Gonzalez Organizer: Inmaculada Barranco-Chamorro, Camino Gonzalez
  EO1121:  J. Cara, C. Gonzalez, J. Mira
  Statistical approaches to sensitivity analysis in structural mechanics
  EO0919:  C. Gonzalez, J. Mira, J. Garcia Lezana
  Variable selection to predict electricity price categories
  EO0925:  S. Lessanibahri, C. Gonzalez, L. Gastaldi
  A pruning algorithm for mining maximal length frequent itemsets
  EO1005:  J. Mira, B. Dadashova, K. Dixon, B. Arenas, F. Aparicio
  Variable selection with random forests of the influence of road geometry on accident severity
Session EO725 Room: 212
Dependence models and copulas IV Saturday, 10 December 2016   16:35 - 18:15
Chair: Wolfgang Trutschnig Organizer: Fabrizio Durante, Wolfgang Trutschnig
  EO0155:  E. Di Bernardino, D. Rulliere
  On tail dependence coefficients of transformed multivariate Archimedean copulas
  EO1064:  M. Gomez, C. Ausin, C. Dominguez
  Seasonal vine copula model for a glacier in King George island
  EO1645:  R. Lillo, R.A. Torres Diaz, H. Laniado Rodas, C. De Michele
  Directional multivariate extremes in environmental phenomena
  EO1012:  F. Durante
  Multivariate CoVaR and hazard scenarios
Parallel session J: CFE Saturday, 10 December 2016 16:35 - 18:15

Session CI343 (Special Invited Session) Room: Graduation hall
Financial time series forecasting Saturday, 10 December 2016   16:35 - 18:15
Chair: Jeroen Rombouts Organizer: Jeroen Rombouts
  CI0489:  A. Dufays, J. Rombouts
  Sparse change-point and Markov-switching HAR models for realized volatility
  CI0932:  R. Crevits, C. Croux
  Robust time series forecasting with exponential smoothing methods
  CI0193:  J. Rombouts, F. Violante, L. Stentoft
  Dynamics of variance risk premia, inverstors' sentiment and international return predictability
Session CO269 Room: 101
Portfolio optimization and performance evaluation Saturday, 10 December 2016   16:35 - 18:15
Chair: Chulwoo Han Organizer: Chulwoo Han
  CO1054:  C. Han
  Improving the naive portfolio strategy
  CO1126:  S. Kim, C. Han
  Portfolio optimization with analyst forecasts
  CO1158:  J. Li, C. Han
  ETFs and market coverage
  CC0227:  J. Laborda, R. Laborda
  Tactical asset allocation with binary regression trees andforests
Session CO273 Room: 104
Real-time data analysis Saturday, 10 December 2016   16:35 - 18:15
Chair: Dean Croushore Organizer: Jan Jacobs
  CO0216:  J. de Winter
  Improving model-based near-term GDP forecasts by subjective forecasts: A real-time exercise for the G7 countries
  CO0350:  A. Elbourne, K. Grabska, H. Kranendonk, J. Rhuggenaath
  The effects of CBS revisions on CPB forecasts
  CO0373:  S. Sarferaz, J. Jacobs, J.-E. Sturm, S. van Norden
  Improving GDP measurement further: Data revisions with news-noise measurement errors
  CO1697:  D. Croushore
  Fiscal forecasts at the FOMC: Evidence from the Greenbooks
Session CO297 Room: 112
Macroeconometrics and time series Saturday, 10 December 2016   16:35 - 18:15
Chair: Matteo Barigozzi Organizer: Matteo Barigozzi, Matteo Luciani
  CO0301:  J. Gonzalo, J.J. Dolado, L. Chen
  Quantile factor models
  CO0646:  P. Paruolo, M. Franchi
  A general inversion theorem with applications to integrated processes
  CO0655:  C. Brownlees, R. Barnichon
  Impulse response estimation by smooth local projections
  CO1261:  A. Conti, M. Barigozzi, F. Venditti
  Sentiments in the times of crisis
Session CO347 Room: 106
Time series modelling of challenging economic phenomena Saturday, 10 December 2016   16:35 - 18:15
Chair: Jeanne Diesteldorf Organizer: Pierre Siklos
  CO0374:  M. Lombardi, F. Zhu
  Global impact of US and euro area unconventional monetary policies: A comparison
  CO0379:  J. Diesteldorf, M.T. Bohl
  The impact of speculators on agricultural commodity futures prices
  CO0382:  C. Wellenreuther, M.T. Bohl, P. Siklos
  The speculative component in Chinese agricultural commodity futures
  CO1466:  C. Wese, M. Prokopczuk
  What makes the market jump
Session CO357 Room: 103
Advances in financial volatility modelling Saturday, 10 December 2016   16:35 - 18:15
Chair: Genaro Sucarrat Organizer: Genaro Sucarrat
  CO0854:  N. Metiu, G. Motta
  The short-run and long-run components of financial market volatility
  CC1506:  A. Marchenko, P. Gagliardini, I. Horenko
  Towards a computationally-tractable maximum entropy principle for non-stationary financial time series
  CO1150:  D. Kreiberg, S. Groenneberg, G. Sucarrat
  On the unbiasedness of financial volatility proxies
  CO1061:  G. Sucarrat, S. Groenneberg
  Models of financial return with time-varying zero probability
Session CO359 Room: Board meeting room II
Funds performance measurement Saturday, 10 December 2016   16:35 - 18:15
Chair: Spyridon Vrontos Organizer: Spyridon Vrontos
  CO1471:  B. Chizzolini, L. Gori, S. Gatti
  Features and determinants of risk in investment choices by private equity funds
  CO1443:  S. Vrontos
  Robust funds performance evaluation
  CC1254:  A. Savvides, D. Nguyen, G. Salah Uddin
  The dynamics of equity capital flows by global investment funds to emerging economies
Session CO393 Room: Board meeting room I
Animal spirits, communication and regime shifts Saturday, 10 December 2016   16:35 - 18:15
Chair: Ekkehard Ernst Organizer: Ekkehard Ernst
  CO1431:  G. Ciminelli
  Central bank signaling matters: Evidence from the sensitivity of financial variables to macroeconomic news
  CO1530:  C. Macchiarelli, P. De Grauwe
  Financial frictions and housing collateral contraints in a macro model with heuristics
  CO1456:  R. Merola, E. Ernst
  Central Bank communication: A comparative assessment.
  CC1622:  E. Ernst
  Endogenous fiscal multipliers
  CO1700:  J.J. Perez, G. Perez Quiros
  Fiscal targets: A guide to forecasters
Session CO405 Room: 102
Quantiles, predictability, and heavy-tailed distributions Saturday, 10 December 2016   16:35 - 18:15
Chair: Richard Luger Organizer: Richard Luger
  CO0702:  K. Salehzadeh Nobari, A. Taamouti, J.-M. Dufour
  Point-optimal sign-based tests for stock return predictability
  CO0778:  E. Flachaire, A. Charpentier
  Quantiles and inequality indices estimation from heavy-tailed distribution
  CO0969:  S. Gungor, R. Luger
  Exact inference in predictive quantile regressions
  CO0973:  R. Luger
  Exact and heavy-tail robust inference in GARCH models
Session CO501 Room: 105
Managing liquidity risk Saturday, 10 December 2016   16:35 - 18:15
Chair: Gaelle Le Fol Organizer: Gaelle Le Fol
  CO0258:  F. Riva, L. Deville, J. Raposo
  Event-studies and (endogenous) zero returns
  CO0604:  R. Sun
  A self-exciting model of mutual fund flows
  CO1446:  G. Le Fol
  Financial market liquidity: Who is acting strategically
  CO1576:  M. Rambaldi, E. Bacry, F. Lillo
  Multivariate Hawkes processes: A microscope for high-frequency order book dynamics
Session CO634 Room: 111
Nonstationarity in time series Saturday, 10 December 2016   16:35 - 18:15
Chair: Lionel Truquet Organizer: Lionel Truquet
  CO1023:  J.M. Bardet
  Moment bounds and central limit theorems for non stationary Gaussian subordinated arrays
  CO1259:  T. Magdalinos, P.C. Phillips
  Robust econometric inference in systems of cointegrating and predictive regressions
  CO1045:  W. Wu, Z. Zhou
  Gradient-based structural change detection for non-stationary time series M-estimation
  CO1651:  W.B. Wu
  Asymptotic theory for time-varying regression models
Session CO731 Room: 107
Nowcasting and forecasting macroeconomic trends II Saturday, 10 December 2016   16:35 - 18:15
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO1111:  D. Rieser, G.L. Mazzi, J. Mitchell
  Use of panel VAR models for nowcasting GDP
  CO0945:  B. Siliverstovs
  Nowcasting US GDP in real time: A Bayesian mixed-frequency latent-threshold model with stochastic volatility
  CO0201:  K. Petrova
  A quasi-Bayesian nonparametric approach to time varying parameter VAR models
  CO0721:  T. Renault, C. Bortoli, S. Combes
  Nowcasting payroll employment with traditional media content
Session CG322 Room: 109
Contributions on business cycles Saturday, 10 December 2016   16:35 - 18:15
Chair: Simon van Norden Organizer: CFE
  CC0218:  A. Silva Lopes, G. Florin Zsurkis
  Revisiting non-linearities in business cycles around the world
  CC0967:  K. Shibayama
  Trend dominance in macroeconomic fluctuations
  CC0733:  G. Livieri, M. Donadelli, A. Paradiso
  Financial cyclical factors and growth: Insights from an augmented stochastic Solow growth model
  CC1436:  M. Doan
  Anchoring countercyclical capital buffers: The role of market liquidity
Parallel session L: CMStatistics Sunday, 11 December 2016 08:40 - 10:20

Session EO021 Room: 210
Recent developments in spatial statistics Sunday, 11 December 2016   08:40 - 10:20
Chair: Yulia Gel Organizer: Brian Reich
  EO0313:  F.J. Rodriguez Cortes, M. Siino, J. Mateu, G. Adelfio
  An approach to hypothesis testing based on local indicators of spatio-temporal association
  EC1449:  N. Shariati Fokalaei, H. Asgharian
  A multivariate spatial econometrics model with an intra-location feedback effect
  EC1627:  M.I. Borrajo, W. Gonzalez-Manteiga, L. Martinez-Miranda
  Bootstrapping and bandwidth selection for kernel intensity estimation in point processes with covariates
Session EO051 Room: 203
Advances and applications of functional data analysis Sunday, 11 December 2016   08:40 - 10:20
Chair: Ying Zhu Organizer: Ming-Yen Cheng
  EC0244:  L.-H. Chen, C.-R. Jiang
  Sensible functional linear discriminant analysis
  EO1039:  Y. Zhu
  Functional data analysis with its application to discrimination of Chinese herbal medicine
  EO1714:  J. Hirukawa
  On the extension of Lo's modified R/S statistics against to locally stationary short-range dependence
  EC1513:  M.-H. Descary, V. Panaretos
  Functional data analysis by matrix completion
Session EO097 Room: 209
Recent advances in quantile regression Sunday, 11 December 2016   08:40 - 10:20
Chair: Carlos Lamarche Organizer: Carlos Lamarche
  EO0320:  J.C. Escanciano
  Quantile-regression inference with adaptive control of size
  EO0728:  B. Callaway, T. Li, T. Oka
  Quantile difference in differences
  EO1184:  T. Parker
  Regression rankscores for inference in semiparametric quantile regression models
Session EO131 Room: 215
Modern multivariate methods with R Sunday, 11 December 2016   08:40 - 10:20
Chair: Anne Ruiz-Gazen Organizer: Anne Ruiz-Gazen, Klaus Nordhausen
  EO0809:  M. Chavent
  Multivariate analysis of mixed data: The PCAmixdata R package
  EO0789:  K. Nordhausen, J. Miettinen, S. Taskinen
  Blind source separation based on joint diagonalization in R: The packages JADE and BSSasymp
  EO0831:  M. Olteanu, N. Villa-Vialaneix
  Using SOMbrero for clustering and visualizing complex data
  EO1276:  M. Schlather
  Analysis, simulation and prediction of multivariate random fields
Session EO169 Room: 202
Econometrics and statistics for financial risk management Sunday, 11 December 2016   08:40 - 10:20
Chair: Katrien Antonio Organizer: Katrien Antonio
  EO0718:  M. Guillen, A.M. Perez-Marin, M. Ayvso, J.P. Nielsen
  A methodological overview for quantifying the risk of an accident in usage-based insurance
  EO0794:  R. Verbelen, K. Antonio, G. Claeskens
  Unraveling the predictive power of telematics data in car insurance pricing
  EO0915:  M. Santolino, C. Bolance, M. Guillen
  Aggregating and disaggregating risks
  EO1273:  S. Devriendt, K. Antonio, E. Frees, R. Verbelen
  Sparse modeling of risk factors for insurance analytics
Session EO171 Room: 212
Ordinal pattern dependence in time series analysis Sunday, 11 December 2016   08:40 - 10:20
Chair: Alexander Schnurr Organizer: Alexander Schnurr
  EO0253:  S. Fischer, A. Schumann, A. Schnurr
  Detecting climatic coherences in hydrological time series using ordinal patterns
  EO0288:  A. Schnurr, H. Dehling
  Ordinal pattern dependence: Background, origins and areas of application
  EO0348:  K. Keller
  Entropies based on ordinal pattern distributions
  EO0739:  J. Buchsteiner, H. Dehling, A. Schnurr, J. Woerner
  Ordinal patterns under long-range dependence
Session EO183 Room: 211
Data-driven estimation procedures in the presence of dependence Sunday, 11 December 2016   08:40 - 10:20
Chair: Jan Johannes Organizer: Jan Johannes
  EO0303:  N. Asin, J. Johannes
  Adaptive functional linear regression in the presence of dependence
  EO0312:  M. Kroll
  Nonparametric estimation for Poisson inverse problems in a circular model
  EO1288:  C. Duval, F. Comte
  Nonparametric estimation of the interarrival distribution of a renewal process
  EO1612:  J. Johannes, X. Loizeau, F. Comte
  Adaptive aggregation in circular deconvolution in the presence of dependence
Session EO205 Room: 214
Recent statistical advances for clinical trials Sunday, 11 December 2016   08:40 - 10:20
Chair: Jacobo de Una-Alvarez Organizer: Jacobo de Una-Alvarez
  EO1275:  S. Strohmaier
  Causal mediation analysis in clinical survival trials incorporating repeated mediator measurements
  EO1755:  R.-D. Hilgers
  On the selection of a randomization procedure in clinical trials
  EO1251:  G. Gomez Melis, M. Gomez Mateu, M. Bofill
  Planning clinical trials with CompARE
  EO1546:  T. Friede, M. Placzek
  Some statistical aspects of clinical trials for personalized medicine
Session EO257 Room: 204
Incomplete data in extreme value theory Sunday, 11 December 2016   08:40 - 10:20
Chair: Laurent Gardes Organizer: Laurent Gardes
  EO0175:  A. Necir
  Tail product-limit process for truncated data with application to extreme value index estimation
  EO0492:  G. Stupfler, C. Neves
  Assessing the validity of certain hypotheses in randomly right-censored extremes
  EO0518:  J. Beirlant, T. Rey, R. Verbelen, K. Antonio
  Global fits using splicing for censored data: mixed Erlang and extreme value distributions
  EO0523:  J. Worms, R. Worms
  Extreme value index estimation for randomly censored data with competing risks
Session EO263 Room: 217
Statistical size distributions Sunday, 11 December 2016   08:40 - 10:20
Chair: Yves Dominicy Organizer: Yves Dominicy
  EO0230:  C. Sinner, Y. Dominicy, C. Ley, J. Trufin, P. Weber
  An interpolating family of size distributions
  EO0299:  T. Abe
  A simple cylindrical model as a combination of the Weibull and sine-skewed von Mises distributions
  EO0657:  F.J. Rubio
  (non-)Informative priors for the shape parameter of log-two-piece and log-skew-symmetric distributions
  EO0825:  E.A. Koudou, C. Ley
  Efficient and simple testing procedures for the (extended) generalized inverse Gaussian models
Session EO437 Room: 206
Advances in robust data analysis Sunday, 11 December 2016   08:40 - 10:20
Chair: Agustin Mayo-Iscar Organizer: Alfonso Gordaliza, Agustin Mayo-Iscar, Luis Angel Garcia-Escudero
  EO0316:  A. Garcia-Perez, Y. Cabrero-Ortega
  Robust morphometrics with geographical information systems
  EO1227:  A. Marazzi, M. Amiguet, M. Valdora, V. Yohai
  Highly robust and efficient estimates for the generalized linear model with a dispersion parameter
  EO1244:  V. Todorov, P. Filzmoser
  A user approach to robust multivariate analysis in R
  EC1761:  E. Sordini, V. Todorov, A. Corbellini
  FSDA4R: Porting the FSDA toolbox to R
Session EO453 Room: 208
High dimensional statistics and finance Sunday, 11 December 2016   08:40 - 10:20
Chair: Carlos Tolmasky Organizer: Liliana Forzani, Carlos Tolmasky
  EO0411:  M. Potters, J.-P. Bouchaud, J. Bun
  Cleaning large correlation matrices: Eigenvector overlaps, rotationally invariant estimators and financial applications
  EO0704:  M.A. Gieco, L. Forzani, C. Tolmasky
  Likelihood ratio test for partial sphericity in high and ultra-high dimensions
  EO1302:  C. Qian
  Spatial weight matrix estimation and financial applications
  EC1482:  B. Poignard
  Asymptotic theory of the sparse group lasso
Session EO457 Room: 002
Recent advances in high-dimensional inference and testing Sunday, 11 December 2016   08:40 - 10:20
Chair: Zuofeng Shang Organizer: Xianyang Zhang
  EO0383:  Y. Xia
  Two-Sample tests for high-dimensional linear regression with an application to detecting interactions
  EO0396:  J. Li, P.-S. Zhong
  Temporal homogeneity detection of high-dimensional means
  EO1293:  M. Kolar
  Exploring complex systems using semi-parametric graphical models
  EO1665:  K. Gregory, S. Lahiri
  Inference in high-dimensional linear models with the bootstrap
Session EO465 Room: 205
Advances in causal inference Sunday, 11 December 2016   08:40 - 10:20
Chair: Jason Roy Organizer: Jason Roy
  EO0528:  A. Sjolander
  Confounding, mediation and colliding in sibling comparison designs
  EO0810:  M. Daniels, D. Xu
  A Bayesian approach for causal inference using electronic health records
  EO0774:  L. Keele
  Recovering experimental benchmarks with multilevel matching algorithms
  EO1112:  V. Didelez
  Causal inference under selection
Session EO515 Room: 006
Time series of networks Sunday, 11 December 2016   08:40 - 10:20
Chair: Carsten Jentsch Organizer: Carsten Jentsch
  EO0994:  H. Crane
  Markov process models for time-varying networks
  EO1193:  K. Yilmaz
  Measuring dynamic connectedness with large TVP-VAR models
  EO1067:  M. Knight, M. Nunes, G. Nason
  Network time series modelling
  EO1194:  C. Jentsch, S.T. Hossain, L. Reichmann
  Modeling dynamic networks using high-dimensional binary autoregressive time series processes
Session EO593 Room: 213
Survival analysis Sunday, 11 December 2016   08:40 - 10:20
Chair: Thomas Scheike Organizer: Thomas Scheike
  EO1052:  R. Oller
  A general class of nonparametric test statistics for interval-censored data
  EO1284:  F. Ambrogi, T. Scheike
  Penalised competing risks regression
  EO1170:  R. Betensky, S.H. Chiou, J. Qian
  Permutation tests for general dependent truncation
Session EO618 Room: 201
Modern methods in the analysis of brain imaging data Sunday, 11 December 2016   08:40 - 10:20
Chair: Jeff Goldsmith Organizer: Ana-Maria Staicu
  EO0388:  N. Lazar
  Topological data analysis for functional neuroimaging
  EO1034:  E. Erhardt, R. Warnick, M. Guindani, E. Allen, V. Calhoun, M. Vannucci
  A Bayesian approach for estimating dynamic functional connectivity networks in fMRI data
  EO1234:  M. Guindani, M. Vannucci
  A spatio-temporal nonparametric Bayesian model of multi-subject fMRI data
  EO1402:  D. Telesca
  Inferring brain signals synchronicity from a sample of EEG readings
Session EO652 Room: 207
Adversarial risk analysis Sunday, 11 December 2016   08:40 - 10:20
Chair: Jacinto Martin Jimenez Organizer: Jacinto Martin Jimenez
  EO0751:  C.J. Perez Sanchez, K. Reder, M.A. Vega-Rodriguez, M. Florke, J. Alcamo
  An artificial bee colony-based optimization approach to design a water quality monitoring network in a river system
  EO0820:  A. Mateos Caballero, E. Vicente, A. Jimenez-Martin
  Social network analysis for fraud detection using complicity functions
  EO1209:  I. Serra
  Model for management risk of burglaries
  EO0912:  J. Martin Jimenez, L. Naranjo Albarran, F.J. Acero Diaz, J.A. Garcia Garcia
  A Bayesian hierarchical model for extreme rainfall in Extremadura
Session EO712 Room: 007
Bayesian semi-and nonparametric modelling II Sunday, 11 December 2016   08:40 - 10:20
Chair: Matteo Ruggiero Organizer: Li Ma, Matteo Ruggiero, Antonio Lijoi
  EO0206:  S. Filippi, C. Holmes, L.E. Nieto-Barajas
  Bayesian nonparametric approaches to quantifying dependence between random variables
  EO1123:  V. Rao
  Bayesian nonparametric regression on manifolds
  EO0199:  F. Leisen, L. Rossini, L. Dalla Valle
  Bayesian nonparametric conditional copula estimation of twin data
  EO0910:  G. Kon Kam King, J. Arbel, I. Pruenster
  A Bayesian nonparametric approach to ecological risk assessment
Parallel session L: CFE Sunday, 11 December 2016 08:40 - 10:20

Session CI683 (Special Invited Session) Room: Graduation hall
Combining forecasts Sunday, 11 December 2016   08:40 - 10:20
Chair: Ekaterini Panopoulou Organizer: Christos Savva
  CI0296:  F. Ravazzolo, R. Casarin, S. Grassi, H. van Dijk
  Density combinations for large data sets in economics and finance
  CI0328:  E. Panopoulou, L. Meligkotsidou, I. Vrontos, S. Vrontos
  Quantile forecast combinations
  CO0582:  A. Amendola, V. Candila, G. Storti
  Combining multiple frequencies in multivariate volatility forecasting
Session CO197 Room: 111
Advances in financial econometrics Sunday, 11 December 2016   08:40 - 10:20
Chair: Ostap Okhrin Organizer: Ostap Okhrin
  CO0345:  R. Quaedvlieg, T. Bollerslev, A.J. Patton
  Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
  CO0535:  A. Tetereva, O. Okhrin
  Clustering estimator of the HAC for high-frequency data
  CO0742:  R. Halbleib
  Estimating long memory in volatility by means of factor models
  CO0761:  I. Okhrin, S. Zikovic
  On LASSO-GARCH approach
Session CO293 Room: 110
SVAR analysis Sunday, 11 December 2016   08:40 - 10:20
Chair: Gregor von Schweinitz Organizer: Gregor von Schweinitz
  CO0213:  F. Sarah, M. Bolboaca
  News shocks: Different effects in boom and recession
  CO0495:  G. von Schweinitz, M. Buchholz, L. Tonzer
  On the the Swiss exchange rate shock
  CO0559:  M. El-Shagi, L. Kelly
  An analysis of monetary policy during the great moderation
  CO0576:  H. Herwartz
  Structural VAR modelling with independent shocks
Session CO323 Room: 105
Time-series econometrics Sunday, 11 December 2016   08:40 - 10:20
Chair: Robert Kunst Organizer: Robert Kunst
  CO0290:  U. Gunter, I. Onder, A. Scharl
  Forecasting tourist arrivals with the help of web sentiment: A mixed-frequency modeling approach for big data
  CO0707:  R. Kunst
  Distance measures implied by forecast evaluation criteria
  CO1132:  M. Hauser, A. Gschwandtner
  Using profit persistence to predict stock returns: An alternative model
  CO1009:  H. Rachinger
  Linear trends, fractional trends and initial conditions
Session CO355 Room: 102
Volatility modelling Sunday, 11 December 2016   08:40 - 10:20
Chair: Giuseppe Storti Organizer: Giuseppe Storti
  CC1637:  C. Diks, M. Wolski
  Nonlinear conditional Value-at-Risk Granger causality
  CO1269:  S. Laurent, S. Shi
  On the random walk assumption in high frequency stock market prices
  CO1356:  M. Marchese, L. Trapani
  Forecasting oil price volatilities with multivariate fractionally integrated asymmetric DCC models
  CO1371:  G. Storti, R. Gerlach, A. Naimoli
  Flexible realized GARCH models
Session CO407 Room: 112
Non-parametric econometrics Sunday, 11 December 2016   08:40 - 10:20
Chair: Isabel Casas Organizer: Isabel Casas, Helena Veiga
  CO0811:  Y. Yang
  Recursive estimation in large panel data models: Theory and practice
  CO0989:  S. Orbe, E. Ferreira, I. Casas
  Tv-SURE or not Tv-SURE, that is the question: Time-varying coeffcient estimation in SUR models
  CO1062:  J. Schnurbus, H. Haupt
  Nonparametric estimation and forecasting of structural time series models
  CO0998:  S. Van Bellegem
  High dimensional portfolio optimization by wavelet thresholding
Session CO409 Room: 106
Long run co-movement Sunday, 11 December 2016   08:40 - 10:20
Chair: J Isaac Miller Organizer: J Isaac Miller
  CO0246:  T. Yigit, B. Eroglu, J.I. Miller
  Time varying cointegration and Kalman filter
  CO0327:  J. Kim, J. Park
  Unit root and mean reversion in financial time series generated from diffusion models
  CO0666:  G. Chevillon, S. Mavroeidis, Z. Zhan
  Robust inference in structural VARs with long-run restrictions
  CO0232:  J.I. Miller
  Decomposing climate sensitivity: A statistical approach for a spatially heterogeneous planet
Session CO491 Room: 107
Modelling and forecasting inflation and inflation expectations Sunday, 11 December 2016   08:40 - 10:20
Chair: Gian Luigi Mazzi Organizer: Gian Luigi Mazzi
  CO0205:  J. Sim, I. Cairo
  The demise of the treaty of Detroit and (dis)inflation dynamics
  CO0390:  T. Strohsal, D. Nautz, A. Netsunajev
  The anchoring of inflation expectations in the short and in the long run
  CO0624:  M. Miccoli, M. Casiraghi
  Risk-adjusted expectations of inflation
  CO0767:  J. Mitchell, M. Weale
  Censoring and Fat Tails on the Monetary Policy Committee
Session CO499 Room: 104
Macroeconometric forecasting Sunday, 11 December 2016   08:40 - 10:20
Chair: Shaun Vahey Organizer: Shaun Vahey
  CO0204:  S. Price, G. Kapetanios, T. Konstantinos
  Multistep prediction error decomposition in DSGE models: Estimation and forecast performance
  CO0683:  S. van Norden, J. Galbraith
  Asymmetries and unemployment rate forecasts
  CO1037:  S. Vahey
  Cognitive dissonance and forecaster overconfidence in a model of inflation expectations with distributional inaccuracies
  CO0951:  R. Sekkel
  The real-time properties of the Bank of Canada's staff output gap estimates
Session CO531 Room: Board meeting room I
New developments in DSGE modelling and estimation Sunday, 11 December 2016   08:40 - 10:20
Chair: Timo Baas Organizer: Timo Baas
  CO0762:  J. Velauthapillai, T. Baas, H. Wagner
  Limitations of macroprudential policy and implications for monetary policy
  CO1074:  T. Baas, M. Aikimbaeva
  Migration dynamics and the enlarged European labor market
  CO1020:  J. Hart, M. Clemens
  A search and matching approach to business-cycle migration in the Euro area
  CO1348:  F. Shamsfakhr, T. Baas
  Health shock and gender labor market outcome: An estimated DSGE model of the impact of Spanish flu on Swedish economy
Session CO573 Room: Board meeting room II
Statistical methods for financial and energy markets Sunday, 11 December 2016   08:40 - 10:20
Chair: Gernot Mueller Organizer: Gernot Mueller
  CO0844:  C. Pigorsch
  Identification of core-periphery networks in the interbank market
  CO0974:  A. Seibert, G. Mueller, A. Sirchenko
  Central bank interest rate policy: Bayesian analysis using a cross nested AOP model
  CO0534:  J. Woerner, D. Kobe
  Oscillating Ornstein-Uhlenbeck processes in electricity markets: Modelling and statistical inference
  CO0975:  G. Mueller, B. Buchmann, R. Maller
  Modelling electricity prices using processes with time-varying parameters
Session CO597 Room: 101
Big data, high-frequency trading and market structure Sunday, 11 December 2016   08:40 - 10:20
Chair: Michael Stein Organizer: Michael Stein
  CO0545:  D. Yuferova, M. Bellia, J. Uno, L. Pelizzon, M. Subrahmanyam
  Low-latency trading and price discovery: Evidence from the Tokyo stock exchange in the pre-opening and opening periods
  CO0828:  S. Sagade, A. Bernales, I. Riarte, M. Valenzuela, C. Westheide
  The effects of artificial fragmentation of trading in equity markets
  CC1624:  A. Ntakaris, M. Magris, J. Kanniainen, A. Iosifidis, M. Gabbouj
  Analysis of high-frequency order flow dynamics with machine learning techniques
  CO1247:  L. Wendt
  Limit-order-book models and high-frequency-trading
Session CO642 Room: 103
Advances in financial data modeling Sunday, 11 December 2016   08:40 - 10:20
Chair: Matthias Hartmann Organizer: Claudio Morana
  CO0239:  M. Hartmann
  Forecast performance, disagreement, and heterogeneous signal-to-noise ratios
  CO0380:  C. Conrad
  Testing for an omitted long-term component in multiplicative GARCH models
  CO0410:  M. Karanasos, S. Yfanti
  Stylized facts for extended HEAVY models: The importance of asymmetries, power transformations and long memory
  CO0236:  C. Morana
  Semiparametric estimation of multivariate GARCH models
Session CG706 Room: 109
Contributions in algorithms and software for financial econometrics Sunday, 11 December 2016   08:40 - 10:20
Chair: Georgi Boshnakov Organizer: CFE
  CC1621:  S. Berger, N. Graham, A. Zeileis
  Various versatile variances: An object-oriented implementation of clustered covariances in R
  CC1512:  M. Bee, M.M. Dickson, F. Santi
  Estimating the variance-gamma distribution: A comparison of algorithms and of estimated option prices
  CC0775:  A. Santos
  Real-time analysis of the intraday financial volatility: Big data, simulations and stochastic volatility using R
Parallel session M: CMStatistics Sunday, 11 December 2016 10:50 - 12:05

Session EO027 Room: 211
Recent advances in failure time data analysis Sunday, 11 December 2016   10:50 - 12:05
Chair: Jianguo Sun Organizer: Jianguo Sun
  EO0291:  Y.-J. Kim
  A modified log rank test for interval censored competing risk data
  EO0292:  P. Wang, H. Zhao, J. Sun
  Regression analysis with $K$ interval-censored failure time data in presence of informative censoring
  EO0400:  D. Park
  Joint modeling on multivariate longitudinal and recurrent event data and its application on urea cycle disorder
Session EO105 Room: 214
Recent development in design of experiments Sunday, 11 December 2016   10:50 - 12:05
Chair: Chang-Yun Lin Organizer: Chang-Yun Lin
  EO1164:  R. Fontana
  Aberration in qualitative multilevel designs: Computational aspects
  EO1521:  P. Yang
  Some properties of optimal foldover designs with column permutations
  EO1606:  M. Kao
  Optimal experimental designs for mixed categorical and continuous responses
Session EO109 Room: 203
Some new development in functional data analysis Sunday, 11 December 2016   10:50 - 12:05
Chair: Kehui Chen Organizer: Catherine Chunling Liu
  EO0405:  J. Yang, C. Liu, T. Zhang
  Testing equality of surface mean functions in longitudinal functional data
  EO0362:  C.T. Ng
  Functional data analysis using factor model with Toeplitz error structure
  EO1527:  Y. Cheng, J.Q. Shi, J. Eyre
  Nonlinear mixed-effects scalar-on-function models and variable selection for kinematic upper limb movement data
Session EO127 Room: 002
Combining statistics and imprecision Sunday, 11 December 2016   10:50 - 12:05
Chair: Ana Belen Ramos-Guajardo Organizer: Angela Blanco, Ana Belen Ramos-Guajardo
  EO1268:  L. Borrajo, R. Cao
  Nonparametric inference about the mean for big-but-biased data
  EO1086:  P. Grzegorzewski, M. Spiewak
  Nonparametric tests for interval-valued data
  EC1094:  A. Kolacz, P. Grzegorzewski
  Computing maximum variance for interval uncertainty
Session EO137 Room: 006
Health economics Sunday, 11 December 2016   10:50 - 12:05
Chair: Michael Talias Organizer: Michael Talias
  EO1347:  V. Vitale, C. Conigliani, T. Petitti
  Bayesian networks for the analysis of inpatient admissions
  EO1603:  M. Talias, K. Kounetas
  Modelling unmeasured heterogeneity on different health systems using a Bayesian metafrontier framework
  EO1359:  P. Zervopoulos
  Efficiency measurement of healthcare units: A Bayesian DEA approach
Session EO141 Room: 204
Robust high-dimensional/functional data analysis Sunday, 11 December 2016   10:50 - 12:05
Chair: Stefan Van Aelst Organizer: Stefan Van Aelst
  EO0741:  W. Van den Bossche, M. Hubert, P. Rousseeuw
  Robust PCA in the presence of outlying cells
  EO0651:  J. Raymaekers, M. Hubert, P. Rousseeuw
  Finding outliers in image data and video
  EO1445:  I. Hoffmann, P. Filzmoser, C. Croux
  Robust and sparse classification by the optimal scoring approach
Session EO165 Room: 205
Topological data analysis Sunday, 11 December 2016   10:50 - 12:05
Chair: Pedro Teran Organizer: Jose E Chacon, Pedro Teran
  EO1547:  F. Chazal
  Subsampling methods for persistent homology
  EO1607:  S. Mukherjee, O. Bobrowski, J. Taylor
  Topological consistency via kernel estimation
Session EO193 Room: 206
Statistics in ecology Sunday, 11 December 2016   10:50 - 12:05
Chair: Eva Cantoni Organizer: Eva Cantoni
  EO0803:  R. King
  Efficient model-fitting via a semi-complete data likelihood approach
  EO1161:  W. Aeberhard, J. Mills Flemming, C. Field, E. Cantoni, X. Xu
  Robust fitting of state-space models for reliable fish stock assessment
  EO1125:  J. Mills Flemming
  Modelling animal movement with state-space models
Session EO461 Room: 215
Matrix methods in multivariate models Sunday, 11 December 2016   10:50 - 12:05
Chair: Katarzyna Filipiak Organizer: Katarzyna Filipiak
  EO0722:  M. Fonseca, M. Singull
  Inference for the growth curve model with orthogonal covariance structure
  EO1222:  D. Klein, M. Singull
  Mean testing under orthogonal covariance structure
  EO0783:  D. von Rosen
  Using matrix derivatives in influential analysis
Session EO537 Room: 212
Multiple testing and simultaneous inference procedures Sunday, 11 December 2016   10:50 - 12:05
Chair: Frank Konietschke Organizer: Frank Konietschke
  EO0509:  M. Umlauft, F. Konietschke, M. Pauly
  Wild bootstraping rank-based procedures: Factorial designs and multiple testing
  EO0791:  K. Noguchi
  Visualization of simultaneous statistical inference through the non-overlapping confidence intervals
  EO1198:  A. Bathke
  Detecting global and local signals using multivariate and multiple inference
Session EO549 Room: 209
High dimensional data analysis Sunday, 11 December 2016   10:50 - 12:05
Chair: Zuofeng Shang Organizer: Pengsheng Ji
  EO0772:  H. Alawieh, N. Wicker, C. Biernacki
  Projection under pairwise distance control
  EO0885:  I. Tecuapetla-Gomez
  Difference-based estimators of (autoco)variance in nonparametric models with a discontinuous signal
  EO1712:  M. Maathuis
  High-dimensional consistency in score-based and hybrid structure learning
Session EO563 Room: 207
Recent advances in nonparametric and semiparametric inference Sunday, 11 December 2016   10:50 - 12:05
Chair: Zheyu Wang Organizer: Xinyuan Song
  EO0222:  H. Lin
  A semiparametrically efficient estimator of the time-varying effects for survival data with time-dependent treatment
  EO0342:  X. Luo, Y. Wei
  Nonparametric Bayesian learning of heterogeneous dynamic transcription factor networks
  EO1353:  X. Wang, X. Feng, X. Song
  Structural equation models with mixed continuous and partially ordered data
Session EO614 Room: 208
Recent advances in statistical analysis of human brain data Sunday, 11 December 2016   10:50 - 12:05
Chair: Tingting Zhang Organizer: Tingting Zhang
  EO0154:  T. Zhang
  Bayesian inference for directional brain networks modeled by damped harmonic oscillators using ECoG data
  EO0264:  J. Peng
  Multiscale information extraction of structure connectivity of the brain
  EO0387:  X. Luo, Y. Zhao
  Estimating information flow in large brain networks via pathway lasso
Session EO616 Room: 201
Challenges in analysis of complex biomedical data Sunday, 11 December 2016   10:50 - 12:05
Chair: Ronglai Shen Organizer: Sijian Wang
  EO1717:  Y. Li
  A hierarchical hidden Markov random field model for peak calling across multiple Hi-C datasets
  EO1718:  Q. Long, E.J. Min, Y. Hu
  Integrative omics analyses using tensor decomposition and regularization
  EO1720:  R. Shen
  Integrating omics data for cancer prognostic assessment
Session EO650 Room: 202
Uncertainty, error propagation and quality control of spatial data Sunday, 11 December 2016   10:50 - 12:05
Chair: Jose Rodriguez-Avi Organizer: Francisco Javier Ariza-Lopez, Jose Rodriguez-Avi
  EO1243:  J. Rodriguez-Avi, M.J. Olmo-Jimenez, F.J. Ariza-Lopez
  An alternative approach to spatial regression for count data: An application to Sierra Magina
  EO1278:  V. Alba-Fernandez, F.J. Ariza-Lopez
  On the use of $\phi$-divergences for controlling spatial point patterns
  EC1340:  F. Rueda-Valdivia, J.F. Reinoso-Gordo, A. Diaz-Castro
  Uncertainty assessment in soil erosion risk maps
Session EO698 Room: 007
Recent advances in sequential Monte Carlo and related methods Sunday, 11 December 2016   10:50 - 12:05
Chair: Carles Breto Organizer: Carles Breto
  EO1233:  L. Murray
  Anytime Monte Carlo
  EO0548:  S. Rubenthaler, V.B. Bui
  Stability of the optimal filter in continuous time: Beyond the Benes filter
Parallel session M: CFE Sunday, 11 December 2016 10:50 - 12:05

Session CO301 Room: 107
Bayesian econometrics Sunday, 11 December 2016   10:50 - 12:05
Chair: Luca Rossini Organizer: Roberto Casarin
  CO0243:  L. Rossini, M. Billio, R. Casarin
  Bayesian nonparametric aparse seemingly unrelated regression model (SUR)
  CO1283:  H. van Dijk, N. Basturk, L. Hoogerheide
  Likelihood shape and regularization priors for econometric models with reduced rank
  CO0686:  M. Iacopini, R. Casarin, M. Billio
  Bayesian matrix regression
Session CO335 Room: 110
Oil price dynamics Sunday, 11 December 2016   10:50 - 12:05
Chair: Ivan Paya Organizer: Ivan Paya
  CO0561:  I. Paya, E. Pavlidis, D. Peel
  On speculative bubbles in oil markets: An analysis based on market expectations
  CO1316:  M. Lorusso, C. Nolan
  Oil price shocks and the UK fiscal regime: 1990-2005
  CO1460:  I. Figuerola-Ferretti, R. McCrorie, I. Paraskevopoulos
  Mild explosivity in recent crude oil prices
  CC1767:  S. Beidas-Strom
  Potential output of net oil exporters after the boom
Session CO417 Room: 111
Econometric analysis of commodity and energy markets Sunday, 11 December 2016   10:50 - 12:05
Chair: Helena Veiga Organizer: Helena Veiga, Sofia Ramos
  CO0189:  M. Joets
  On the volatility of commodity prices and the macroeconomic uncertainty
  CO0738:  J. Luebbers, P.N. Posch
  Commodities common factor: An empirical assessment of the markets drivers
  CO1072:  S. Ramos, H. Veiga
  Energy industry's market value and oil price
Session CO423 Room: 106
Inference on non-causal or non-invertible time series Sunday, 11 December 2016   10:50 - 12:05
Chair: Carlos Velasco Organizer: Carlos Velasco
  CO0293:  H. Nyberg, M. Lof
  Noncausality and the commodity currency hypothesis
  CO0361:  C. Velasco, I. Lobato
  Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
  CC1007:  J. Nyholm, B. Funovits
  Multivariate all-pass time series models: Modelling and estimation strategies
Session CO445 Room: 104
Large-scale multivariate modeling of asset returns and portfolio allocation Sunday, 11 December 2016   10:50 - 12:05
Chair: Marc Paolella Organizer: Marc Paolella
  CO0318:  M. Gambacciani, M. Paolella
  Robust normal mixtures for financial portfolio allocation
  CO0515:  P. Walker, M. Paolella, P. Polak
  A flexible regime-switching model for asset returns
  CO1299:  P. Polak, M. Paolella
  Portfolio selection with active risk monitoring
Session CO449 Room: 105
Data analytics for financial and insurance risk management Sunday, 11 December 2016   10:50 - 12:05
Chair: Gareth Peters Organizer: Andrea Macrina, Gareth Peters
  CO1391:  A. Macrina, H. Dam, O. Mahomed, D. Skovmand
  Multi-curve interest rate modelling and inflation-linked pricing
  CO1708:  G. Bagnarosa, G. Peters, M. Ames, P. Shevchenko, T. Matsui
  On risk factors which drive oil futures price curves: Speculation and hedging in the short-term and long-term
  CO1749:  D.G. Skovmand, H. Dam, D.S. Pedersen
  A rational model for inflation
Session CO579 Room: 101
Nowcasting and forecasting at central banks Sunday, 11 December 2016   10:50 - 12:05
Chair: Knut Are Aastveit Organizer: Knut Are Aastveit
  CO0584:  J.-O. Menz, T. Goetz
  Disaggregated model-based inflation forecasts: A univariate approach
  CO0760:  A. Halka
  How the central banks reaction function in small open economies evolved during the crisis
  CO1093:  K.A. Aastveit, H. van Dijk, F. Ravazzolo
  Exchange rate predictability and model incompleteness
Session CO581 Room: Board meeting room I
Financial networks Sunday, 11 December 2016   10:50 - 12:05
Chair: Marco Petracco Organizer: Marco Petracco
  CO0588:  T. Peltonen, M. Derrico, S. Battiston, M. Scheicher
  Risk and the credit default swap market
  CO0818:  M. Costola, R. Casarin, E. Yenerdag
  Identifying the systemically important financial communities through the weighted stochastic block model
Session CO583 Room: 102
The econometrics of intergenerational mobility Sunday, 11 December 2016   10:50 - 12:05
Chair: Emma Tominey Organizer: Andros Kourtellos
  CO0749:  T. Kitagawa, J. Stuhler, M. Nybom
  Measurement error and rank correlation
  CO0822:  M. Soytas, G.-L. Gayle, L. Golan
  Estimation of dynastic life-cycle discrete choice models
  CO0977:  E. Tominey, P. Carneiro, K. Salvanes
  Family income shocks and adolescent human capital
Session CO585 Room: 112
Commodity prices: Forecasting and policy design Sunday, 11 December 2016   10:50 - 12:05
Chair: Hilde Bjornland Organizer: Anthony Garratt
  CO0389:  H. Bjornland, L.A. Thorsrud
  Commodity prices and fiscal policy design: Procyclical despite a rule
  CO0432:  I. Petrella
  Risk premia and seasonality in commodity futures
Session CO587 Room: Board meeting room II
High frequency empirical finance Sunday, 11 December 2016   10:50 - 12:05
Chair: Wenying Yao Organizer: Vitali Alexeev
  CO0558:  W. Yao, V. Alexeev, G. Urga
  Asymmetric jump beta estimation with implications for portfolio risk management
  CO1410:  L. Winkelmann
  Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
  CC1501:  H. Yu, Q. Lin
  Co-jumps asymmetry
Session CG532 Room: 109
Contributions in DSGE modelling and estimation Sunday, 11 December 2016   10:50 - 12:05
Chair: Stephen Pollock Organizer: CFE
  CC1420:  C.D. Kim
  Housing markets - A DSGE analysis of the German case
  CC1014:  B. Funovits
  The dimension of the set of causal solutions of linear multivariate rational expectations models
Parallel session O: CMStatistics Sunday, 11 December 2016 14:30 - 15:50

Session EC658 Room: 201
Contributions in Bayesian methods Sunday, 11 December 2016   14:30 - 15:50
Chair: Michael Daniels Organizer: CMStatistics
  EC1575:  X. Loizeau, J. Johannes
  A Bayesian interpretation of data-driven estimation by model selection
  EC0924:  P. Dawid, M. Musio
  The use of homogeneous scoring rules in Bayesian model selection
  EC1426:  X. Shen
  Comparison of parametric and semi-parametric binary response models
  EC1716:  C. Ausin, P. Galeano, S. Wilson
  Approximate Bayesian computation methods for phase-type distributions
Session EC664 Room: 206
Contributions in robust methods Sunday, 11 December 2016   14:30 - 15:50
Chair: Ana Maria Bianco Organizer: CMStatistics
  EC1562:  J. Kim, H.-S. Oh
  A unified framework of robust PCA: Use of robust unit approach
  EC1459:  R. Da-ano, E. Barrios, J.R. Lansangan
  Robust inference in a heteroskedastic multilevel model with structural change
  EC1608:  B. Surucu, D. Egemen
  A new robust quality control chart
  EC1524:  A. Balter, A. Pelsser
  Size on sets of indistinguishable models
Session EG004 Room: 217
Contributions in empirical statistics and simulations Sunday, 11 December 2016   14:30 - 15:50
Chair: Helle Sorensen Organizer: CMStatistics
  EC1346:  M. Alvarez Hernandez, A. Martin Andres, I. Herranz Tejedor
  Asymptotic inferences for the odds ratio under the double binomial model
  EC1669:  I. Gomes, F.O. Figueiredo, M. Amitava
  Control charts for monitoring the parameters of a logistic distribution
  EC1585:  E. Mathiesen
  Using latent Dirichlet allocation on a large commercial scale
  EC1605:  M. Brilhante, D. Pestana, M. Rocha
  Random growth rate and carrying capacity in Verhulst population dynamics
Session EG008 Room: 202
Contributions in model selection in high dimensions Sunday, 11 December 2016   14:30 - 15:50
Chair: Christophe Biernacki Organizer: CMStatistics
  EC1202:  R. Tissier, J. Houwing-Duistermaat, M. Rodriguez Girondo
  Incorporating pathway information for prediction in omic applications
  EC1307:  C. Silvestre, M. G M S Cardoso, M. Figueiredo
  Model selection in discrete clustering: The EM-MML algorithm
  EC1632:  T. Gueuning, G. Claeskens
  A focused information criterion for high-dimensional data
  EC1672:  P. Pokarowski
  Greedy variable selection on the Lasso solution grid
Session EG018 Room: 214
Contributions in generalized linear models and beyond Sunday, 11 December 2016   14:30 - 15:50
Chair: Peter Song Organizer: CMStatistics
  EC1610:  P. Paoullis, A. Colubi, E.J. Kontoghiorghes
  On the estimation of the vector generalized linear model
  EC1266:  H. Mourino, C. Iack
  Generalized linear mixed models for binary responses: An application to resignation from the Brazilian Army
  EC1354:  E. Spiegel, F. Sobotka, T. Kneib
  Generalized additive models with flexible link function
  EC1406:  A. Khan, C. OKeefe
  Balancing disclosure risk with utility for generalized linear model output in a remote analysis system
Session EG038 Room: 204
Contributions in statistical software Sunday, 11 December 2016   14:30 - 15:50
Chair: Cristian Gatu Organizer: CMStatistics
  EC1511:  A.C. Cebrian, J. Abaurrea, J. Asin
  IndTestPP: An R package for testing independence between point processes in time
  EC1738:  C. Gatu, G.-E. Pascaru, E.J. Kontoghiorghes
  A controlled error approximate algorithm for regression model selection. A comparison with related packages in R
  EC1582:  J. Lazaro, M. Mateo-Abad, A. Urkaregi, I. Barrio, I. Arostegui
  Zscore an R package for MCA based score development
  EC1676:  C. Mollica, L. Tardella
  EPLMIX: Extended Plackett-Luce models for modeling and clustering ranking data in R
Session EG052 Room: 203
Contributions on functional data analysis I Sunday, 11 December 2016   14:30 - 15:50
Chair: Donatello Telesca Organizer: CMStatistics
  EC1298:  J. Alvarez-Liebana, M.D. Ruiz-Medina
  Asymptotic properties of a componentwise ARH(1) plug-in predictor: Comparative case study
  EC1503:  M.P. Frias Bustamante, A. Torres, M.D. Ruiz-Medina
  Functional estimation of log-Gaussian Cox process for prediction of risk maps in disease mapping
  EC1554:  S. Hadjiantoni, A. Colubi, E.J. Kontoghiorghes
  Recursive strategies in functional data analysis
  EC1550:  L. Reichmann, M. Birke, C. Jentsch
  Conditional density estimation of categorical data given functional regressors
Session EG098 Room: 213
Contributions in quantile regression Sunday, 11 December 2016   14:30 - 15:50
Chair: Juan Carlos Escanciano Organizer: CMStatistics
  EC1653:  M. Conde-Amboage, V. Patilea, C. Sanchez-Sellero
  A new lack-of-fit test for quantile regression models using logistic regression
  EC1200:  P. Stolfi, L. Petrella
  The method of simulated quantiles for regression parameters estimation.
  EC1409:  T. Dimitriadis, S. Bayer
  A joint (value-at-risk, expected shortfall) regression framework with financial applications
  EC0437:  J. Huang
  Least angle quantile lasso regression
Session EG250 Room: 212
Contributions in copula modeling and its applications Sunday, 11 December 2016   14:30 - 15:50
Chair: Paul Janssen Organizer: CMStatistics
  EC1458:  M. Prieto-Alaiz, A. Perez Espartero
  Measuring dependence between dimensions of welfare using multivariate copula-based coefficients
  EC1630:  M. Nai Ruscone
  Mixture D-vine model based approach to clustering three-way data
  EC1590:  E. Sofikitou, M. Koutras
  A bivariate semiparametric chart based on the number of observations lying between the control limits
Session EG602 Room: 205
Contributions in nonparametric estimation Sunday, 11 December 2016   14:30 - 15:50
Chair: Byeong Park Organizer: CMStatistics
  EC0322:  S. Bouzebda
  Strong approximations for a class of integrated empirical processes withapplications to statistical tests
  EC1549:  K. Han, B. Park
  Smooth backfitting in errors-in-variables additive models
  EC1644:  D. Bagkavos, P. Patil
  Comparison of mean integrated squared errors of parametric and nonparametric estimates
  EC1442:  S. Gugushvili
  Non-parametric Bayesian estimation of the diffusion coefficient
Parallel session O: CFE Sunday, 11 December 2016 14:30 - 15:50

Session CC672 Room: 105
Contributions to computational and empirical econometrics Sunday, 11 December 2016   14:30 - 15:50
Chair: Lorenzo Mercuri Organizer: CFE
  CC0279:  E. Krasheninnikova, R. Maestre
  Pricing strategy optimization considering customer sensitivity with Monte Carlo simulations
  CC0622:  T. Goetz, T. Knetsch
  Google data in bridge equation models for GDP
  CC0594:  T. Lehnert
  Feedback trading and index option prices
  CC1695:  A. Morozova, W. Pohlmeier
  Estimation of the CAPM with measurement error
Session CG294 Room: 110
Contributions in monetary policy Sunday, 11 December 2016   14:30 - 15:50
Chair: William Dupor Organizer: CFE
  CC1663:  P. Wlodarczyk
  Monetary policy transmission during the global economic crisis: A case of small open economies
  CC1362:  G. Bauer
  International house price cycles, monetary policy and risk premiums
  CC1499:  A. Paccagnini, V. Colombo
  Uncertainty shocks and monetary policies
  CC0944:  V. Ajevskis
  A term structure of interest rates model with zero lower bound and non-standard monetary policy measures
Session CG296 Room: 106
Contributions in econometrics of bond prices Sunday, 11 December 2016   14:30 - 15:50
Chair: Ranko Jelic Organizer: CFE
  CC0459:  L. Liu, S. Cho
  Correcting estimation bias in regime switching dynamic term structure models
  CC1633:  L. Coroneo
  TIPS liquidity premium and quantitative easing
  CC1654:  A. Audzeyeva, R. Bladen-Hovell, S. Jayathilaka
  Forecasting the yield curve dynamics: A just-identified no-arbitrage FAVAR approach with tractable economic factors
  CC1657:  S. Razmpa, F. Ielpo
  How many bonds to efficiently diversify credit risk?
Session CG298 Room: 101
Contributions in macroeconometrics and time series II Sunday, 11 December 2016   14:30 - 15:50
Chair: Guillaume Chevillon Organizer: CFE
  CC0225:  M. Al Sadoon
  The linear systems approach to linear rational expectations models
  CC0961:  M. Thornton
  Mixed time aggregation of dynamic multivariate linear processes
  CC1343:  T. Stengos, S.S. Ozturk
  Output gap dispersion persistence and convergence: A stochastic volatility approach
  CC1566:  Y. Walle, H. Herwartz
  Heteroskedasticity-robust unit root testing for panels with linear trends
Session CG306 Room: 104
Contributions in co-movements in economic and financial time series Sunday, 11 December 2016   14:30 - 15:50
Chair: Gianluca Cubadda Organizer: CFE
  CC1315:  J. Ascorbebeitia, S. Orbe, E. Ferreira
  The joint distribution of domestic indexes: An approach using conditional copulas
  CC1655:  F. Ielpo, L.-N. Boon
  Standard and alternative risk premiums in a world of lower nominal growth
  CC1682:  M.C. Badics
  Cross-correlation analysis of international foreign exchange markets: An EEMD-based approach
  CC1461:  K. Martin-Bujack, M.T. Corzo, I. Figuerola-Ferretti
  Credit Default Swaps: does the traded volume influence research interest?
Session CG342 Room: 007
Contributions in forecasting and time variation Sunday, 11 December 2016   14:30 - 15:50
Chair: Helmut Luetkepohl Organizer: CFE
  CC0938:  C. Funk
  Forecasting the real price of oil: Time-variation and forecast uncertainty
  CC1629:  H. Nishino
  GARCH model for income time series data and forecasting income inequality
  CC1684:  M. Mansur
  Forecasting during the recent financial crisis: Automatic versus adaptive exponential smoothing methods
  CO1434:  A. Giovannelli, M. Lippi, U. Triacca, A. Pasini, A. Attanasio
  Forecasting global temperature with time-series methods
Session CG364 Room: 006
Contributions in cointegration analysis Sunday, 11 December 2016   14:30 - 15:50
Chair: Alain Hecq Organizer: CFE
  CC1595:  P. Boswijk
  Identification of long-run effects in near-integrated systems
  CC1721:  J.L. Carrion-i-Silvestre
  Structural breaks and instabilities at the end of sample
  CC1489:  J. Witzany, J. Baran
  Analysing cross-currency basis spreads
  CC1185:  A. Burda
  Investigating nonlinear purchasing power parity for EUR/PLN within Bayesian STVECM framework
Session CG430 Room: 002
Contributions in time-varying parameter models Sunday, 11 December 2016   14:30 - 15:50
Chair: Simona Sanfelici Organizer: CFE
  CC1745:  Y.J. Lee, D. Kristensen
  Nonparametric estimation of time-varying parameters in nonlinear models
  CC1593:  S. Neuwirth
  Time-varying mixed frequency forecasting: A real-time experiment
  CC1257:  B. Marquier
  Dynamic Bayesian estimation of time-varying cointegration parameters
  CC1379:  S. Sanfelici, C. Guardasoni
  Semi-analytical method for pricing barrier options with time-dependent parameters
Session CG486 Room: 112
Contributions in nowcasting and forecasting macroeconomic trends Sunday, 11 December 2016   14:30 - 15:50
Chair: Jasper de Winter Organizer: CFE
  CC1441:  D. Gutknecht, J. Fosten
  Testing nowcast monotonicity
  CC1604:  M. Gonzalez-Astudillo
  GDP trend-cycle decompositions using state-level data
  CC1707:  H. Demircan, C. Cakmakli
  Measuring economic and financial conditions using a unified framework
  CC1594:  J. Trinh
  Temporal disaggregation of short time series with structural breaks: Estimating quarterly data for emerging economies
Session CG566 Room: 111
Contributions in jumps and volatility Sunday, 11 December 2016   14:30 - 15:50
Chair: Hans Manner Organizer: CFE
  CC1565:  A. Kolokolov
  Estimating jump activity using multipower variation
  CC1567:  A. Zarraga, A. Ciarreta, P. Muniain
  Modelling and forecasting realised volatility in German-Austrian continuous intraday electricity prices
  CC1649:  G. Schwenkler, F. Guay
  Efficient parameter estimation for multivariate jump-diffusions
  CC0228:  H. Manner, J. Bekierman
  Improved forecasting of realized variance measures
Session CG568 Room: 109
Contributions in oil price analysis Sunday, 11 December 2016   14:30 - 15:50
Chair: Aleksander Welfe Organizer: CFE
  CC1515:  N. Rubino
  Oil volatility pass-through and and real exchange rate misalignment in commodity exporting countries
  CC0179:  A. Zubarev, A. Polbin, A. Skrobotov
  The importance of external and internal shocks for real exchange rate and industrial production in Russia: SVAR approach
  CC1734:  T. Kanamura
  A financialization model of crude oil markets
  CC1509:  P. Keblowski, A. Welfe, K. Leszkiewicz-Kedzior
  Real exchange rates, US dollar and crude oil price in the tripolar model
Session CG633 Room: 107
Contributions in empirical macroeconomics Sunday, 11 December 2016   14:30 - 15:50
Chair: Daniel Kaufmann Organizer: CFE
  CC1401:  E. Shioji
  Extracting fiscal policy expectations from daily stock returns
  CC1540:  V. Potashnikov, A. Zubarev, O. Lugovoy
  Determinants of economic development: SEM approach
  CC1636:  V. Vassilatos, T. Kollintzas, D. Papageorgiou, M. Tsionas
  Market and political power interactions in Greece: An empirical investigation
  CC1658:  L. Melosi, F. Bianchi
  Escaping the great recession
Session CG711 Room: 103
Contributions in credit risk Sunday, 11 December 2016   14:30 - 15:50
Chair: Christophe Croux Organizer: CFE
  CC1425:  T. Yoshiba, T. Adachi, T. Sueshige
  Distribution function for cumulative intensity of SSRJD and its applications to CVA of CDS
  CC1638:  P. Reusens, C. Croux
  Sovereign credit rating determinants: The impact of the European debt crisis
  CC1580:  M. Jahan-Parvar, S. Aramonte, S. Rosen, J. Schindler
  Extracting risk neutral distributions using option prices and CDS spreads
Parallel session P: CMStatistics Sunday, 11 December 2016 16:20 - 18:00

Session EI679 (Special Invited Session) Room: Graduation hall
The interface between machine learning and statistics Sunday, 11 December 2016   16:20 - 18:00
Chair: Mattias Villani Organizer: Mattias Villani
  EI1412:  M. Deisenroth
  Data-efficient machine learning for autonomous robots
  EI1735:  T. Schon
  Inference in probabilistic graphical models using sequential Monte Carlo
  EI1743:  I. Titov
  Inducing meaning representations from text with little or no supervision
Session EO245 Room: 006
Analysis of satellite imagery Sunday, 11 December 2016   16:20 - 18:00
Chair: Armin Schwartzman Organizer: Armin Schwartzman
  EC1703:  W. Qunming, P. Atkinson, W. Shi
  Creating daily, fine spatial resolution Sentinel-2 time-series
  EO1730:  G. Camps-Valls
  Monitoring vegetation from space with Gaussian processes and latent force models
  EO1732:  E. Carfagna
  Geospatial data in support of agricultural and agri-environmental statistics, advantages and warnings
  EO1723:  A. Schwartzman, J. Usset, A. Maity, A.-M. Staicu
  Glacier terminus estimation from Landsat image intensity profiles
Session EO455 Room: 215
Survival analysis and longitudinal data analysis Sunday, 11 December 2016   16:20 - 18:00
Chair: Peng Zhang Organizer: Hongyuan Cao
  EO0693:  T. Honda, R. Yabe
  Variable selection and structure identification for varying coefficient Cox models
  EO1211:  C.-Y. Huang, J. Qin, H.-T. Tsai
  Efficient estimation of the Cox model with auxiliary subgroup survival information
  EO1216:  P. Zhang
  Utilizing high-throughput imaging analysis to predict survival in adrenocortical carcinoma patients
  EO1766:  Y. Goldberg, M. Gorfine, Y. Ritov
  A quantile regression model for failure time data with time dependent covariates
Session EO459 Room: 002
Statistics of multivariate and spatial extremes Sunday, 11 December 2016   16:20 - 18:00
Chair: Andrea Krajina Organizer: Andrea Krajina
  EO0835:  U. Can, J. Einmahl
  Asymptotically distribution-free goodness-of-fit testing for tail copulas
  EO0832:  R. Huser, C. Dombry, M. Genton, M. Ribatet
  Full likelihood inference for max-stable data
  EO1139:  A. Krajina, J. Einmahl, L. de Haan
  Estimation of extreme bivariate quantiles and extreme quantiles for functional data
Session EO714 Room: 007
Bayesian semi-and nonparametric modelling III Sunday, 11 December 2016   16:20 - 18:00
Chair: Raffaele Argiento Organizer: Matteo Ruggiero, Antonio Lijoi, Li Ma
  EO0970:  J. Miller
  Non-standard approaches to nonparametric Bayes
  EO1022:  S. Williamson
  Nonparametric network models for link prediction
  EO1134:  T. Broderick, D. Cai, T. Campbell
  Edge-exchangeable graphs, sparsity, and power laws
  EO0483:  P. Jenkins, V. Perrone, D. Spano, Y.W. Teh
  Time-dependent feature allocation models via Poisson Random Fields
Session EC656 Room: 206
Contributions in computational and numerical methods in statistics Sunday, 11 December 2016   16:20 - 18:00
Chair: Jean Jacod Organizer: CMStatistics
  EC1427:  S. Sadeghi
  Probability forecasts for serving competing renewal processes for resource allocation
  EC1728:  J.-J. Jeon
  Primal path algorithm for compositional data analysis
  EC1592:  B. Veliyev, M. Podolskij, N. Yoshida
  Edgeworth expansion for Euler approximation of continuous diffusion processes
  EC1437:  B. Martin-Barragan, L. Ling, F.J. Prieto
  Speeding up parameter tuning for multi-class Classification: A Partial parametric path algorithm
  EC1536:  V. Witkovsky
  On numerical inversion of the empirical characteristic function and its applications
Session EC657 Room: 213
Contributions in applied statistics Sunday, 11 December 2016   16:20 - 18:00
Chair: Gil Gonzalez-Rodriguez Organizer: CMStatistics
  EC1066:  P. Fowler, X. de Luna, P. Johansson, P. Ornstein, S. Bill, P. Bengtsson
  Proxy variables in a matching analysis of data from the Swedish social insurance agency
  EC1493:  J.C. Garcia-Diaz, O. Trull
  Forecasting Spanish electricity demand: Calendar modelling, using discrete intervals mobile seasonalities
  EC1677:  V. Batagelj, A. Ferligoj
  Symbolic network analysis of bike sharing data
  EC1670:  T. Shimamura, Y. Matsui, S. Miyano
  Identifying biological modulators using local energy statistics
  EC1084:  K. Mahmood
  Using current and lagged explanatory variables to forecast the water discharge of the Mohawk river
Session EC659 Room: 214
Contributions in semi- and non-parametric statistics Sunday, 11 December 2016   16:20 - 18:00
Chair: Noel Veraverbeke Organizer: CMStatistics
  EC1421:  M. Alabdulhadi, F. Coolen, T. Coolen-Maturi
  Nonparametric predictive inference for diagnostic test thresholds
  EC1413:  M. Ditzhaus, A. Janssen
  The power of tests for signal detection in high-dimensional data
  EC0300:  S. Sperlich, S. Ranjbar
  Semiparametrics: A typical misspecification in life-satisfaction studies
  EC0723:  N. Veraverbeke, P. Janssen, J. Swanepoel
  Copula-based estimation of conditional densities and hazard rate functions
Session EC661 Room: 201
Contributions in statistical modelling Sunday, 11 December 2016   16:20 - 18:00
Chair: Inmaculada Barranco-Chamorro Organizer: CMStatistics
  EC1451:  S. Noreen, Q. Long
  The covariate balancing generalized propensity score for continuous treatment regimes in the presence of censoring
  EC1598:  T.T.H. Pham
  Estimation of random coefficient models with fixed effects
  EC1753:  M. Lee
  On the choice of time scales in competing risks predictions
  EC1393:  P. Wijayatunga
  Balancing scores in causal diagrams and causal estimates for different data contexts
Session EC662 Room: 204
Contributions in methodological statistics Sunday, 11 December 2016   16:20 - 18:00
Chair: Ricardo Cao Organizer: CMStatistics
  EC0176:  I. Okorie, S. Nadarajah
  Factorial, raw and central moments
  EC1497:  A. Freitas, S. Escudeiro, V. Afreixo
  Intervalar location of Wald-type confidence intervals for a linear combination of binomial proportions
  EC1357:  I. Barbeito, R. Cao
  New approaches for bootstrap bandwidth selection in density estimation under dependence
  EC1422:  G. Rivas, M.D. Jimenez-Gamero
  A two-sample test for the error distribution in nonparametric regression
  EC1270:  P. Montero-Manso, J. Vilar
  A new multivariate two-sample test based on distributions of interpoint distances
Session EC665 Room: 202
Contributions in time series analysis Sunday, 11 December 2016   16:20 - 18:00
Chair: Holger Drees Organizer: CMStatistics
  EC0754:  B. Holcblat, S. Gronneberg
  Limit theorems for residuals from VARMAX models with potentially serially correlated errors
  EC1400:  L. Lenart
  The sufficient conditions for the consistency of generalized resampling schemes
  EC1671:  C. Drago
  Time series anomaly detection with patterns and structural breaks identification: A constrained clustering approach
  EC0265:  V. Pilipauskaite, R. Leipus, A. Philippe, D. Surgailis
  Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
  EC1617:  T. Hasegawa, K. Kojima, Y. Kawai, M. Nagasaki
  Time-series filtering for replicated observations via a kernel approximate Bayesian computation
Session EG462 Room: 217
Contributions in matrix methods and multivariate analysis Sunday, 11 December 2016   16:20 - 18:00
Chair: Dietrich von Rosen Organizer: CMStatistics
  EC1080:  K. Filipiak, D. Klein, M. Singull
  Approximation of a covariance matrix by Kronecker product of compound symmetric matrix and arbitrary matrix
  EC1602:  H. Abe, H. Yadohisa
  Orthogonal nonnegative matrix factorization based on the Tweedie family
  EC1620:  S. Kuriki, T. Shirai, K.D. Trinh
  Testing dimensionality of multivariate variance components
  EC1384:  P. Mozharovskyi, J. Josse, F. Husson
  Multivariate imputation by data depth
  EC1454:  O. Vencalek, O. Pokotylo
  Advances in depth-based classification
Session EG639 Room: 205
Contributions in clustering Sunday, 11 December 2016   16:20 - 18:00
Chair: Marco Riani Organizer: CMStatistics
  EC1467:  Q. Pan, Y. Zhao, C. Du
  Logistic regression augmented community detection with application in identifying autism-related gene pathways
  EC1364:  M. G M S Cardoso
  Paired indices for clustering evaluation: A typology
  EC1375:  V. Vandewalle
  Simultaneous dimension reduction and multi-objective clustering using probabilistic factorial discriminant analysis
  EC1609:  T. Ortner, C. Breiteneder, S. Brodinova, P. Filzmoser, M. Zaharieva
  Guided projections for analysising the structure of high dimensional data
  EC1639:  Y. Matsui, S. Miyano, T. Shimamura
  Clustering cancer evolutionary trees
Session EG674 Room: 203
Contributions on functional data analysis II Sunday, 11 December 2016   16:20 - 18:00
Chair: Antonio Cuevas Organizer: CMStatistics
  EC1552:  P. Zeng
  Registration and classification for the X-ray image data
  EC1711:  H. Wagner, M. Grith, A. Kneip, W. Haerdle
  Functional principal component analysis for derivatives of multivariate curves
  EC1435:  R. Talska, A. Menafoglio, K. Hron, E. Fiserova, J. Machalova
  Functional regression analysis with compositional response
  EC1376:  D. Gaigall, M. Ditzhaus
  A consistent goodness-of-fit test in separable Hilbert spaces with applications to high dimensional data
  EC1719:  M. Garcia Barzana, A. Colubi, G. Gonzalez-Rodriguez
  On a regression model with constraints in Hilbert spaces
Parallel session P: CFE Sunday, 11 December 2016 16:20 - 18:00

Session CC666 Room: 101
Contributions in Bayesian econometrics Sunday, 11 December 2016   16:20 - 18:00
Chair: Roberto Leon-Gonzalez Organizer: CFE
  CC0499:  B. van Roye, R. Gomez-Salvador
  Investment dynamics in advanced economies: Evidence from a Bayesian panel VAR
  CC1560:  M. Asai
  Bayesian analysis of alternative long memory stochastic volatility models using realized volatility
  CO0865:  M. Ban
  Consumer clustering model based on the time of new product adoption using ID-POS data
  CO0937:  S. Hasegawa, S. Nakano, S.-G. Lee
  An analysis of TV viewing behavior using a direct utility model
  CC0238:  D. Kulikov, A. Netsunajev
  Identifying shocks in structural VAR models via heteroskedasticity: A Bayesian approach
Session CC669 Room: 105
Contributions in time series Sunday, 11 December 2016   16:20 - 18:00
Chair: Joshua Chan Organizer: CFE
  CC0872:  A. Schnuecker
  Restrictions search for panel VARs
  CC1579:  C. Saunders
  Space-time autoregressive models
  CC0431:  B. Abeln
  Seasonal adjustment without revisions
Session CC671 Room: 111
Contributions in applied econometrics and finance Sunday, 11 December 2016   16:20 - 18:00
Chair: Christopher Baum Organizer: CFE
  CC0208:  C. Baum, H. Loof, P. Nabavi, A. Stephan
  The effects of minimum wages on immigrants' employment: Evidence from the Swedish economy
  CC0196:  M. Bruns, T. Poghosyan
  Leading indicators of fiscal distress: Evidence from the extreme bound analysis
  CC1528:  M.S. Miescu
  Connectedness and spillovers in recession and boom
  CC0298:  F. Ramsauer, M. Lingauer
  FAVAR models for mixed-frequency data
  CC1556:  J.C. Alonso, J.D. Martin, B. Gallo
  Day-of-the-Week effect in MILA stock markets: A relative distribution approach
Session CG198 Room: 110
Contributions in financial econometrics Sunday, 11 December 2016   16:20 - 18:00
Chair: Walter Distaso Organizer: CFE
  CC0169:  S. Tsiaplias, C.L. Chua
  A generalised model of typical and atypical news transmission
  CC1581:  N. Loperfido
  A new kurtosis matrix, with statistical applications
  CC1597:  H. Fang, C. Diks
  Detecting Granger causality with a nonparametric information-based statistic
  CC0184:  E. Sinelnikova-Muryleva, A. Skrobotov
  Likelihood ratio tests for explosive financial bubble with application of ruble/dollar exchange rate
  CC0895:  M.-J. Keay
  Partial copula methods for models with multiple discrete endogenous explanatory variables and sample selection
Session CG276 Room: 107
Contributions in factor model analysis Sunday, 11 December 2016   16:20 - 18:00
Chair: Pierre Guerin Organizer: CFE
  CC1614:  J. Oberoi, H. Doshi
  The ETF-index volatility spread
  CC1643:  R. Ouysse
  Efficient estimation of large approximate factor models using constrained principal components regression
  CC1377:  P. Guerin, M. Marcellino, D. Leiva-Leon
  Markov-switching three-pass regression filter
  CC1635:  E. De Meo, G. Tizzanini, L. Prosperi, L. Zicchino
  Exploring effects of conventional and unconventional monetary policies: An infinite VAR in data-rich environment
  CC1715:  M. Messmer, F. Audrino
  The (adaptive) Lasso in the Zoo - Firm characteristic selection in the cross-section of expected returns
Session CG304 Room: 102
Contributions on network analysis Sunday, 11 December 2016   16:20 - 18:00
Chair: Carsten Jentsch Organizer: CFE
  CC0257:  Y. Liao, A. Clements
  News and network structures in equity market volatility
  CC1589:  R. Hisano
  A new approach to building the interindustry input-output table using block estimation techniques
  CC1532:  R. Hipp, C. Jentsch
  Statistical inference for financial connectedness
  CC1502:  T. Isogai
  Dynamic correlation network analysis of Japanese stock returns
  CC1773:  X. Xu
  Dynamic default intensities in a network topology
Session CG334 Room: 104
Contributions in forecasting Sunday, 11 December 2016   16:20 - 18:00
Chair: Justinas Pelenis Organizer: CFE
  CC1107:  D. Grabowski
  Comparing and combining neural networks for stock market direction prediction
  CC1166:  J. Pelenis
  Forecast elicitation with weighted scoring rules
  CC0521:  V. Troster, J. Penalva, A. Taamouti
  Equilibrium error and expected industry portfolio returns
  CC1551:  Y. Iwasaki
  Measuring underlying inflation using dynamic model averaging
  CC1525:  P. Exterkate
  Density forecasting in nonlinear models with stochastic volatility
Session CG362 Room: 106
Contributions in panel data econometrics Sunday, 11 December 2016   16:20 - 18:00
Chair: Jan Kiviet Organizer: CFE
  CC1373:  J. Kiviet, J. Pindado, I. Requijo
  Specification of dynamic panel data models: An empirical application to corporate capital structure
  CC1678:  M. Fritsch, A.A.Y. Pua, J. Schnurbus
  Estimating linear dynamic panel data models using nonlinear moment conditions
  CC1374:  Y. Lu
  Flexible panel regression model for bivariate count/continuous data with insurance applications
  CC0922:  A. Nocera
  EM estimation of dynamic panels with heteroskedastic random coefficients
  CC1764:  P. Chodnicka - Jaworska
  A panel ordered response model for banks credit ratings estimation
Session CG380 Room: 112
Contributions on estimation of econometric models Sunday, 11 December 2016   16:20 - 18:00
Chair: Antonio Montanes Organizer: CFE
  CC1462:  J. Bruha
  A note on estimation of a mixture of multivariate Tobit models
  CC1634:  M. Hofmann, A. Colubi, E.J. Kontoghiorghes
  Detection and recovery from inconsistencies in the general linear model with singular dispersion matrix
  CC1661:  D. Brzyski
  Estimation and prediction via group SLOPE (gSLOPE)
  CC1430:  T. Prono
  Simple estimators for GARCH models
  CC1444:  L. Gadea, A. Montanes, J.L. Carrion-i-Silvestre
  Unbiased estimation of autoregressive models in bounded series
Session CG382 Room: 109
Contributions on hypothesis testing for econometric models Sunday, 11 December 2016   16:20 - 18:00
Chair: Anders Kock Organizer: CFE
  CC0358:  N. Topaloglou, S. Arvanitis
  Testing for prospect and Markowitz stochastic dominance efficiency
  CC0417:  J. Leymarie, D.G. Banulescu, C. Hurlin, O. Scaillet
  Backtesting marginal expected shortfall and related systemic risk measures
  CC1571:  E.C.M. Schutte
  Testing for explosive bubbles in the presence of autocorrelated innovations
  CC0428:  I. Kheifets, C. Velasco
  New goodness-of-fit diagnostics for conditional discrete response models
  CC1365:  J.A. Afonso-Rodriguez
  Model-free tests for the null hypothesis of stochastic trendless
Session CG637 Room: 103
Contributions in high frequency econometrics Sunday, 11 December 2016   16:20 - 18:00
Chair: Kim Christensen Organizer: CFE
  CC0272:  K. Christensen
  The drift burst hypothesis
  CC1596:  M. Thyrsgaard, K. Christensen, B. Veliyev
  Understanding the distribution of volatility
  CC1659:  M.Z. Li, R. Laeven, M. Vellekoop
  Dependent microstructure noise and integrated volatility estimation from high-frequency data
  CC1675:  I. Ishida
  Forecasting the daily spot volatility paths of equity indices via functional autoregressive models: An empirical study
  CC1474:  X. Li, V. Zakamulin
  Forecasting volatility in stock market: The gains from using intraday data