KEYNOTE TALKS


Keynote talk 1 Friday 14.12.2018 09:00 - 09:50 Room: Auditorium
Group transformation models
Speaker: C. Gourieroux  Co-authors: A. Monfort, J.-M. Zakoian Chair: Manfred Deistler
Keynote talk 2 Friday 14.12.2018 12:10 - 13:00 Room: Auditorium
Varying-coefficient additive models: Two birds with one stone?
Speaker: J.-L. Wang  Co-authors: X. Zhang Chair: Ana Colubi
Keynote talk 3 Sunday 16.12.2018 08:45 - 09:35 Room: Auditorium
The ups and downs of communicating statistics in an age of fragmented media and contested science
Speaker: D. Spiegelhalter   Chair: Miguel de Carvalho
Keynote talk 4 Sunday 16.12.2018 12:20 - 13:10 Room: Auditorium
Bayesian nonparametric updating of parametric models with Monte Carlo sampling
Speaker: C. Holmes   Chair: Michele Guindani
Keynote talk 5 Sunday 16.12.2018 18:15 - 19:05 Room: Sala Convegni
Regularized estimation of high dimensional auto- and cross-covariance matrices
Speaker: T. Proietti   Chair: Alessandra Luati


PARALLEL SESSIONS


Parallel session B: CMStatistics Friday 14.12.2018 10:20 - 12:00

Session EI003 (Special Invited Session) Room: A0
Advances in robust statistics Friday 14.12.2018   10:20 - 12:00
Chair: Mia Hubert Organizer: Marco Riani
  B0171:  P. Rousseeuw, M. Hubert, W. Van den Bossche
  MacroPCA: An all-in-one PCA method allowing for missing values as well as cellwise and rowwise outliers
  B0172:  V. Todorov
  Exploring compositional data through monitoring robust estimates and dynamic graphics in R
  B0617:  M. Riani, A. Atkinson, A. Cerioli, A. Corbellini
  The power of monitoring: How to make the most of a contaminated multivariate sample
Session EO102 Room: A1
Spatio-temporal variations in social and epidemiological data Friday 14.12.2018   10:20 - 12:00
Chair: Veronica Berrocal Organizer: Veronica Berrocal
  B0343:  T. Smith
  A stratified age-period-cohort model for spatial heterogeneity in all-cause mortality
  B0514:  C. Anderson, N. Dean
  Spatial clustering of average risks and risk trends in Bayesian disease mapping
  B0745:  G. Puggioni
  Time-varying step change detection and forecasting in spatio-temporal areal data models
Session EO388 Room: B1
Graphical Markov models I: Multivariate dependence structures Friday 14.12.2018   10:20 - 12:00
Chair: Monia Lupparelli Organizer: Monia Lupparelli
  B0881:  A. Roverato, R. Castelo
  On the interpretation of path weights in undirected Markov random fields
  B0959:  W. Bergsma
  Regression modelling with I-priors
  B1198:  M. Kateri
  Multivariate dependence structures for ordinal data: A $\phi$-divergence based approach
  B0696:  C. Tarantola
  Some issues on Bayesian analysis of binary bidirected graphs
Session EO426 Room: D1
Instrumental variables: Theory and applications Friday 14.12.2018   10:20 - 12:00
Chair: Federico Crudu Organizer: Federico Crudu
  B0218:  F. Crudu
  Errors-in-variables models with many proxies
  B0285:  S. Centorrino, S. Srisuma
  Nonparametric instrumental estimation of additive models
  B0305:  G. Mellace, F. Crudu, Z. Zandor
  Inference in instrumental variables models with heteroskedasticity and many instruments
Session EO584 Room: E1
Statistical models and inference with network data Friday 14.12.2018   10:20 - 12:00
Chair: Donglin Zeng Organizer: Donglin Zeng
  B0316:  Y. Wang
  Estimating heterogeneous biomarker networks and effects on disease outcomes
  B0317:  D. Zeng, Y. Wang
  Learning directed acyclic graphs with mixed effects structural equation models from observational data
  B0578:  E. Ogburn
  Toward valid causal and statistical inference with social network data
  B1563:  M.H. Bin Abdul Majid, C. Leng
  Estimating the effects of match-object covariates in a generalized Bradley--Terry model
Session EO392 Room: F1
Label noise issues in statistics and machine learning Friday 14.12.2018   10:20 - 12:00
Chair: Efoevi Angelo Koudou Organizer: Efoevi Angelo Koudou
  B0717:  I. Benjelloun
  Weighted performance evaluation of classifiers with a noisy ground truth
  B0845:  B. Frenay
  Consequences and assessment of label noise
  B1011:  E.A. Koudou, B. Lamiroy
  Some issues on ranking of classifiers in the presence of label noise
  B1156:  H. Reeve, A. Kaban
  Distribution dependent learning with asymmetric label noise
Session EO262 Room: G1
Survival analysis Friday 14.12.2018   10:20 - 12:00
Chair: Ingrid Van Keilegom Organizer: Ingrid Van Keilegom, Anouar El Ghouch
  B0267:  R. Dettoni, G. Marra, R. Radice
  Flexible parametric generalised additive survival models with informative censoring
  B1126:  N.W. Deresa, I. Van Keilegom
  Flexible parametric model for survival data subject to dependent censoring
  B0778:  E.-R. Andrinopoulou
  Joint modelling of longitudinal and survival data
  B0604:  S. Plancade, A. El Ghouch, S. Huet, C. Dillmann
  Joint modeling of floral transition time and leaf appearance process in maize plant
Session EO144 Room: H1
Sampling: Planning, design, modeling, inference and applications Friday 14.12.2018   10:20 - 12:00
Chair: Lorenzo Fattorini Organizer: Subir Ghosh
  B0558:  L. Fattorini
  Pseudo-population bootstrap for design-based inference on spatial phenomena
  B1072:  S. Marchetti
  Small area model-based estimation using big data: Applications
  B1153:  D. Oberski
  Poststratifying on variables measured with error
Session EO030 Room: I1
Statistical distributions in our modern times: Role models or not Friday 14.12.2018   10:20 - 12:00
Chair: Christophe Ley Organizer: Christophe Ley
  B0291:  J. Wadsworth
  Parametric assumptions in extreme value theory
  B0611:  S. Babic, C. Ley, D. Veredas
  Modelling multivariate skew and heavy-tailed data: A comparison of the main models
  B0663:  R. Simone, C. Ley
  On the choice of size distributions for earthquakes modelling
  B0985:  F. Lagona
  Parametric hidden Markov fields for segmenting environmental spatial series with circular components
Session EO322 Room: L1
Approaches for complexity in data analysis Friday 14.12.2018   10:20 - 12:00
Chair: Efstathia Bura Organizer: Efstathia Bura
  B0584:  Z. Zhao
  Global testing under the sparse alternatives for single index models
  B0917:  L. Fertl
  Novel model-free estimation approaches of linear dimension reduction
  B0943:  A. Artemiou, Y. Dong, S.J. Shin
  Real time dimension reduction and outlier detection
  B0962:  B. Liu, A. Agarwal, L. Xue
  Sparse sufficient dimension reduction by nonconvex ADMM
Session EO340 Room: M1
Functional data analysis and biological applications Friday 14.12.2018   10:20 - 12:00
Chair: Marzia Cremona Organizer: Marzia Cremona
  B0902:  A. Stamm, S. Vantini
  Brain structural connectivity mapping: Insights from functional data analysis
  B0674:  L. Schelin, A. Pini
  Human movement data - reliable enough for functional data analysis?
  B0817:  N. Yamada, W. Lai, N. Farrell, F. Pugh, S. Mahony
  Characterizing protein-DNA binding event subtypes in ChIP-exo data using read distribution shapes and DNA sequences
  B1045:  V. Vitelli
  A novel approach to joint sparse functional clustering and alignment
Session EO402 Room: N1
Multivariate and spatial extremes Friday 14.12.2018   10:20 - 12:00
Chair: Marco Oesting Organizer: Marco Oesting
  B0759:  A. Janssen, H. Drees
  Cluster-based extremal inference for multivariate time series
  B1238:  G. Toulemonde, J.-N. Bacro, C. Gaetan, T. Opitz
  Hierarchical space-time modeling of exceedances
  B0791:  R. Towe, J. Tawn, R. Lamb
  Understanding and communicating widespread flood risk
  B1086:  P. Ribereau
  Semi-parametric estimation for max-mixture spatial processes
Session EO274 Room: P1
Advances in statistical analysis of microbiome data Friday 14.12.2018   10:20 - 12:00
Chair: Li Ma Organizer: Li Ma
  B0312:  M. Wu
  Testing statistical interactions between microbiome community profiles and covariates
  B0334:  Z. Li, J. OMalley, H. Li
  Conditional regression based on a multivariate zero-inflated logistic model for human microbiome data
  B1097:  J. Fukuyama
  Clustering for microbiome data with structural zeros
  B0687:  S. Bacallado
  Approximate message passing algorithms for de novo reconstruction in metagenomics
Session EO160 Room: Q1
Doubly stochastic counting processes Friday 14.12.2018   10:20 - 12:00
Chair: Paula Bouzas Organizer: Paula Bouzas
  B0535:  D. Gervini
  Statistical methods for replicated spatio-temporal point processes
  B1165:  L. Truquet
  Nonparametric tests for Cox processes
  B0835:  P. Bouzas, N. Ruiz-Fuentes
  Goodness-of-fit test for compound Cox process
  B0940:  N. Ruiz-Fuentes, P. Bouzas
  Applications of goodness-of-fit test for compound Cox processes
Session EO446 Room: D2
Recent development of the design of experiments and industrial statistics Friday 14.12.2018   10:20 - 12:00
Chair: Chang-Yun Lin Organizer: Po Yang, Chang-Yun Lin
  B0552:  S. Aoki
  Characterizations of indicator functions for fractional factorial designs
  B1677:  C.-Y. Lin
  Supersaturated multistratum designs
  B0844:  R. Lekivetz
  Design and analysis of covering arrays using prior information
  B0216:  O. Davidov
  On the design of experiments with ordered treatments
Session EO438 Room: P2
Bayesian inference and decision Friday 14.12.2018   10:20 - 12:00
Chair: Eva Lopez Sanjuan Organizer: Jacinto Martin Jimenez
  B1252:  M. Martin-Blanco, A. Jimenez-Martin, A. Mateos Caballero
  The multi armed bandit problem under delayed rewards conditions in digital campaign management
  B1253:  E.L. Sanjuan, M. Martinez Pizarro, M.I. Parra Arevalo, J. Martin Jimenez
  An improved prior choice for the parameters in the generalized Pareto distribution
  B1257:  M.I. Parra Arevalo, F.J. Acero Diaz, R. Gomez Gonzalez, J. Martin Jimenez
  An improved prior choice for Gumbel distribution parameters
  B1682:  M. Marowka, N. Kantas
  Stochastic decision-making using particle methods
Session EO665 Room: Q2
Bayesian modeling for heterogeneous groups Friday 14.12.2018   10:20 - 12:00
Chair: Feng Liang Organizer: Xinyi Xu
  B0371:  M. Peruggia, D. Kunkel
  Anchored Bayesian Gaussian mixture models
  B0580:  F. Camerlenghi
  Bayesian prediction with heterogeneous populations: An application to feature sampling
  B0890:  F. Bassetti, R. Casarin, L. Rossini
  Hierarchical species sampling models
  B1056:  A. Mattei, F. Mealli, P. Ding
  Assessing causal effects in the presence of treatment switching through principal stratification
Session EG257 Room: C1
Contributions in applied statistics I Friday 14.12.2018   10:20 - 12:00
Chair: Andreas Mayr Organizer: CMStatistics
  B1218:  S. Human, J. Van Niekerk, H. Masoumi Karakani
  Double generally weighted moving average chart for time between events
  B1324:  J. de Vicente Maldonado
  Looking for gender bias
  B1189:  W. Hee Yik, G. Tzougas, M.W. Mustaqeem
  Insurance ratemaking using the exponential-lognormal regression model
Parallel session B: CFE Friday 14.12.2018 10:20 - 12:00

Session CO238 Room: A2
Forecasting and time series Friday 14.12.2018   10:20 - 12:00
Chair: Robert Kunst Organizer: Robert Kunst
  A0248:  U. Gunter, I. Onder, S. Gindl
  Exploring the predictive ability of LIKES of posts on the Facebook pages of four major city DMOs in Austria
  A0763:  M. Costantini, G. Angelini
  DGSE models with expectations correction: Misspecification, forecasting errors and directional accuracy
  A0789:  R. Kunst, A. Jumah
  Simulation-based selection of prediction models in development-economics panels
  A1087:  O. Kleen, C. Conrad
  Two are better than one: Volatility forecasting using multiplicative component GARCH models
Session CO673 Room: B2
Recent advances in econometrics Friday 14.12.2018   10:20 - 12:00
Chair: Valentina Corradi Organizer: Italian Econometric Association SIDE
  A0858:  T. Ando, J. Bai
  Quantile co-movement in financial markets
  A0952:  B. Beare, A.A. Toda
  Geometrically stopped Markovian random growth processes and Pareto tails
  A1014:  V. Corradi, W. Distaso
  Portfolio sorting error
  A1205:  W. Distaso, M. Caporin, N. Zambon
  Expected jumps and the cross-section of equity returns
Session CO436 Room: C2
Economic value of variance risk Friday 14.12.2018   10:20 - 12:00
Chair: Romeo Tedongap Organizer: Romeo Tedongap
  A0359:  C. Wese, F. Hollstein
  Variance risk: A bird's eye view
  A0906:  B. Buchwalter, R. Tedongap, J. Breckenfelder
  Short-term predictability and the cross-section of stock returns
  A1396:  J. Tinang
  Macro uncertainty and the term structure of the risk premium
  A1703:  E. Gourier
  Pricing of idiosyncratic equity and variance risks
Session CO458 Room: E2
Quantitative investment management Friday 14.12.2018   10:20 - 12:00
Chair: Gaelle Le Fol Organizer: Serge Darolles, Gaelle Le Fol
  A0458:  D. Ardia, K. Bluteau, K. Boudt
  Abnormal tone and abnormal returns: An event study analysis
  A0475:  R. Molinero
  Machine learning models applied in trading and their potential issues
  A0487:  G. Le Fol, C. Brownlees, S. Darolles, B. Sagna
  Illiquid asset and portfolio management
  A0540:  G. Gudmundsson
  Community detection in large vector autoregressions
Session CO510 Room: F2
Statistical modeling in electricity markets Friday 14.12.2018   10:20 - 12:00
Chair: Jonas Andersson Organizer: Jonas Andersson
  A0539:  J. Mauritzen
  Aggregating or diversifying risk: Transmission flows and prices between two wind power areas
  A0709:  J. Andersson, E. Kyritsis
  Causality in quantiles and dynamic relations in energy markets
  A0806:  E. Foscolo
  Predicting dependent electricity price spikes through copula functions
  A1534:  E. Kyritsis, C. Stet, R. Huisman
  Renewables intermittency versus power system (in)flexibility: New insights from tail-index estimates
Session CO126 Room: G2
Text mining in economics and finance Friday 14.12.2018   10:20 - 12:00
Chair: Peter Winker Organizer: Peter Winker
  A0686:  P. Adaemmer, J. Beckmann, R. Schuessler
  Expectations, disagreement and news
  A0474:  L.A. Thorsrud
  Business cycle narratives
  A1118:  A. Bergeaud, J. Raimbault, Y. Potiron
  Classifying patents based on their semantic content
  A0652:  P. Winker, D. Lenz
  Comparing the relevance of topics in economic journals
Session CO474 Room: H2
Wealth distributions and wealth inequality: Theory and empirics Friday 14.12.2018   10:20 - 12:00
Chair: Marco Maria Sorge Organizer: Marco Maria Sorge
  A0424:  J.C. Pena
  Inequality, macroeconomic performance and political polarization: An empirical analysis
  A0562:  A. Russo, A. Botta, E. Caverzasi, M. Gallegati, J. Stiglitz
  Inequality and finance in a rent economy
  A0672:  J. Schulz
  The rich and the rest: A distributional approach to wealth inequality regimes in Germany
  A0548:  M.M. Sorge, C. Di Pietro, M. DAmato
  Left and right: A tale of two tails of the wealth distribution
Session CO082 Room: M2
Empirical macro Friday 14.12.2018   10:20 - 12:00
Chair: Laura Jackson Young Organizer: Laura Jackson Young
  A0550:  A. Paccagnini
  Extracting factors from large datasets
  A0619:  L. Jackson Young, M. Owyang, K. Kliesen
  The nonlinear effects of uncertainty shocks
  A0642:  K. Petrova, C. Matthes, L. Liu
  Monetary policy across space and time
  A0847:  A. Guisinger, J.K. Smith
  News vs. noise: What information is contained in the revisions of the JOLTS data
Session CO484 Room: N2
Time series analysis: Some recent developments Friday 14.12.2018   10:20 - 12:00
Chair: Hideatsu Tsukahara Organizer: Cathy W-S Chen
  A0779:  L.-C. Lin, L.-H. Sun
  Modeling interval financial time series
  A0921:  H. Tsukahara
  Backtesting, prequential analysis and prediction processes
  A0925:  I. Negri, E. Bibbona
  COGARCH models: A statistical application to real data
  A0735:  H. Ogata, T. Shiohama
  The mixture transition distribution modeling for higher order circular Markov processes
Session CO656 Room: O2
EcoSta journal Part A: Econometrics I Friday 14.12.2018   10:20 - 12:00
Chair: Manfred Deistler Organizer: Erricos John Kontoghiorghes
  A0975:  J. Kiviet
  Microeconometric dynamic panel data methods: Model specification and selection issues
  A1453:  Y. Omori, N. Awaya
  Particle rolling MCMC
  A0229:  G. Barone Adesi, G. Barone-Adesi, C. Sala, C. Legnazzi, M. Finta
  WTI crude oil option-implied VaR and CVaR
  A1161:  A. Amendola, V. Candila, G. Storti, M. Braione
  Combining multivariate volatility models
Session CG012 Room: I2
Contributions in portfolio optimization I Friday 14.12.2018   10:20 - 12:00
Chair: Nalan Basturk Organizer: CFE
  A0602:  N. Koning, P. Bekker
  Best subset selection in regularized sparse index tracking
  A0636:  S. Anyfantaki, S. Arvanitis, N. Topaloglou, T. Post
  Stochastic bounds for portfolio analysis
  A1543:  M. Malavasi, S. Ortobelli, N. Topaloglou
  Testing for parametric orderings efficiency
  A1721:  N. Basturk, L. Hoogerheide, H. van Dijk, A. van Oord
  Equity momentum strategies at work
Parallel session D: CMStatistics Friday 14.12.2018 14:40 - 16:20

Session EI007 (Special Invited Session) Room: Sala Convegni
New challenges and statistical solutions in neuroimaging Friday 14.12.2018   14:40 - 16:20
Chair: Timothy Johnson Organizer: Timothy Johnson
  B0153:  M. Lindquist
  A geometric approach towards evaluating fMRI preprocessing pipelines
  B1707:  M. Qian, D. Bowman, B. Cheng
  High-dimensional mediation methods for a study of major depressive disorder
  B0167:  N. Lazar
  Reproducibility in functional neuroimaging studies through the lens of multiplicity
Session EO570 Room: A1
Statistics and computing for analyzing electronic health record data Friday 14.12.2018   14:40 - 16:20
Chair: Jin Zhou Organizer: Hua Zhou, Jin Zhou
  B0281:  J.-H. Won
  Easily parallelizable and distributable class of algorithms for structured sparsity, with optimal acceleration
  B0302:  Q. Long, Z. Li, X. Jiang
  Distributed learning from multiple EHR databases: Contextual embedding models for medical events
  B0347:  J. Sinnott
  Probabilistic phenotyping using diagnosis codes to improve power for genetic association studies
Session EO681 Room: B1
Graphical Markov models II Friday 14.12.2018   14:40 - 16:20
Chair: Giovanni Maria Marchetti Organizer: Giovanni Maria Marchetti
  B1480:  G. Letac
  Random covariance associated to a weighted graph
  B1694:  S.W. Mogensen, N.R. Hansen
  Marginalized local independence graphs
  B1701:  S. Massa
  Mixed graphical models for metabolic biomarkers
  B1423:  T. Rudas, A. Klimova
  Coordinate-free analysis of multivariate categorical data
Session EO568 Room: C1
Algebraic statistics Friday 14.12.2018   14:40 - 16:20
Chair: Sonja Kuhnt Organizer: Sonja Kuhnt
  B0374:  F. Rapallo, C. Bocci
  Exact tests to compare contingency tables under quasi-independence and quasi-symmetry
  B0993:  A. Kalka
  On numerical fans for noisy experimental designs
  B1080:  R. Fontana, F.R. Crucinio
  Algebraic-based sampling via permutations
  B1160:  E. Riccomagno
  Discovery of statistical equivalence classes using computer algebra
Session EO220 Room: D1
Causal parameters: Identification and inference Friday 14.12.2018   14:40 - 16:20
Chair: Xavier de Luna Organizer: Xavier de Luna
  B0370:  M. Genback, X. de Luna
  Causal inference accounting for unobserved confounding after outcome regression and doubly robust estimation
  B0393:  V. Didelez
  Causal mediation with longitudinal mediator and survival outcome
  B0865:  E. Stanghellini
  On causal parameters in recursive systems for binary random variables
  B1273:  E. Goetghebeur
  On bias reduction when estimating the causal effect of pre-emptive kidney transplantation
Session EO394 Room: E1
Recent advances in duration time analysis Friday 14.12.2018   14:40 - 16:20
Chair: Andreas Groll Organizer: Andreas Groll
  B0301:  M. Hohberg, A. Groll
  Regularized Cox frailty models for time varying covariates
  B0386:  H. Kvamme
  Time-to-event prediction with neural networks and Cox regression
  B0430:  A. Groll, T. Hastie, T. Kneib, G. Tutz
  Boosting methods for effects selection in Cox frailty models
  B0710:  C. Griesbach, E. Waldmann, A. Groll
  Joint modelling approaches to survival analysis via likelihood-based boosting techniques
Session EO422 Room: F1
y-SIS session: Low-dimensional learning of high-dimensional data Friday 14.12.2018   14:40 - 16:20
Chair: Daniele Durante Organizer: Daniele Durante
  B0426:  A. Cabassi, P. Kirk
  Multiple kernel learning for integrative clustering in genomic precision medicine
  B0497:  E. Aliverti, D. Dunson
  Low-rank approximations with fairness constraints
  B0596:  T. Padellini, P. Brutti
  Topological invariants for high-dimensional time series
  B0614:  J. Di Iorio
  A new biclustering method for functional data
Session EO508 Room: G1
Semiparametric statistical methods for complex survival data Friday 14.12.2018   14:40 - 16:20
Chair: Sy Han Chiou Organizer: Sy Han Chiou
  B1182:  F.-C. Lin, Q. Li, J. Lin
  Classification of competing risk outcomes using transition biomarkers
  B1394:  C.-Y. Huang, Y. Sun
  Recurrent events analysis with data collected at informative clinical visits in electronic health records
  B1430:  S.H. Chiou, G. Xu, C.-Y. Huang, J. Yan
  Semiparametric estimation of the accelerated mean model with panel count data under informative examination times
Session EO416 Room: H1
Statistical models for environmental processes and human activities Friday 14.12.2018   14:40 - 16:20
Chair: Clara Grazian Organizer: Clara Grazian
  B0574:  L. Paci, F. Finazzi
  Quantifying personal exposure to air pollution from smartphone-based location data
  B0589:  M. Novelli, A. Baldi Antognini, M. Zagoraiou
  A new design test based on a bootstrap method for response-adaptive clinical trials
  B0798:  M. Franco Villoria, M. Ventrucci, H. Rue
  Constructing priors for varying coefficient models
  B0977:  G. Mastrantonio, G. Jona Lasinio, A. Pollice, G. Capotorti, L. Teodonio, G. Genova, C. Blasi
  Multivariate Bayesian change-point model with concurrent breaking points
Session EO104 Room: I1
Flexible parametric distributions: Theory and applications Friday 14.12.2018   14:40 - 16:20
Chair: Christophe Ley Organizer: Adelchi Azzalini
  B0247:  A. Pewsey
  A new Fourier series based construction for circulas
  B0249:  F.J. Rubio, L. Remontet, N. Jewell, A. Belot
  On a general structure for hazard-based regression models
  B0272:  C. Ley
  Modulated-symmetry-type skew distributions for directional data
  B0698:  S. Pacei, M.R. Ferrante
  Small area estimation of inequality measures under alternative distribution models
Session EO044 Room: L1
On some recent results in supervised and unsupervised classification I Friday 14.12.2018   14:40 - 16:20
Chair: Geoffrey McLachlan Organizer: Geoffrey McLachlan
  B1108:  H. Nguyen
  Fast Gaussian mixture model estimation using online EM algorithms
  B1149:  F. Greselin, L.A. Garcia-Escudero, A. Mayo-Iscar
  Extending robust fuzzy clustering to skew data
  B0989:  R. Falcone, L. Anderlucci, A. Montanari
  Matrix sketching and supervised classification
  B0252:  F. Forbes, A. Arnaud, B. Lemasson, E. Barbier, R. Steele
  Bayesian mixtures of multiple scale distributions
Session EO048 Room: M1
Functional data analysis and more Friday 14.12.2018   14:40 - 16:20
Chair: Jane-Ling Wang Organizer: Jane-Ling Wang
  B0476:  M. Lopes, Z. Lin, H.-G. Mueller
  Bootstrapping max statistics in high dimensions: Near-parametric rates and application to functional data analysis
  B0551:  J.-M. Chiou, X. Zhang, Y. Ma
  Prediction using averaging estimated functional linear regression models
  B0670:  A. Kneip, D. Liebl
  On the optimal reconstruction of partially observed functional data
  B1177:  L. Sangalli, E. Arnone, L. Negri
  Analyzing functional data over complex multi-dimensional domains
Session EO512 Room: N1
Complex dependence in extremes Friday 14.12.2018   14:40 - 16:20
Chair: Jenny Wadsworth Organizer: Jenny Wadsworth
  B0405:  T. Opitz, V. Chavez-Demoulin, L. Mhalla
  A generalized additive framework for estimating covariate effects on extremal dependence based on threshold exceedances
  B0462:  A. Kiriliouk
  Hypothesis testing for tail dependence parameters on the boundary of the parameter space
  B0591:  E. Simpson, J. Wadsworth, J. Tawn, I. Hobaek Haff
  Extremal dependence properties of vine copulas
  B1303:  I. Papastathopoulos
  An asymptotically justified framework for modelling extreme ocean states with Markov processes and tail graphs
Session EO350 Room: P1
Shrinkage methods for analyzing complex data Friday 14.12.2018   14:40 - 16:20
Chair: Ines Wilms Organizer: Ines Wilms
  B0523:  J. Bien
  High-dimensional variable selection when features are sparse
  B0537:  D. Cornilly, K. Boudt, T. Verdonck
  Nearest comoment estimation with unobserved factors
  B0839:  S. Basu, I. Wilms, D. Matteson, J. Bien
  Sparse identification and estimation of high-dimensional vector autoregressive moving averages
  B0918:  I. Gaynanova, G. Yoon, R. Carroll
  Sparse semiparametric canonical correlation analysis for data of mixed types
Session EO204 Room: Q1
Outliers and structural breaks Friday 14.12.2018   14:40 - 16:20
Chair: Alexander Duerre Organizer: Roland Fried, Alexander Duerre
  B0310:  A. Anastasiou, P. Fryzlewicz
  Detecting multiple generalised change-points by isolating single ones
  B0410:  P. Otto, R. Steinert
  Estimation of the spatial weighting matrix for spatiotemporal data with structural breaks
  B1068:  A. Duerre, R. Fried
  Robust change point tests using bounded transformations
  B1337:  J. Duda, A. Duerre, R. Fried
  Comparison of different estimators of the long run variance for the cusum test
Session EO658 Room: O2
EcoSta journal Part B: Statistics I Friday 14.12.2018   14:40 - 16:20
Chair: Byeong Park Organizer: Erricos John Kontoghiorghes
  B1122:  M. Levene
  Jensen-Shannon divergence as a goodness-of-fit measure for maximum likelihood estimation and curve fitting
  B1617:  E. Bura, R. Pfeiffer
  Least squares and ML estimation approaches of the sufficient reduction for matrix valued predictors
  B0662:  E. Ronchetti, S. Ranjbar, S. Sperlich
  Prediction and robustness: Calibration of inequality indices in small areas
  B1424:  V. Patilea, M. Marbac
  Empirical likelihood for general conditional estimating equations
Session EO424 Room: Q2
j-ISBA session: Advances in Bayesian nonparametrics Friday 14.12.2018   14:40 - 16:20
Chair: Isadora Antoniano-Villalobos Organizer: Federico Camerlenghi
  B0788:  F. Ayed, F. Caron
  Nonnegative Bayesian nonparametric factor models with completely random measures
  B0916:  G. Di Benedetto, J. Rousseau
  Posterior contraction rates for Bayesian functional linear regression
  B0965:  J. Ridgway
  PABC: Probably approximate Bayesian computation
Parallel session D: CFE Friday 14.12.2018 14:40 - 16:20

Session CI011 (Special Invited Session) Room: A0
Resampling and time series Friday 14.12.2018   14:40 - 16:20
Chair: Dimitris Politis Organizer: Dimitris Politis
  A0177:  H. Dette
  Functional data analysis for continuous functions
  A0179:  E. Paparoditis
  Sieve bootstrap for functional time series
  A0178:  S. Lahiri
  Empirical likelihood under short- and long-range dependence
Session CO548 Room: A2
Financial modelling and forecasting Friday 14.12.2018   14:40 - 16:20
Chair: Ekaterini Panopoulou Organizer: Ekaterini Panopoulou
  A0262:  R. Hizmeri, M. Izzeldin, A. Murphy, M. Tsionas
  The role of jump activity and signed jumps in forecasting realized volatility
  A0407:  E.N.B. Quaye, R. Tunaru
  Analysing implied volatilities between stock and dividend markets
  A0435:  E. Panopoulou, I. Kynigakis
  Return prediction models and asset allocation
  A0456:  C. Argyropoulos, E. Panopoulou
  Tail optimal combinations
Session CO554 Room: B2
High-frequency financial econometrics Friday 14.12.2018   14:40 - 16:20
Chair: Bezirgen Veliyev Organizer: Bezirgen Veliyev
  A1073:  M. Pakkanen, M. Morariu-Patrichi
  Modelling limit order book data by state-dependent Hawkes processes
  A0337:  P. Exterkate, O. Knapik
  A regime-switching stochastic volatility model for forecasting electricity prices
  A0391:  Y. Li
  Parametric and semi-parametric renewal based high-frequency volatility estimator
  A0928:  S. Bodilsen
  Exploiting news analytics for volatility forecasting
Session CO078 Room: D2
Financial networks Friday 14.12.2018   14:40 - 16:20
Chair: Massimiliano Caporin Organizer: CFE, Massimiliano Caporin
  A0877:  G. Bonaccolto, M. Caporin
  Financial networks via conditional autoregressive expected shortfall
  A1051:  M. Costola, M. Caporin, M. Bernardi
  Modeling realized volatility in big data panel
  A0721:  M. Kanno
  Credit rating migration risk and interconnectedness in a corporate lending network
  A1462:  T. Squartini
  Maximum-entropy models in economics and finance
Session CO601 Room: E2
Modelling expectations: Different analytical perspectives Friday 14.12.2018   14:40 - 16:20
Chair: Maritta Paloviita Organizer: Maritta Paloviita, Tomasz Lyziak
  A0409:  M. Paloviita, S. Oinonen, M. Viren
  Effects of monetary policy decisions on professional forecasters' expectations and expectations uncertainty
  A0866:  L. Petersen, M. Mirdamadi
  Macroeconomic literacy and expectations
  A1265:  T. Lyziak, X. Sheng
  Disagreement in consumer inflation expectations
  A1582:  E. Stanislawska
  Consumers' perception of inflation in inflationary and deflationary environment
Session CO486 Room: G2
Mixture models, identification, and financial modeling Friday 14.12.2018   14:40 - 16:20
Chair: Markus Haas Organizer: Markus Haas
  A0592:  D. Umlandt, S. Reitz
  Likelihood-based dynamic asset pricing
  A0615:  M. Bonato
  Changes on realized correlations, betas and volatility spillover in the agricultural commodity market
  A0486:  E. Lazar, N. Zhang
  Model risk of expected shortfall
  A0828:  M. Haas
  Conditional skewness and kurtosis of aggregated normal mixture and Markov-switching GARCH returns
Session CO192 Room: I2
Multivariate volatility and risk Friday 14.12.2018   14:40 - 16:20
Chair: Jean-Michel Zakoian Organizer: Jean-Michel Zakoian
  A0412:  G. Sucarrat, N. Bahamonde, H. Raissi
  Volatility estimation when observations are missing
  A0688:  L. Catania, P. Santucci de Magistris, R. Di Mari
  A multivariate dynamic mixture model for discrete price changes at high frequency
  A0756:  C. Francq, S. Laurent, S. Darolles
  Asymptotics of Cholesky GARCH models and time-varying conditional betas
  A1117:  J.-M. Zakoian, C. Francq
  Virtual historical simulation for estimating the conditional VaR of large portfolios
Session CO090 Room: M2
Topics in macroeconometrics Friday 14.12.2018   14:40 - 16:20
Chair: Alessia Paccagnini Organizer: Alessia Paccagnini
  A0208:  F. Carlini, P. Gagliardini
  Identification and inference in a vector autoregressive model with common frailty
  A0536:  E. Granziera
  Debt overhang and monetary policy transmission: An international perspective
  A1096:  S. Soccorsi, H. Cho
  Detecting breaks in the group-structure of high-dimensional data
  A1692:  C. Scotti, D. Caldara, M. Zhong
  Uncertainty and financial stability: A VAR analysis
Session CO480 Room: N2
Recent issues on the identification of SVAR models Friday 14.12.2018   14:40 - 16:20
Chair: Emanuele Bacchiocchi Organizer: Emanuele Bacchiocchi
  A1150:  R. Lucchetti, E. Bacchiocchi
  The structure condition in SVAR identification
  A1184:  A. Volpicella
  Robust shrinkage for set-identified SVARs
  A1213:  E. Bacchiocchi, T. Kitagawa
  The dark side of the SVAR: A trip into the local identification world
  A1248:  D. Lewis
  Identifying shocks via time-varying volatility
Session CO627 Room: P2
Bayesian hierarchical modelling Friday 14.12.2018   14:40 - 16:20
Chair: Helga Wagner Organizer: Helga Wagner
  A0210:  N. Klein, M. Smith
  Implicit copulas from Bayesian regularized regression smoothers
  A0232:  M. Carlan, N. Klein, T. Kneib, S. Lang, H. Wagner
  Effect selection in distributional regression
  A0442:  M. Leitner, H. Wagner
  Bayesian effect fusion for categorical predictors in logistic regression
  A0597:  G. Malsiner-Walli, B. Gruen
  Variable selection in Bayesian latent class analysis using shrinkage priors
Session CC645 Room: F2
Contributions in time series I Friday 14.12.2018   14:40 - 16:20
Chair: Cristina Amado Organizer: CFE
  A1516:  M. Al Sadoon, P. Zwiernik
  The identification problem for linear rational expectations models
  A1235:  J.A. Afonso-Rodriguez
  The $T$ ratio test for a bilinear unit root under general conditions with applications
  A1350:  C.M. Celoso
  Robust estimation of a dynamic spatiotemporal model with structural change for count data
  A1426:  F. Marotta
  Inference on irregularly spaced time series
Parallel session E: CMStatistics Friday 14.12.2018 16:50 - 18:30

Session EI452 (Special Invited Session) Room: Sala Convegni
Advances in functional data analysis Friday 14.12.2018   16:50 - 18:30
Chair: Jeng-Min Chiou Organizer: Jeng-Min Chiou
  B0164:  B. Park
  Additive regression with Hilbertian responses
  B1140:  H.-G. Mueller, X. Dai
  Modeling longitudinal compositional data as trajectories on Riemannian manifolds
  B1445:  J. Roy
  Subject-specific functional prediction from electronic health records using an enriched Dirichlet process mixture model
Session EO528 Room: A0
Interactions between computation and inference in high-dimensional data Friday 14.12.2018   16:50 - 18:30
Chair: Yuting Wei Organizer: Xiaodong Li
  B0289:  Y. Chen, P. Sur, E. Candes
  On the likelihood ratio test in high-dimensional logistic regressions
  B0357:  Z. Ren, C.-H. Zhang, H. Zhou, S. Li
  Statistical inference in large Ising graphical models via quadratic programming
  B0356:  C.M. Le
  Edge sampling using network local information
  B0684:  Y. Wei
  Early stopping for gradient type algorithms
Session EO118 Room: A1
Statistical methods in neuroscience Friday 14.12.2018   16:50 - 18:30
Chair: Jeff Goldsmith Organizer: Jeff Goldsmith
  B0181:  R. Shinohara
  Nonlinear normalization methods for harmonization in neuroimaging data
  B0423:  K. Linn, R. Shinohara, A. Valcarcel, S. Vandekar
  Addressing partial volume effects using intra-subject locally adjusted cerebral blood flow images
  B0840:  B. Risk, I. Gaynanova
  Joint and individual non-Gaussian component analysis
  B1208:  M. Donohue, D. Li, S. Iddi, W. Thompson
  Latent time joint mixed effect models
Session EO687 Room: B1
Graphical Markov models III Friday 14.12.2018   16:50 - 18:30
Chair: Nanny Wermuth Organizer: Nanny Wermuth
  B1439:  M. Lupparelli
  Conditional and marginal relative risk parameters in multivariate regression models
  B1466:  H. Massam, Q. Li, X. Xin Gao
  A Bayesian approach to coloured graphical Gaussian models
  B1622:  G.M. Marchetti, N. Wermuth
  On maximum likelihood estimation for mean zero versus general Ising graphical Markov models
  B1680:  R. Wilkerson, J. Smith
  Bayesian diagnostics for chain event graphs
Session EO631 Room: C1
Statistics in cosmology Friday 14.12.2018   16:50 - 18:30
Chair: Armin Schwartzman Organizer: Armin Schwartzman
  B1277:  A. Ducout
  Minkowski functionals: Constraining cosmology with non Gaussianity
  B1463:  P. Pranav
  Unexpected topology of the cosmic microwave background
  B1402:  Y. Fantaye, D. Marinucci
  Application of the second order Gaussian kinematic formula to CMB data analysis
  B1446:  A. Schwartzman, D. Cheng, V. Cammarota, Y. Fantaye, D. Marinucci
  Multiple testing of local maxima for detection of peaks on the (celestial) sphere
Session EO028 Room: D1
Recent advances in Bayesian approaches for causal inference Friday 14.12.2018   16:50 - 18:30
Chair: Michael Daniels Organizer: Michael Daniels
  B0473:  R. Hahn
  Bayesian regression tree models for causal inference: Regularization, confounding and heterogeneity
  B0581:  M. Josefsson, M. Daniels
  Bayesian non-parametric G-computation in the presence of non-ignorable dropout and death
  B0635:  F. Mealli
  Time-varying survivor average causal effects with semicompeting risks
  B1036:  J. Hill
  Common support diagnostic for heterogeneous treatment effect
Session EO526 Room: E1
Analysis of large and complex data Friday 14.12.2018   16:50 - 18:30
Chair: Johannes Lederer Organizer: Johannes Lederer
  B1147:  G. Lecue, M. Lerasle
  Robust machine learning via median-of-means
  B0609:  H. Narayanan, K. Mohammed
  Manifold learning using kernel density estimation and local principal component analysis
  B1530:  K. Hellton
  Fridge: Focused fine-tuning of ridge regression for personalized predictions
  B1175:  M. Hebiri
  Size controlled confidence sets for multiclass classification
Session EO490 Room: F1
Recent advances in computation for statistical machine learning Friday 14.12.2018   16:50 - 18:30
Chair: Irina Gaynanova Organizer: Eric Chi
  B0221:  N. Simon
  Optimization in high dimensional additive models
  B0522:  A. Molstad, A. Rothman, C. Doss, G. Weng
  An explicit mean-covariance parameterization for multivariate response linear regression
  B0632:  T. Li, C. Qian, L. Levina, J. Zhu
  High-dimensional Gaussian graphical model for network-linked data
  B0888:  Y. Zhu
  A convex optimization formulation for multivariate regression
Session EO156 Room: G1
Recent developments in statistical models for survival data Friday 14.12.2018   16:50 - 18:30
Chair: Marialuisa Restaino Organizer: Marialuisa Restaino, Hongsheng Dai
  B0639:  M. Zenga, F. Domma, J.E. Ruiz-Castro
  Using the Dagum distribution in survival regression models
  B0807:  A. Mayr, M. Schmid, E. Waldmann
  Statistical boosting for time-to-event data: An overview on recent developments
  B1009:  G. Cortese, N. Sartori
  Survival models for highly clustered censored data: Accurate inference based on integrated likelihoods
  B1123:  O. Lopez
  Random forest under random censoring applied to the prediction of the duration of an insurance contract
Session EO170 Room: H1
Flexible models and methods for categorical data Friday 14.12.2018   16:50 - 18:30
Chair: Rosaria Simone Organizer: Rosaria Simone
  B0206:  M. Selosse, J. Jacques, C. Biernacki
  Analyzing large matrices of ordinal data
  B0464:  M. Manisera, P. Zuccolotto, E. Brentari
  Modelling perceived choice variety by a mixture model for rating data
  B0506:  M. Gasparini
  Hierarchical models for rater agreement and the evergreen kappa statistic
  B0814:  S. Giordano
  A family of models for multivariate rating scale data accounting for response styles
Session EO164 Room: I1
Advances in inference and distribution theory Friday 14.12.2018   16:50 - 18:30
Chair: Inmaculada Barranco-Chamorro Organizer: Inmaculada Barranco-Chamorro
  B0595:  U. Kamps
  Confidence regions for Pareto parameters from single and independent samples
  B0742:  I. Ahrazem Dfuf, J. Mira, C. Gonzalez
  Multi-output conditional inference trees applied to the electricity market: Variable importance analysis
  B1070:  I. Barranco-Chamorro
  Methodological advances in slash distributions
Session EO268 Room: L1
On some recent results in supervised and unsupervised classification II Friday 14.12.2018   16:50 - 18:30
Chair: Geoffrey McLachlan Organizer: Geoffrey McLachlan
  B1143:  S. Lee
  Model-based tools for the analysis of flow and mass cytometric data
  B0408:  S. Ranciati, G. Galimberti, V. Vinciotti, E. Wit
  Overlapping mixture models for network data (manet) with covariates adjustment
  B1278:  B. Taschler, F. Dondelinger, S. Mukherjee
  Model-based clustering in very high dimensions via adaptive projections
  B1494:  L. Fallah, N. Friel
  Classification using distance nearest neighbours with adjusted pseudolikelihood
Session EO558 Room: M1
Statistical methodologies with complex information Friday 14.12.2018   16:50 - 18:30
Chair: Maria Brigida Ferraro Organizer: Maria Brigida Ferraro, Ana Belen Ramos-Guajardo
  B0643:  M. Cremona, F. Chiaromonte, K. Makova
  Using interval-wise testing to investigate high-resolution ``omics'' data at multiple locations and scales
  B0697:  M. Stefanucci, D. Kraus
  Reconstruction of functional fragments
  B1017:  M.F. Marino, M. Alfo, M.G. Ranalli, N. Salvati, N. Tzavidis
  M-quantile regression for multivariate longitudinal data
Session EO234 Room: N1
Statistics of environmental extremes Friday 14.12.2018   16:50 - 18:30
Chair: Chen Zhou Organizer: Raphael Huser
  B0278:  G. Bopp, R. Huser, B. Shaby
  A hierarchical max-infinitely divisible process for spatial precipitation modeling
  B0682:  B. Beranger, S. Sisson, A. Stephenson
  Inference for extremal-$t$ and skew-$t$ max-stable models in high dimensions
  B1013:  H. Rootzen, H. Olafsdottir, D. Bolin
  Are extreme rainfalls in northeastern USA becoming more frequent, or bigger, or both?
  B1033:  A. Davison
  Aggregation of extreme rainfall
Session EO576 Room: O1
Regularization and parameter estimation in ordinary differential equations Friday 14.12.2018   16:50 - 18:30
Chair: Nicolas Brunel Organizer: Nicolas Brunel
  B0467:  I. Dattner, S. Gugushvili
  Application of one-step method to parameter estimation in ODE models
  B0569:  Q. Clairon
  Regularization of parameter estimation in ordinary differential equations via discrete optimal control theory
  B0744:  N.R. Hansen, F. Vissing Mikkelsen
  Learning large scale ordinary differential equation systems
  B0815:  B. Laroche, N. Brunel, D. Goujot, S. Labarthe
  Optimisation and selection strategies for parameter estimation in ODE models with generalised smoothing
Session EO476 Room: P1
Statistical learning and analysis with complex featured data Friday 14.12.2018   16:50 - 18:30
Chair: Grace Yi Organizer: Grace Yi
  B0183:  C. Wu
  Statistical inference with non-probability survey samples
  B0634:  W. He
  Perturbation-based model tests with application to the Clayton model
  B1034:  M.-G. Xie
  Uncertainty quantification of treatment regime in precision medicine by confidence distributions
  B1063:  C. Varin
  Design efficient composite likelihoods
Session EO428 Room: Q1
Advances in computing for robustness Friday 14.12.2018   16:50 - 18:30
Chair: Valentin Todorov Organizer: Emmanuele Sordini
  B0981:  I. Vranckx, B. de Ketelaere, M. Hubert, P. Rousseeuw
  Real-time outlier detection based on DetMCD
  B1066:  V. Witkovsky
  Computational tools and methods for statistical inference based on using the characteristic functions
  B1291:  E. Sordini, V. Todorov, A. Corbellini
  Dynamic graphics for robust multivariate analysis in R
  B1522:  P. Ruckdeschel, N. Horbenko, M. Kohl
  Diagnostics for scale-shape models based on robust statistics
Session EO504 Room: P2
Bayesian analysis with large data Friday 14.12.2018   16:50 - 18:30
Chair: Radu Craiu Organizer: Radu Craiu
  B0279:  G. Jones
  Bayesian spatiotemporal modeling using hierarchical spatial priors with applications to fMRI
  B0385:  G. Karabatsos, F. Leisen
  Bayes calculations from quantile implied likelihood
  B0441:  T. Broderick
  Automated scalable Bayesian inference via data summarization
  B0963:  F. Liang, L. Gan, N.N. Narisetty
  Bayesian regularization and computation for graphical models
Session EO280 Room: Q2
Advances in Bayesian modelling Friday 14.12.2018   16:50 - 18:30
Chair: Raffaele Argiento Organizer: Maria De Iorio
  B0333:  F. Stingo, V. Baladandayuthapani
  Varying-sparsity regression models with application to cancer proteogenomics
  B0824:  A. Cremaschi, M. Zucknick, K. Tasken, S. Skanland
  Generalised graphical models for the analysis of phospho-flow cytometry data from drug combination experiments
  B0994:  M. Ruggiero, G. Kon Kam King, O. Papaspiliopoulos
  Exact inference for Cox-Ingersoll-Ross driven hidden Markov models
  B1167:  K. Ickstadt
  Streaming statistical models via merge \& reduce
Parallel session E: CFE Friday 14.12.2018 16:50 - 18:30

Session CO254 Room: A2
Frequency dynamics of economic and financial variables Friday 14.12.2018   16:50 - 18:30
Chair: Jozef Barunik Organizer: Jozef Barunik
  A0531:  F. Verona
  The yield curve and the stock market: Mind the long run
  A0701:  J. Kurka, J. Barunik
  Horizon-specific risks, higher moments, and asset prices
  A0703:  Y. Lovcha, A. Perez Laborda
  The variance-frequency decomposition as an instrument for the identification of SVAR models
  A1057:  L. Hanus, L. Vacha
  Time-frequency response analysis of monetary policy transmission
Session CO296 Room: B2
Advances in empirical finance and econometrics Friday 14.12.2018   16:50 - 18:30
Chair: Jose Olmo Organizer: Jose Olmo
  A0694:  A. Taamouti, J. Williams, H. Sun, Y. Zhang
  Characteristic function-based approach for pricing long-run market uncertainty
  A0658:  G. Montes-Rojas
  Multivariate quantile impulse response functions
  A0660:  J.C. Escanciano, J. Hualde
  Measuring asset market linkages: Nonlinear dependence and tail risk
  A1043:  J. Olmo, R. McGee
  A re-examination of the size effect: The influence of winning stocks in size portfolios
Session CO334 Room: C2
Systemic risk Friday 14.12.2018   16:50 - 18:30
Chair: Massimiliano Caporin Organizer: Massimiliano Caporin
  A1354:  L. Garcia-Jorcano, L. Sanchis
  Systemic-systematic risk in financial system: A dynamic ranking based on expectiles
  A0438:  J.-C. Garibal, M. Caporin, M. Costola, B. Maillet
  A meta-analysis of systemic risk measures for gauging financial stability
  A0439:  M. Caporin, J.-A. Jimenez-Martin, L. Garcia-Jorcano
  Traffic lights system for systemic Stress: TALIS3
Session CO582 Room: D2
Rough volatility Friday 14.12.2018   16:50 - 18:30
Chair: Mathieu Rosenbaum Organizer: Mathieu Rosenbaum
  A0695:  M. Rasonyi, B. Gerencser
  Ergodic properties of certain financial models
  A0713:  M. Keller-Ressel, J. Gatheral
  Affine forward variance models
  A0796:  S. De Marco
  Volatility derivatives in rough forward variance models
  A1168:  B. Horvath
  Learning rough volatility
Session CO382 Room: F2
New developments in nonlinear spatial and temporal modelling Friday 14.12.2018   16:50 - 18:30
Chair: Maria Kyriacou Organizer: Zudi Lu, Maria Kyriacou
  A1241:  S. Chandna, P.-A. Maugis
  Nonparametric regression with network data
  A1282:  M. Kyriacou, P.C. Phillips, F. Rossi
  Continuously updated indirect inference
  A1526:  L. Yang, Z. Lu
  Nonparametric trend Universal kriging method with applications to air quality data
Session CO562 Room: G2
Econometric methods for sport modelling and forecasting Friday 14.12.2018   16:50 - 18:30
Chair: Luca De Angelis Organizer: Luca De Angelis
  A0315:  V. Candila
  Forecasting tennis betting odds by artificial neural networks
  A0465:  P. Zuccolotto, M. Manisera
  Modelling performance variability and teammates' interactions in basketball
  A0776:  L. De Angelis, G. Angelini
  Informational efficiency and price reactions in exchange betting markets
  A1316:  J. Reade, C. Singleton, A. Brown
  Picking scores: Forecasting low probability events
Session CO376 Room: I2
Semi- and nonparametric methods for nonlinear regression Friday 14.12.2018   16:50 - 18:30
Chair: Joachim Schnurbus Organizer: Harry Haupt, Markus Fritsch, Joachim Schnurbus
  A0982:  M. Fritsch, H. Haupt, J. Schnurbus
  Nonlinear quantile regression-based modeling of hedonic housing prices
  A0998:  J. Schnurbus, G. Kauermann
  Mixed kernel estimation of counterfactual distributions for Munich rent survey
  A1076:  S. Behm, M. Fritsch, H. Haupt
  Additive semiparametric framework for land use regression
Session CO258 Room: M2
Behavioral financial macroeconomics Friday 14.12.2018   16:50 - 18:30
Chair: Christian Proano Organizer: Christian Proano
  A0345:  B. Lojak, C. Proano, T. Makarewicz
  A toxic cocktail: Low interest rates and banks' search-for-yield behavior
  A0351:  B. Gehrke, H. Arabzadeh, A. Balleer
  Financial frictions and wages
  A0361:  N. Kotb, C. Proano
  Animal spirits in a NKM with financial intermediation and a stock market
  A1678:  C. Proano, B. Lojak
  Animal spirits, risk premia and monetary policy at the zero lower bound
Session CO434 Room: N2
Financial time series econometrics Friday 14.12.2018   16:50 - 18:30
Chair: Peter Exterkate Organizer: Peter Exterkate
  A0344:  B. Veliyev, K. Christensen, N. Thamrongrat
  Jump testing with the pre-averaged bipower variation and subsampling estimation of the asymptotic variance matrix
  A0429:  S. Kwok
  Variance estimation in the presence of self-excited jumps
  A0843:  J. Soenksen
  The taming of the two: Simulation-based asset pricing with multi-period disasters and two consumption goods
  A0991:  S. Barendse
  Loss function derived expected shortfall backtests under estimation error
Session CO070 Room: O2
EcoSta journal: High frequency data Friday 14.12.2018   16:50 - 18:30
Chair: Alain Hecq Organizer: Erricos John Kontoghiorghes
  A0230:  M. Deistler
  High frequency linear time series models and mixed frequency data
  A0829:  E. Rossi, P. Santucci de Magistris, L. Catania
  Modeling high-frequency trading volume
  A1211:  M. Thornton
  Mixed time aggregation of multivariate linear processes
  B0251:  K. Dragun, K. Boudt, S. Vanduffel
  The beta-adjusted covariance estimator
Session CC651 Room: E2
Contributions in financial econometrics I Friday 14.12.2018   16:50 - 18:30
Chair: Esther Ruiz Organizer: CFE
  A1549:  A. Kolokolov, D. Pirino, G. Livieri
  Statistical inferences for price staleness
  A1642:  I. Figuerola-Ferretti
  Recent credit risk and bubble behavior in the corporate energy sector
  A1398:  C. Chevalier, S. Darolles
  Trends everywhere: The case of hedge fund styles
  A1719:  D. Palumbo, A. Harvey
  Models for realised volatility
Session CG624 Room: H2
Contributions in econometric analysis of the business cycle Friday 14.12.2018   16:50 - 18:30
Chair: Caterina Liberati Organizer: CFE
  A1605:  C. Cakmakli, H. Demircan, S. Altug
  Modeling of economic and financial conditions for nowcasting and forecasting recessions: A unified approach
  A1261:  S. Lhuissier
  The switching skewness over the business cycle
  A1551:  B. Siliverstovs
  On the construction of composite economic indicators: The case of a new EU member state
  A1671:  S. Soofi Siavash
  Dominant U.S. manufacturing sectors: A factor model analysis
Parallel session F: CMStatistics Saturday 15.12.2018 08:45 - 10:05

Session EI009 (Special Invited Session) Room: A0
Advances in extreme value analysis Saturday 15.12.2018   08:45 - 10:05
Chair: Anna Kiriliouk Organizer: John Einmahl
  B0158:  C. Dombry, B. Bobbia, D. Varron
  The proportional tail framework for extreme quantile regression
  B0159:  J.J. Cai, A. Krajina
  A nonparametric estimator of the extremal index
  B0575:  C. Zhou, F. Yang, C. Zhou, J. Einmahl
  Testing the multivariate regular variation model
Session EO550 Room: Aula C
Recent advances in high-dimensional statistics Saturday 15.12.2018   08:45 - 10:05
Chair: Yin Xia Organizer: Yin Xia
  B0818:  J. Ma, L. Zhang, T. Cai
  Clustering of high-dimensional Gaussian mixtures with EM algorithm and its optimality
  B0820:  X. Zheng, J. Fan, Y. Li, N. Xia
  Tests for principal eigenvalues and eigenvectors
  B0827:  Y. Li, T. Cai, J. Hu, X. Zheng
  High-dimensional minimum variance portfolio estimation based on high-frequency data
  B0859:  C.Y. Tang
  Pre-processing with orthogonal decompositions for high-dimensional explanatory variables
Session EO226 Room: F1
Clustering complex data: A Bayesian perspective Saturday 15.12.2018   08:45 - 10:05
Chair: Gary Rosner Organizer: Alessandra Guglielmi
  B0780:  A. Guglielmi
  Clustering and predicting recurrent blood donations via donors' covariates
  B0816:  F. Quintana, G. Page, G. Rosner
  Discovering interactions using covariate informed random partition models
  B1031:  R. Argiento
  Normalized almost sure finite point processes for mixture models
  B1081:  A. Cadonna, A. Guglielmi, A. Cremaschi
  Bayesian spatio-temporal clustering for areal data
Session EG004 Room: Aula 4
Contributions in bootstap for time series Saturday 15.12.2018   08:45 - 10:05
Chair: Soumendra Lahiri Organizer: CMStatistics
  B1232:  J. Krampe, J.-P. Kreiss, E. Paparoditis
  Bootstrap-based inference for sparse high-dimensional time series models
  B1561:  C. Cordeiro, M. Neves
  A forecasting-EVT method
  B1360:  J.A. Reforsado, E. Barrios, J.R. Lansangan
  Sieve-based test for cointegration
  B1381:  S.B. Aracid, E. Barrios, J.R. Lansangan
  Unit root test in a semiparametric model
Session EG569 Room: Aula B
Contributions in covariance matrices Saturday 15.12.2018   08:45 - 10:05
Chair: Dongchu Sun Organizer: CMStatistics
  B1195:  S. Kuriki, M. Drton
  Existence and uniqueness of maximum likelihood estimators of Kronecker product covariances
  B1422:  D. Vats, J. Flegal
  Lugsail lag windows and their application to MCMC
  B1512:  S. Cheng, J.-P. Argaud, D. Lucor, A. Poncot, B. Iooss
  Methods for improving background error covariance matrix rebuild in data assimilation
  B1612:  V. Bilankulu, A. Bekker, C. Coelho
  Likelihood ratio test for the double level compound symmetric structure
Session EC636 Room: Aula Magna
Contributions in high-dimensional statistics Saturday 15.12.2018   08:45 - 10:05
Chair: Natalia A Stepanova Organizer: CMStatistics
  B1595:  R. D Adamo
  Cluster-robust standard errors for linear regression models with many controls
  B1581:  N. de Schipper, K. Van Deun
  Revealing the joint mechanisms in traditional data linked with big data
  B1575:  R. Kaneko, K. Yano, F. Komaki
  Asymptotically minimax predictive density for sparse Poisson sequence model with different sample sizes
  B1532:  N. Trendafilov, L. Elden
  Semi-sparse PCA
Session EG163 Room: Aula A
Contributions in time series I Saturday 15.12.2018   08:45 - 10:05
Chair: Holger Dette Organizer: CMStatistics
  B1308:  J. Ditzen
  Estimating long run effects in models with cross sectional dependence
  B1346:  A. Philippe, R. Leipus, V. Pilipauskaite, D. Surgailis
  Testing for long memory in panel random-coefficient AR(1) data
  B1519:  P. Poncela, E. Ruiz, F. Corona
  Estimating non-stationary common factor: Implications for risk sharing
  B1602:  A. Cardinali
  Multiscale asymptotics and stationarity test for stable locally stationary processes
Session EG053 Room: B1
Contributions in latent variable models and graphical models Saturday 15.12.2018   08:45 - 10:05
Chair: Wicher Bergsma Organizer: CMStatistics
  B0700:  F. Pennoni, E. Genge
  Predicting trends of institutional confidence through a hidden Markov model with survey weights and missing responses
  B1611:  M. Okudo, F. Komaki
  Scale-invariant estimations for the factor analysis model based on its geometric structure
  B1483:  H. Naito, H. Hara
  Identifiability of discrete Bayesian network with a latent source
  B1628:  E.A. Kovacs, N. Horvath, R. Molontay
  A novel computationally tractable algorithm for discovering probabilistic graphical models in high-dimensional data
Session EC637 Room: C1
Contributions in Bayesian methods Saturday 15.12.2018   08:45 - 10:05
Chair: Botond Szabo Organizer: CMStatistics
  B1429:  V. Satopaa
  Bayes-Gaussian aggregation of a single set of forecasts
  B1479:  P. Bhuyan
  Quantifying the causal effect of speed cameras using two-stage Bayesian bootstrap
  B1645:  G. Li
  A Jacobian approach for the incidental parameter problem
  B1449:  K. Okada
  Bayesian mixture item response modeling in the presence of noncompliers
Session EG515 Room: D1
Contributions in nonparametric regression Saturday 15.12.2018   08:45 - 10:05
Chair: Juan-Carlos Pardo-Fernandez Organizer: CMStatistics
  B1305:  D. Gaigall
  An independence test for a nonparametric random effects meta-regression model
  B1326:  T. Honda
  The de-biased group lasso estimation for varying coefficient models
  B1566:  M. Baranyi, M. Bolla
  Nonparametric regression estimation in chain graph models
  B1294:  G. Rivas, M.D. Jimenez-Gamero
  Faster computationally approximation for comparing the error distributions in nonparametric regression
Session EC638 Room: E1
Contributions in non- and semi-parametric methods Saturday 15.12.2018   08:45 - 10:05
Chair: Philippe Lambert Organizer: CMStatistics
  B1201:  L. Amro, M. Pauly, F. Konietschke
  Multiplication-combination tests for incomplete paired data
  B1362:  P.G. Doctolero, E. Barrios, J.R. Lansangan
  Estimating a semiparametric additive model for discrete choice data using backfitting algorithm
  B1435:  H. Kew
  Adaptive estimation of semi-parametric partially linear predictive regression under heteroskedasticity
  B1465:  S. Sugasawa
  Screening biomarkers associated with individual treatment effect
Session EG145 Room: G1
Contributions in sampling and design of experiments Saturday 15.12.2018   08:45 - 10:05
Chair: Helmut Waldl Organizer: CMStatistics
  B1419:  L. McClure, L. Long, S. Tison, S. Judd, G. Howard, M. Cushman
  Statistical properties of sub-cohort selection when testing interactions in biomarker studies
  B1298:  N. Nakhaei Rad, M. Salehi
  On the appropriate rank-based sampling scheme for estimating the inequality indices
  B1361:  L.A. Almero, E. Barrios, J.R. Lansangan
  A semiparametric mixed analysis of covariance model for a crossover design with carryover effects
  B1637:  H. Waldl
  Misspecified covariance structure and optimal designs for prediction
Session EC644 Room: H1
Contributions in applied statistics II Saturday 15.12.2018   08:45 - 10:05
Chair: Concepcion Ausin Organizer: CMStatistics
  B1318:  T. Chan, M. So, A. Chu
  Estimating the dependence of sensitive responses of mixed types in randomized response models
  B1587:  C. Ausin, M. Gomez, C. Dominguez
  Bayesian hierarchical vine copula models for the analysis of glacier discharge
  B1653:  C. Nava, C. Carota
  A Bayesian mixed multinomial logit model for partially microsimulated data on labor supply
  B1456:  A.M. Di Brisco, S. Migliorati
  Spatial mixed model for areal data on the simplex
Session EC642 Room: I1
Contributions in methodological statistics Saturday 15.12.2018   08:45 - 10:05
Chair: Yvik Swan Organizer: CMStatistics
  B1469:  G.-Y.T. Watanabe-Chang, N. Shinozaki
  A wider class of estimators of positive normal means, individual and simultaneity
  B1240:  T. Lando
  Stochastic orders of transformed distributions
  B0883:  C. Ramsay, V. Oguledo
  Discounted lifetime cost of post-retirement long-term care and annuity benefits under Markov mortality-morbidity models
Session EC640 Room: L1
Contributions in multivariate statistics Saturday 15.12.2018   08:45 - 10:05
Chair: Luis Angel Garcia-Escudero Organizer: CMStatistics
  B1457:  Y. Di, A. Wood, H. Le, K. Bharath
  Central limit theorem for Betti numbers in stochastic block models for random graphs
  B1594:  X. Meng, J. Taylor
  Weighted energy score
  B1633:  R. Imai
  Bayesian minimax estimation for means in $k$ sample problems
  B1616:  I. Zezula
  MANOVA in block compound symmetry setting
Session EC634 Room: M1
Contributions in functional data analysis Saturday 15.12.2018   08:45 - 10:05
Chair: Sonja Greven Organizer: CMStatistics
  B1460:  I. Takasawa, K. Tanioka, H. Yadohisa
  Constrained LiNGAM approach for tensor data
  B1681:  A. Ciarleglio
  Handling missing scalar and functional data in integrative analysis with applications to mental health research
  B0576:  Y. Slaoui
  Bandwidth selection of recursive nonparametric relative regression for independent functional data
  B1623:  F. Maturo, F. Fortuna, T. Di Battista
  Assessing diversity over time via functional data analysis and related tools
Session EC643 Room: P1
Contributions in statistical modelling Saturday 15.12.2018   08:45 - 10:05
Chair: Ori Davidov Organizer: CMStatistics
  B1369:  S. Nakakita, M. Uchida
  Adaptive maximum-likelihood-type estimation for discretely and noisily observed diffusion processes
  B1397:  L. Grilli, C. Rampichini, O. Paccagnella, M.F. Marino
  Multiple imputation and selection of ordinal level-2 predictors in multilevel models
  B1597:  I. Bussoli
  Multi-omics integrated analysis by means of graphical models
  B1500:  A. Carballo, M. Durban, D.-J. Lee
  A general framework for prediction in multidimensional smoothing
Session EC639 Room: Q1
Contributions in robust statistics Saturday 15.12.2018   08:45 - 10:05
Chair: Tim Verdonck Organizer: CMStatistics
  B0380:  A. Garcia-Perez
  Saddlepoint approximations for the distribution of some robust estimators of the variogram
  B1325:  A. Mishra, C.L. Mueller
  Robust regression with compositional covariates
  B1552:  F. Alqallaf, C. Agostinelli
  Robust measurement errors method
  B1531:  P. Mozharovskyi, P. Lafaye de Micheaux, M. Vimond
  Depth for curve data and applications
Parallel session F: CFE Saturday 15.12.2018 08:45 - 10:05

Session CO542 Room: Q2
Cryptocurrency Saturday 15.12.2018   08:45 - 10:05
Chair: Ostap Okhrin Organizer: Ostap Okhrin
  A0450:  T. Klein, S. Trimborn, T. Walther, C. Wegener
  A cross section of expected cryptocurrency returns based on continuous betas
  A0524:  S. Trimborn
  Discover regional and size effects in global bitcoin blockchain via sparse-group network autoregressive modeling
  A0565:  M. Schmid
  Estimating higher distribution moments with high frequency data
  A1440:  O. Okhrin
  On cryptocurrency
Session CG111 Room: O1
Contributions in copulas and applications Saturday 15.12.2018   08:45 - 10:05
Chair: Yarema Okhrin Organizer: CFE
  A1624:  M. Magris
  A vine-copula extension for the HAR-RV model
  A1348:  A. Stephan, M. Sahamkhadam
  Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis
  A1335:  S. Wang, N. Apergis, G. Gozgor, C.K.M. Lau
  Tail dependence in the Australian electricity market: Evidences from the vine copula and the dependence-switching copula
  A1202:  J. Ascorbebeitia, E. Ferreira, S. Orbe
  Nonparametric dynamic copula modelling to analyze dependence structures between domestic indexes
Session CG549 Room: A2
Contributions in financial modelling and forecasting Saturday 15.12.2018   08:45 - 10:05
Chair: Jiri Witzany Organizer: CFE
  A1319:  C. Trucios, J.H. Goncalves Mazzeu
  Forecasting conditional covariance matrices in high-dimensional data using the general dynamic factor model
  A1477:  F. Bellini, I. Peri
  On the properties of $\Lambda$-quantiles
  A1511:  P. Tzika, T. Pantelidis
  Economic policy uncertainty as an indicator of abrupt movements in the US stock market
  A1713:  J. Witzany, M. Ficura
  Sequential Gibbs particle filter algorithm with an application to stochastic volatility and jumps estimation
Session CG125 Room: B2
Contributions in portfolio optimization II Saturday 15.12.2018   08:45 - 10:05
Chair: Zinoviy Landsman Organizer: CFE
  A1338:  M. Sahamkhadam
  Portfolio optimization based on multivariate GARCH copula models
  A1357:  T. Kobayashi, N. Makimoto
  Bond portfolio optimization using regime switching dynamic Nelson Siegel models
  A1517:  M. Hronec
  Portfolio diversification in the spectral domain
  A1609:  Z. Ye, C.S. Pun
  Dynamically optimal multi-period mean-variance portfolio selection with transaction costs and no-shorting constraint
Session CG018 Room: C2
Contributions in structural breaks Saturday 15.12.2018   08:45 - 10:05
Chair: Arnaud Dufays Organizer: CFE
  A1342:  A. Schmidt, K. Schweikert
  Multiple structural breaks in cointegrating regressions: A model selection approach
  A1389:  A. Dufays, E. Houndetoungan
  Selective linear segmentation for detecting relevant parameter changes
  A1464:  M. Segnon
  Modelling long memory and structural breaks in count data
  A1558:  A. Allayioti, F. Venditti
  Forecasting commodity prices in a data-rich, unstable environment
Session CG377 Room: D2
Contributions in financial econometrics II Saturday 15.12.2018   08:45 - 10:05
Chair: Eduardo Rossi Organizer: CFE
  A1722:  G. Martos, M. de Carvalho
  Brexit: Tracking and disentangling the sentiment towards leaving the EU
  A1503:  E. Senra, J. Bogalo, P. Poncela
  Multivariate automated circulant SSA
  A1672:  M. Smid
  On distribution of order books
  A1638:  F. Cordoni, F. Corsi
  Identification of overdetermined structural VAR models
Session CG095 Room: E2
Contributions in asset pricing Saturday 15.12.2018   08:45 - 10:05
Chair: Francesco Violante Organizer: CFE
  A1472:  J. Barunik, C.Y.-H. Chen, W.K. Haerdle
  Tales of sentiment driven tails
  A1502:  M. Nevrla, J. Barunik
  Tail risks, asset prices, and investment horizons
  A1506:  L. Vacha, J. Barunik
  Dynamic quantile models, rational inattention, and asset prices
  A1495:  F. Cech, J. Barunik
  Dynamic quantile model for bond pricing
Session CG067 Room: F2
Contributions in financial markets Saturday 15.12.2018   08:45 - 10:05
Chair: Teruo Nakatsuma Organizer: CFE
  A0265:  H.-P. Otto
  Market efficiency: Saudi stock exchange
  A1395:  M. Baltakiene, K. Baltakys, H. Karkkainen, J. Kanniainen
  Neighbors matter: Geographical distance and trade timing in the stock market
  A1454:  M. Siikanen, J. Kanniainen, U. Noegel
  Liquidity in the FX market: Empirical evidence from an aggregator
  A1539:  M. Pedio, E. Hansen, M. Guidolin
  Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach
Session CG463 Room: G2
Contributions in machine learning for time series forecasting Saturday 15.12.2018   08:45 - 10:05
Chair: Harish Bhat Organizer: CFE
  A1312:  K. Yousuf, S. Ng
  $L_2$ boosting for high dimensional locally stationary time series
  A1371:  H. Stone
  Calibrating rough volatility models: A convolutional neural network approach
  A1482:  C. Chu, P.K. Chan
  Decomposition of high frequency Forex signals for copula based pairs trading strategy with support vector regression
  A1673:  A. Giovannelli
  Comparing linear and non-linear dynamic factor models for large macroeconomic datasets
Session CC650 Room: H2
Contributions in computational econometrics Saturday 15.12.2018   08:45 - 10:05
Chair: Christophe Croux Organizer: CFE
  A1458:  J. Leite, J.C. Dias, J.P. Nunes
  On the computation of discrete mixtures of continuous distributions: Theoretical stability of algorithms
  A1615:  M. Martinoli, R. Seri
  A minimum-distance estimator for the calibration of simulation models
  A1505:  E. Ciavolino, R. Bernardini Papalia, M. Carpita, E. Fernandez Vazquez
  GME discrete model with exogenous spatial effect variable for the job satisfaction
  A1630:  T. Dubiel-Teleszynski, K. Kalogeropoulos, N. Karouzakis
  Estimating bond risk premia via sequential learning
Session CG016 Room: I2
Contributions in financial time series Saturday 15.12.2018   08:45 - 10:05
Chair: Roxana Halbleib Organizer: CFE
  A1375:  A. Heinemann, E. Beutner, S. Smeekes
  A residual bootstrap for conditional value-at-risk
  A1712:  M. Ficura, J. Witzany
  Forecasting stochastic volatility with realized volatility estimators and particle filters
  A1553:  P. Chirico
  QML estimation of a stochastic volatility with leverage and size effect model
  A1554:  G. Buccheri, G. Bormetti, F. Corsi, F. Lillo
  A general class of score-driven smoothers
Session CG065 Room: M2
Contributions in macroeconomic policies and macroeconometrics Saturday 15.12.2018   08:45 - 10:05
Chair: Giorgio Primiceri Organizer: CFE
  A1209:  M. Santana Gallego
  International trade, exchange rate regimes, and financial crises
  A1560:  B. Rossi, A. Inoue
  The effects of conventional and unconventional monetary policy on exchange rates
  A0610:  V. Ajevskis
  Impulse response functions in DSGE models as a perturbation to the deterministic solution
  A1667:  H.-M. Krolzig, R. Heinlein
  Symmetry and separability in two-country cointegrated vector autoregressive processes
Session CG539 Room: N2
Contributions in long memory Saturday 15.12.2018   08:45 - 10:05
Chair: Liudas Giraitis Organizer: CFE
  A0903:  T. Hartl
  Macroeconomic forecasting with fractional factor models
  A1409:  M. Stapper
  Long memory conditional heteroscedasticity in count data
  A1690:  A. Pereverzin
  On the long memory feature through temporal aggregation
  A1246:  A. Cornea-Madeira, J. Madeira
  A new filter for long memory time series
Session CG533 Room: O2
Contributions in inflation Saturday 15.12.2018   08:45 - 10:05
Chair: Tomasz Lyziak Organizer: CFE
  A1590:  L.J. Alvarez, L. Gadea, A. Gomez-Loscos
  Inflation comovements in advanced economies
  A1333:  A. Halka, A. Leszczynska-Paczesna
  Price convergence in the European Union: What has changed
  A1387:  A. Zubarev
  On the estimation of the Phillips curve for the Russian economy
  A1428:  K. Szafranek
  Sources of inflation comovements
Session CG093 Room: P2
Contributions in Bayesian econometrics Saturday 15.12.2018   08:45 - 10:05
Chair: Richard Gerlach Organizer: CFE
  A0372:  P. Szerszen, D. Dobrev, D. Hansen
  A randomized missing data approach to robust filtering with applications to economics and finance
  A1583:  D. Hosszejni, G. Kastner
  Efficient Bayesian estimation of the stochastic volatility model with leverage
  A1640:  A. Thomas, B. Sevi
  Real-time forecasts of Henry Hub natural gas prices
Parallel session G: CMStatistics Saturday 15.12.2018 10:35 - 12:40

Session EO482 Room: Aula 5
Recent advances in the analysis of complex data Saturday 15.12.2018   10:35 - 12:40
Chair: Ci-Ren Jiang Organizer: Xiaoke Zhang
  B0307:  C.-R. Jiang, L.-H. Chen
  Inverse regression for multivariate functional data: Application to renewable energy forecast
  B0860:  C. Hu
  Use of multistate model for multiple endpoints in oncology clinical trials analysis and designs
  B1035:  M. Ahn
  A computationally efficient algorithm for random effects selection in linear mixed models
  B1131:  Y. Zhao, Q. Pan, C. Du
  Logistic regression augmented community detection
  B1227:  Y. Li
  Weighted estimators of the complier average causal effect on restricted mean survival time
Session EO588 Room: Aula B
Modern approaches to high dimensional data analysis Saturday 15.12.2018   10:35 - 12:40
Chair: Jaroslaw Harezlak Organizer: Jaroslaw Harezlak
  B0542:  F. Zhang
  Hierarchical Bayesian models for integrating multimodal neuroimaging data
  B0629:  N. Dai, H. Kang, G. Jones, M. Fiecas
  A Bayesian latent spatial model for mapping the cortical signature of progression to Alzheimer's disease
  B0751:  X. Hu, M. Trosset
  Two-sample tests for unweighted random graphs generated from latent space models
  B0849:  S. Wilczynski, P. Sobczyk, M. Bogdan, J. Josse
  Multiple latent components clustering
  B0856:  Y. Zhao
  Covariate assisted principal regression for covariance matrix outcomes
Session EO338 Room: Aula Magna
Large scale statistical inference: Methodology and applications Saturday 15.12.2018   10:35 - 12:40
Chair: Tetyana Pavlenko Organizer: Tetyana Pavlenko
  B0389:  M. Hyodo, H. Watanabe
  On simultaneous confidence interval estimation for the difference of paired mean vectors in high-dimensional settings
  B0453:  T. Nishiyama, M. Hyodo, T. Pavlenko
  Testing independence in high-dimensional data: $\rho$V-coefficient based approach
  B0534:  A. Tillander, T. Pavlenko
  Detection of non-null effects in linear models for sparse mixtures
  B0651:  T. Pavlenko, F. Rios
  Bayesian predictive inference in decomposable graphs using sequential Monte Carlo samplers
  B0722:  N.A. Stepanova, C. Butucea
  Optimal recovery of sparse additive signals
Session EO052 Room: A1
Advances in latent variable models for complex data Saturday 15.12.2018   10:35 - 12:40
Chair: Silvia Cagnone Organizer: Silvia Cagnone
  B0560:  V. Vasdekis, K. Florios, D. Rizopoulos, I. Moustaki
  Model averaging weighted estimators for latent variable models in a longitudinal data setting
  B0821:  S. Taskinen, J. Niku
  Generalized linear latent variable models in the analysis of ecological data
  B0826:  M. Battauz, R. Bellio
  A regularized estimation approach for the three-parameter logistic model
  B0857:  G. McLachlan
  On the use of latent variables to extend Gaussian mixture models
  B0911:  M. Farne, M. Barigozzi
  An algebraic estimator for large spectral matrices
Session EO178 Room: Aula A
Markov switching regression and hidden Markov models Saturday 15.12.2018   10:35 - 12:40
Chair: Thomas Kneib Organizer: Thomas Kneib, Roland Langrock
  B0547:  J. Hambuckers, T. Kneib
  Modeling non-stationary operational risk: A smooth-transition distributional regression approach
  B0842:  J. Pohle, R. Langrock, R. King, M. van der Schaar
  Coupled Markov-switching regression models with application to electronic health record data
  B0863:  M. Oetting, R. Langrock, C. Deutscher, V. Leos-Barajas
  An analysis of a hot hand effect in professional darts using state-space models
  B0897:  T. Adam, V. Leos-Barajas, R. Langrock
  Joint modeling of multi-scale time series data using hierarchical hidden Markov models
  B0290:  A. Farcomeni, G. Anderson, M.G. Pittau, R. Zelli
  Time-specific clustering via rectangular latent Markov models, with an analysis of the well-being of nations
Session EO344 Room: Aula C
Optimisation for machine learning and online methods Saturday 15.12.2018   10:35 - 12:40
Chair: Stephane Gaiffas Organizer: Stephane Gaiffas
  B1206:  J. Mourtada, S. Gaiffas
  On the optimality of the standard Hedge algorithm in the stochastic setting
  B1356:  A. Dieuleveut
  Non-asymptotic analysis of local-SGD
  B1518:  M. Bompaire, S. Gaiffas, E. Bacry
  Dual optimization for convex constrained objectives without the gradient-Lipschitz assumption
  B1548:  P. Tardivel
  On the properties of sign estimators derived from hard thresholded lasso and hard thresholded basis pursuit
  B1529:  J.C. Lam, A. Carpentier, G. Blanchard, J. Achdou
  A minimax near-optimal algorithm for adaptive rejection sampling
  B1727:  L. Carratino, L. Rosasco
  Learning with implicit regularization and sketching
Session EO619 Room: B1
Causality: Modeling, reasoning, estimation and prediction I Saturday 15.12.2018   10:35 - 12:40
Chair: Vanessa Didelez Organizer: Marloes Maathuis
  B1214:  Y.S. Wang
  Causal discovery with non-Gaussian data and latent variables
  B0588:  Y. Wang, C. Squires, A. Belyaeva, C. Uhler
  Direct estimation of differences in causal graphs
  B1267:  E. Perkovic, M. Kalisch, M. Maathuis
  Identifiability of total causal effects from observational data
  B0811:  L. Henckel, E. Perkovic, M. Maathuis
  Graphical criteria for efficient covariate adjustment in causal linear structural equation models
  B1183:  M. Liskiewicz, B. van der Zander
  Detection of instrumental variables in causal models: An algorithmic framework
Session EO186 Room: C1
Model specification tests Saturday 15.12.2018   10:35 - 12:40
Chair: Maria Dolores Jimenez-Gamero Organizer: Maria Dolores Jimenez-Gamero
  B0339:  B. Milosevic, M. Cuparic, M. Obradovic
  New consistent goodness-of-fit tests based on $V$-empirical Laplace transforms
  B0730:  K. Volkova
  New goodness-of-fit tests based on the functionals of U-empirical processes
  B0733:  V. Alba-Fernandez, M.D. Jimenez-Gamero, F. Jimenez-Jimenez
  Modeling social preferences by using penalized phi-divergence measures
  B1145:  J. Allison, S. Meintanis, J. Ngatchou-Wandji
  A characteristic function based test for serial independence in vector autoregressive models
  B1223:  J.-C. Pardo-Fernandez, M.D. Jimenez-Gamero
  A model specification test for the variance function in nonparametric regression
Session EO514 Room: D1
Recent advances in nonparametric methods Saturday 15.12.2018   10:35 - 12:40
Chair: Marinho Bertanha Organizer: Sebastian Calonico
  B1274:  B. Frandsen
  A rational approach to inference on multiple parameters
  B1275:  Y. Sasaki, T. Ura
  Inference for moments of ratios with robustness against large trimming bias and unknown convergence rate
  B1285:  M. Bertanha, G. Imbens
  External validity in fuzzy regression discontinuity designs
  B1286:  O. Bartalotti, S. Dieterle, Q. Brummet
  A correction for regression discontinuity designs with group-specific mismeasurement of the running variable
  B1297:  D. Arkhangelskiy
  Dealing with a technological bias: The difference-in-difference approach
Session EO162 Room: E1
Recent developments in network data analysis Saturday 15.12.2018   10:35 - 12:40
Chair: Krishnakumar Balasubramanian Organizer: Shujie Ma
  B0205:  D. Choi
  Global spectral clustering of dynamic networks
  B0498:  A.Y. Zhang
  Theoretic and computational guarantee for mean-field variational Bayes methods on community detection
  B0500:  Y. Zhang
  Transform-based unsupervised point registration and unseeded low-rank graph matching
  B0954:  M. Xu, P.-L. Loh, V. Jog
  Optimal rates for community estimation in the weighted stochastic block model
  B1170:  M. Tang, A. Athreya, Y. Park, C. Priebe
  On estimation and inference in latent structure random graphs
Session EO136 Room: F1
Dimension reduction and high-dimensional supervised learning Saturday 15.12.2018   10:35 - 12:40
Chair: Andreas Artemiou Organizer: Xin Zhang
  B0327:  H. Chun
  A nonnegative robust linear model for deconvolution of proportions with biological applications
  B0313:  R. Zhu, D. Zeng, Q. Sun, T. Wang
  Counting process based dimension reduction methods for censored outcomes
  B0346:  C.E. Lee, X. Zhang, X. Shao
  The central mean envelope for dimension reduction
  B0194:  Y. Pan, Q. Mai, X. Zhang
  Covariate-adjusted tensor classification in high-dimensions
  B1735:  W. Luo
  A general framework for sparse sufficient dimension reduction
Session EO332 Room: G1
Survival analysis and copula Saturday 15.12.2018   10:35 - 12:40
Chair: Takeshi Emura Organizer: Takeshi Emura
  B0461:  C. Moreira, J. de Una-Alvarez, A.C. Santos
  Nonparametric estimation of the joint distribution of two gap times under various types of censoring and truncation
  B1060:  A. Doerre
  Parametric and semiparametric modeling of doubly truncated lifetimes under time-restricted data collection schemes
  B0225:  M. Wang
  A time-varying joint frailty-copula model for analyzing recurrent events and a terminal event
  B1083:  R. Braekers
  Using nested Archimedean copulas to investigate the correlation structure in udder infection times
  B0913:  L. Xiang, M. Peng
  Joint correlation rank screening for semi-competing risks data with ultrahigh-dimensional gene features
Session EO242 Room: H1
New methodologies and advances in survival and reliability Saturday 15.12.2018   10:35 - 12:40
Chair: Juan Eloy Ruiz-Castro Organizer: Mariangela Zenga, Juan Eloy Ruiz-Castro
  B0396:  M. Restaino, H. Dai
  A proportional hazards model under bivariate censoring and truncation
  B0445:  G. Kelly, R. Menezes
  Towards reliable spatial prediction
  B0871:  F. Nicolussi, M. Mazzoleni, S. Frassoni, M. Monturano, R. Bellocco, V. Bagnardi
  Joint modelling of bivariate longitudinal data: Application to the recovery of sexual function and urinary continence
  B0974:  A. Marshall, M. Zenga
  Using Coxian phase-type distributions and survival trees to model length of stay of elderly patients in Italy hospitals
  B0621:  J.E. Ruiz-Castro, M. Dawabsha
  A multi-state $k$-out-of-$n$: G system subject to multiple events and loss of units
Session EO172 Room: I1
Computational statistics in distribution theory Saturday 15.12.2018   10:35 - 12:40
Chair: Andriette Bekker Organizer: Theodor Loots, Andriette Bekker
  B0303:  M. Arashi
  The Mobius distribution with spiral motion
  B0507:  C. Coelho, F. Marques
  The likelihood ratio test of independence for random size samples
  B0527:  A. Iranmanesh
  A new matrix variate gamma distribution with applications
  B0661:  D. Chen, Y. Lio, T. Cronje
  Generalized Rayleigh-exponential-Weibull distribution and progressively type-I interval-censored data
  B1062:  T. Loots, A. Bekker
  A wrapped skew generalised normal family
Session EO404 Room: L1
Soft clustering Saturday 15.12.2018   10:35 - 12:40
Chair: Maria Brigida Ferraro Organizer: Maria Brigida Ferraro
  B0532:  Y. Mori, T. Yoshioka, M. Kuroda
  Computational efficiency for fuzzy clustering
  B0653:  A. Serafini, M.B. Ferraro, P. Giordani
  The fclust R package for fuzzy clustering: A new version
  B1172:  S. DAngelo, M. Fop, M. Alfo
  An infinite mixture model for clustering of multiplex data
  B1484:  S. Millard, F. Kanfer, M. Arashi
  Semi parametric mixtures of generalised linear models
  B1489:  F. Kanfer, S. Millard, M. Arashi
  Applications of scale mixtures in the exponential family
Session EO292 Room: M1
New developments on robustness and functional data analysis Saturday 15.12.2018   10:35 - 12:40
Chair: Juan Romo Organizer: Graciela Boente, Juan Romo
  B0649:  A. Nieto-Reyes, J. Aston
  Robustness on big functional data depths
  B0767:  A. Christmann
  Notions of robustness and stability in machine learning
  B1498:  A. Martino, A. Ghiglietti, F. Ieva, A.M. Paganoni
  A clustering procedure for multivariate functional data based on a Mahalanobis type distance
  B1525:  L. Fernandez Piana, S. Gonzalez, A. Justel, J. Rodriguez-Puerta, M. Svarc
  Selection of unsupervised classification methods for functional data
  B1715:  M. Fuentes
  High dimensional tensor regression for neuroimaging data
Session EO430 Room: N1
Modelling extremes with covariates Saturday 15.12.2018   10:35 - 12:40
Chair: Juan Juan Cai Organizer: Juan Juan Cai
  B0342:  J. Velthoen, J.J. Cai, G. Jongbloed, M. Schmeits
  Improving precipitation forecast using extreme quantile regression
  B0646:  L. Mhalla, M. de Carvalho, V. Chavez-Demoulin
  Regression type models for extremal dependence
  B1309:  P. Jonathan, D. Randell, E. Zanini, E. Ross, M. Jones
  Efficient adaptive covariate modelling for extremes
  B1414:  Y. Goegebeur, A. Guillou, J. Qin
  Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
  B0935:  W. Wang, X. Leng, H. Chen
  Latent group structures with heterogeneous distributions: Identification and estimation
Session EO128 Room: O1
Choosing bandwidths and tuning parameters Saturday 15.12.2018   10:35 - 12:40
Chair: Lola Martinez-Miranda Organizer: Lola Martinez-Miranda
  B0511:  C. Tenreiro
  Data-based selection of the tuning parameter appearing in certain families of goodness-of-fit tests
  B0907:  M.I. Borrajo, J.E. Chacon, A. Rodriguez-Casal
  Taking advantage of the optimal kernel in nonparametric density estimation
  B0934:  M.-C. Van Lieshout, O. Cronie
  A non-model-based approach to bandwidth selection for kernel intensity estimators
  B0485:  I. Barbeito, S. Sperlich, R. Cao
  Bandwidth selection for prediction in regression
  B0909:  L. Martinez-Miranda, M.L. Gamiz, J.P. Nielsen
  Multiplicative local linear hazard estimation and best one-sided cross-validation
Session EO368 Room: Q1
Going robust: New developments and applications Saturday 15.12.2018   10:35 - 12:40
Chair: Vanda Lourenco Organizer: Alfio Marazzi, Vanda Lourenco
  B0772:  A. Posekany
  Detecting outliers on microarrays with mixtures of normal and heavy-tailed distributions
  B0970:  J. Raymaekers, P. Rousseeuw
  A generalized spatial sign covariance matrix
  B1187:  L. Greco, C. Agostinelli
  Robust multivariate methods based on the weighted likelihood
  B1185:  L. Ventura, E. Ruli, N. Sartori
  Robustness in Bayesian inference
  B0173:  L.A. Garcia-Escudero, A. Mayo-Iscar, M. Riani, A. Cerioli
  Robust clustering based on determinants-and-shape constraints
Session EO260 Room: O2
CSDA journal: Time series and nonparametric methods Saturday 15.12.2018   10:35 - 12:40
Chair: Stephen Pollock Organizer: Erricos John Kontoghiorghes
  B1071:  J.-P. Kreiss, M. Meyer, E. Paparoditis
  A frequency domain bootstrap for general stationary processes
  B1112:  E. Beutner, H. Zaehle
  Density estimators that can be plugged in
  B0764:  M. Hirukawa
  Bias correction for local linear regression estimation using asymmetric kernels via the skewing method
  B0654:  Y.K. Lee, E. Mammen, J.P. Nielsen, B. Park
  Generalised additive dependency inflated models including aggregated covariate
Session EO036 Room: P2
Bayesian semi- and nonparametric modelling I Saturday 15.12.2018   10:35 - 12:40
Chair: Li Ma Organizer: Matteo Ruggiero, Li Ma, Raffaele Argiento
  B0404:  Y. Xu, F. Xie
  Bayesian repulsive Gaussian mixture model with its applications to EHR
  B0440:  M. Daniels
  A Bayesian nonparametric approach for causal inference with semi-competing risks
  B0517:  C. Grazian, G. Mastrantonio, E. Bibbona
  Dirichlet processes and copulas
  B1207:  B. Nipoti, A. Canale, R. Corradin
  Augmented conditional sampler for nonparametric mixture models
  B0980:  B. Szabo
  On Bayesian uncertainty quantification in sparse high-dimensional models
Session EO040 Room: Q2
Novel Bayesian applications and methods Saturday 15.12.2018   10:35 - 12:40
Chair: Christopher Hans Organizer: Christopher Hans
  B0781:  D. van Dyk
  Astrophysical deconvolution when the convolution function is imprecise
  B1082:  A. Volfovsky
  Causal inference from complex observational data
  B0382:  S. Jensen
  Parametric and non-parametric Bayesian approaches to spatial modeling of crime in Philadelphia
  B1016:  L. House
  Formalizing the use of expert judgement in uncertainty quantification of computer models
Session EP002 Room: Ground Level Hall
Poster Session I Saturday 15.12.2018   10:35 - 12:40
Chair: Elena Fernandez Iglesias Organizer: CMStatistics
  B1390:  T. Fukuda, T. Misumi, H. Matsui, S. Konishi
  Multivariate functional subspace methods for classifying high-dimensional longitudinal data
  B1413:  J. Kleyn, S. Millard, M. Arashi
  Preliminary test estimation in system regression models using asymmetric loss functions
  B1427:  T. Nakagawa, S. Hashimoto
  Robust Bayesian estimation using the gamma divergence
  B1444:  S. Ferrigno, M.-J. Martinez, R. Azais
  An R package for Cramer-von Mises goodness-of-fit tests in regression models
  B1447:  K. Tahata, U. Matsushima
  On model selection via penalized likelihood for square contingency tables
  B1486:  I. Ohn, Y. Kim
  Bayesian sparse factor models with overlapping blocks
  B1555:  M. Francisco-Fernandez, A. Meneses, S. Naya, J. Tarrio-Saavedra, R. Cao
  The TTS R library for predicting the mechanical behavior of viscoelastic materials
  B1557:  O. Dias Lopes da Silva, A.S. Toledo de Sousa
  Strategies for evaluation of the selected partition in cluster analysis
  B1573:  T. Misumi
  Joint modeling for longitudinal data and binary outcome via h-likelihood
  B1618:  I. Papageorgiou
  A fast automatically calibrated resampling method for evaluating multinomial model fit
  B1632:  Y. Kim
  Outlier detection using auxiliary variable dependent monitoring in scanner data
  B1646:  J. Tarrio-Saavedra, M. Flores, S. Naya, R. Fernandez Casal, V. Bolon, C. Eiras
  A control chart methodology for functional data
  B1650:  I. El Hattab
  A new nonparametric estimator of the regression function
  B1651:  J. Koh, E. Koch, A. Davison
  Trends in the extremes of storm environments
  B1686:  A.S. Toledo de Sousa, H. Bacelar-Nicolau, O. Dias Lopes da Silva, L. Bacelar-Nicolau
  Probabilistic clustering methods in data analysis of macro-datasets
  B1720:  M. Shpak, B. Miasojedow
  Structure learning of continuous time Bayesian networks via penalized likelihood methods
  B1470:  F. Jimenez-Jimenez
  Overcoming inequalities in intergroup competitions: Heterogeneous preferences and cultural values
  B1467:  J. Kysely, E. Plavcova
  Simulation of links between temperature extremes and atmospheric circulation in regional climate models
  B1755:  B. Chu, K. Keys, K. Lange, J. Sinsheimer, H. Zhou
  Group iterative hard-thresholding and generalized linear models in genetics
  B1756:  J. Kim, H. Zhou
  Penalty method for variance component selection
  B1762:  E. Fernandez Iglesias, G. Gonzalez-Rodriguez, J. Marquinez
  Statistical approaches of the extreme rainfall events variability using hourly data, NW Spain
  B1764:  H. Park, W. Jang
  Linear empirical Bayes for hierarchical normal models with double shrinkage
  B1765:  J. Kim
  Network analysis of Yesong dispute based on the Annals of Joseon Dynasty
  B1437:  A. Borges, C. Cordeiro, R. Casimiro
  Evaluating water meters performance: An industry case study
Parallel session G: CFE Saturday 15.12.2018 10:35 - 12:40

Session CI017 (Special Invited Session) Room: A0
Bayesian macroeconometrics Saturday 15.12.2018   10:35 - 12:40
Chair: Toshiaki Watanabe Organizer: Toshiaki Watanabe
  A0175:  M. Del Negro
  A Bayesian approach for inference on probabilistic surveys
  A0176:  G. Primiceri
  Economic predictions with big data: The illusion of sparsity done
  A0180:  C.-J. Kim, J. Kim
  Non-Markovian regime switching models
Session CO578 Room: P1
Advances in spatial econometrics Saturday 15.12.2018   10:35 - 12:40
Chair: Federico Martellosio Organizer: Federico Martellosio
  A0805:  F. Rossi, J. Lee, P.C. Phillips
  Misspecification testing in spatial autoregressive models
  A1079:  A. Gupta, X. Qu
  Consistent specification testing under network dependence
  A0406:  D. Preinerstorfer
  How to avoid the zero-power-trap in testing for correlation
  A0693:  S. Leorato, A. Martinelli
  Matrix spatial specification models
  A1133:  F. Martellosio
  Adjusted maximum likelihood inference for spatial fixed effects models
Session CO168 Room: A2
Advances in time series and financial econometrics Saturday 15.12.2018   10:35 - 12:40
Chair: Roxana Halbleib Organizer: Roxana Halbleib
  A0233:  G. Fiorentini, T. Almuzara, E. Sentana
  U.S. aggregate output measurement: A common trend approach
  A0457:  C. Muecher, R. Halbleib, G. Calzolari
  Estimation of multivariate factor stochastic volatility models
  A0862:  J. Schnaitmann, J. Grammig, D. Elshiaty
  Indirect inference estimation of misspecified DSGE asset pricing models using nonlinear vector autoregressions
Session CO122 Room: B2
Topics in financial econometrics Saturday 15.12.2018   10:35 - 12:40
Chair: Leopold Soegner Organizer: Leopold Soegner, Joern Sass
  A0392:  A.-K. Thoes, J. Sass
  Risk reduction and portfolio optimization using clustering methods
  A0421:  K. Lucivjanska, A. Weissensteiner, N. Branger
  Optimal granularity for portfolio choice
  A0606:  K. Poetzelberger
  Estimators of the boundary in inverse first exit problems
  A0846:  S. Gur, K. Poetzelberger
  Sensitivity of boundary crossing probabilities of the Brownian motion
  A1146:  S. Voigt, N. Hautsch, C. Scheuch
  Price efficiency in markets with stochastic latency
Session CO320 Room: C2
Advances in credit risk modelling Saturday 15.12.2018   10:35 - 12:40
Chair: Raffaella Calabrese Organizer: Jonathan Crook, Raffaella Calabrese
  A0366:  J. Crook, V. Djeundje
  Identifying hidden patterns in credit risk survival data using generalised additive models
  A0529:  C. Liberati, G. Andreeva
  Behavioural attitudes and financial performance: New ideas for segmenting bank customers
  A0665:  M. DeglInnocenti, R. Calabrese, S. Zhou
  Access to finance and growth of innovative SMEs after Brexit
  A0804:  M. Kesina, R. Calabrese
  A Bayesian spatial sample selection model with an application to credit constraints for small businesses
  A1106:  P. Giudici, A. Agosto
  Network-based PARX models to measure contagion in credit default counts
Session CO148 Room: D2
Energy economics Saturday 15.12.2018   10:35 - 12:40
Chair: Francesco Ravazzolo Organizer: Francesco Ravazzolo, Angelica Gianfreda
  A0714:  A. Menapace, F.M.L. Di Lascio, M. Righetti
  A copula-based modelling of peak district heating demand and outdoor temperature
  A1002:  R. Hornegold, M. Lorusso, M. Costola
  Measuring the spillover effects of commodities prices and international markets on the Russian stock exchange
  A1174:  A. Gianfreda, L. Parisio, M. Pelagatti
  The RES-induced switching effect across fossil fuels: An analysis of day-ahead and balancing prices
  A1188:  M. Marchese, M. Marchese, F. Di Iorio
  Value at risk and extreme value theory for oil prices: a long memory multivariate GARCH approach
  A0947:  B. Xu
  Global oil market uncertainty and oil prices
Session CO150 Room: E2
Topics in mathematical finance and machine learning Saturday 15.12.2018   10:35 - 12:40
Chair: Jan Vecer Organizer: Jan Vecer
  A0671:  J. Vecer
  Dynamic scoring: Probabilistic model selection based on utility maximization
  A0836:  S. Taylor
  Detecting arbitrage in the spot foreign exchange market
  A0867:  T. Ichiba
  Mean-field approximation of large banking network with defaults
  A0988:  R. Feng, C. Liu
  Local time, running supremum and variable annuity guarantee benefits with ratchet option
  A1236:  L. Pospisil
  From ratings to credit losses, in good and bad times: Correlation modeling of credit risk and macroeconomic variables
Session CO330 Room: F2
Econometric analysis of commodities and commodity futures Saturday 15.12.2018   10:35 - 12:40
Chair: Claudia Wellenreuther Organizer: Claudia Wellenreuther
  A0235:  C. Gilbert
  A model of grains prices with application to the impact of biofuels
  A0394:  N. Zhao, A.-M. Fuertes
  A Bayesian commodity style-integration framework
  A0577:  C. Pirrong, N. Ebrahimi
  Oil jump risk
  A0848:  C. Brunetti, J. Harris
  Crude oil price movements and institutional traders
  A1243:  M. Stefan, M.T. Bohl, P. Siklos, C. Wellenreuther
  Price discovery in commodity markets: On the contribution of speculators
Session CO098 Room: G2
Small-sample asymptotics Saturday 15.12.2018   10:35 - 12:40
Chair: Benjamin Holcblat Organizer: Benjamin Holcblat
  A0271:  M. Fasiolo
  An extended empirical saddlepoint approximation for intractable likelihoods
  A0437:  A. Wood, R.W. Butler
  Limiting saddlepoint relative errors under purely Tauberian conditions
  A0214:  F. Sowell, B. Holcblat
  On solutions to estimating equations and the empirical saddlepoint approximation of their distribution
  A0256:  J. Kolassa
  Small sample proportional hazards inference, with application to mortgage prepayment
  A0399:  A. Jacquier
  Large and moderate deviations for option pricing
Session CO564 Room: H2
Speculative bubbles Saturday 15.12.2018   10:35 - 12:40
Chair: Robinson Kruse-Becher Organizer: Robinson Kruse-Becher
  A0280:  E. Whitehouse, D. Harvey, S. Leybourne
  Date-stamping multiple bubble regimes
  A0298:  C. Wegener, D. Guegan, R. Kruse-Becher, H.-J. von Mettenheim
  Risk measures under explosiveness
  A0623:  R. McCrorie, I. Figuerola-Ferretti, I. Paraskevopoulos
  Mild explosivity in recent crude oil prices
  A0491:  A. Banerjee, G. Chevillon
  Exuberance: Sentiments driven buoyancy
  A1007:  M. Demetrescu
  Monitoring asset price bubbles in real-time in the presence of nonstationary volatility
Session CO605 Room: I2
Specification testing in financial econometrics Saturday 15.12.2018   10:35 - 12:40
Chair: Dominik Wied Organizer: Dominik Wied
  A0187:  M. Barassi, B. McCabe, Y. Zhao
  Weighted CUSUM tests for the stability of the correlation structure of multivariate volatility models
  A0186:  F. Stark, H. Manner, D. Wied
  A monitoring procedure for detecting structural breaks in factor copula models
  A0253:  T. Kutzker, F. Stark, D. Wied
  A non-parametric cusum-type test for testing relevant change in copulas
  A0571:  W. Wu, H. Dette
  Detecting relevant changes in the mean of non-stationary processes: A mass excess approach
  A1152:  E. Theising, M. Wagner, D. Wied
  Monitoring cointegration in a system of homogeneous cointegrating regressions
Session CO064 Room: M2
Macroeconomic policies and macroeconometrics Saturday 15.12.2018   10:35 - 12:40
Chair: Etsuro Shioji Organizer: Etsuro Shioji
  A0478:  E. Shioji
  Infrastructure investment news and business cycles in Japan: Evidence from the VAR with an external instrument
  A0681:  H. Morita
  Empirical analysis on the effects of Japanese fiscal policy under the effective lower bound
  A0737:  Y. Yamamoto
  Identifying factor-augmented vector autoregression models via changes in shock variances
  A0852:  M. Shintani, R. Kinoshita, K. Oya
  Frequency-wise causality analysis in infinite order vector autoregressive processes
Session CO176 Room: N2
Time series econometrics I Saturday 15.12.2018   10:35 - 12:40
Chair: Antonio Montanes Organizer: Antonio Montanes
  A0627:  L. Gadea
  A new approach to dating the reference cycle
  A1074:  J.L. Carrion-i-Silvestre, A. Banerjee
  Panel data cointegration analysis with structural instabilities
  A1054:  J. Sapena, M. Camarero, C. Tamarit
  The dynamics of external reaction functions: The role of financial globalization and risk aversion
  A1129:  A. Montanes
  Is there just a climate change?
  A1537:  J. Gonzalo Munoz, J.Y. Peng
  Multiple long-run equilibria: Threshold cointegration
Parallel session H: CMStatistics Saturday 15.12.2018 14:10 - 15:50

Session EO326 Room: Aula 4
Model selection Saturday 15.12.2018   14:10 - 15:50
Chair: Keith Knight Organizer: Keith Knight
  B0195:  S. Li
  Debiasing the debaised lasso with bootstrap
  B0226:  U. Schneider, K. Ewald
  On the model selection properties and uniqueness of the lasso
  B1077:  M. Bogdan, P.J. Kremer, S. Paterlini, S. Lee
  Sparse portfolio selection via the sorted $L_1$ norm
  B1408:  S. Sardy
  Model selection with missing data
Session EO240 Room: Aula 5
Recent advances in complex data analysis Saturday 15.12.2018   14:10 - 15:50
Chair: Alejandro Murua Organizer: Xinyuan Song
  B1461:  A. Murua, F. Adjogou, W. Raffelsberger
  Bayesian lasso time-course data clustering
  B1574:  J. Shi, Q.-M. Shao, L. Gao
  A Cramer moderate deviation theorem for general self-normalized sums
  B1576:  C. Li, C.Y. Yau, K. Chen, L.H. Chan, C.W. Wong
  On higher order moment and cumulant estimation
Session EO418 Room: Aula B
Large-scale and complex data analysis Saturday 15.12.2018   14:10 - 15:50
Chair: George Michailidis Organizer: Mladen Kolar, Moulinath Banerjee
  B0825:  S. Sengupta
  Anomaly detection in static networks using egonets
  B1169:  Y. Sun
  Geometric inference in admixture models
  B1317:  G. Michailidis
  A Bayesian framework for joint estimation of multiple networks
  B1191:  P. Toulis
  Statistics of stochastic gradient descent: Stability, efficiency, and inference
Session EO026 Room: Aula Magna
Advances in high-dimensional and functional time series analysis Saturday 15.12.2018   14:10 - 15:50
Chair: Dominik Liebl Organizer: Alexander Aue
  B0854:  D. Kowal
  Dynamic function-on-scalars regression
  B0932:  A. van Delft, H. Dette
  A similarity measure for non-stationary functional time series with applications to clustering and testing
  B1015:  S. Richter, J. Krampe, J.-P. Kreiss, E. Paparoditis
  High-dimensional curve estimation in time-varying models
  B1400:  G. Rice, A. Aue
  Change point analysis with functional time series
Session EO629 Room: Sala Convegni
Statistics in sports: Some recent developments Saturday 15.12.2018   14:10 - 15:50
Chair: Xin Liu Organizer: Ivor Cribben
  B0241:  X. Liu, K. Pelechrinis, W. Winston
  Positional value in soccer: Expected league points added above replacement
  B0304:  K. Pazdernik, J. Kvam
  Dynamic modeling of player movement in American football
  B0668:  M. Richard, J. Vecer
  Martingale testing of football betting odds
  B1704:  L. Pappalardo
  Towards a comprehensive data-driven evaluation of soccer players performance
Session EO460 Room: A1
Statistical methods in radiation research Saturday 15.12.2018   14:10 - 15:50
Chair: Manuel Higueras Organizer: Manuel Higueras
  B0284:  J. Einbeck
  Quasi-Poisson regression models for radiation dose estimation from biomarkers
  B0381:  M. Higueras
  Towards a new R package for fitting Poisson linear excess relative risk models
  B0766:  S. Ancelet, S. Hoffman, C. Guihenneuc
  A Bayesian hierarchical approach to account for shared and unshared exposure uncertainty in radiation epidemiology
  B0287:  A. Fernandez-Fontelo, P. Puig, E. Ainsbury, M. Higueras
  How to detect zero inflation in biological dosimetry data: An exact test for the Poisson distribution
Session EO290 Room: Aula A
Empirical processes and applications Saturday 15.12.2018   14:10 - 15:50
Chair: Henryk Zaehle Organizer: Henryk Zaehle, Eric Beutner
  B0379:  S. Bouzebda
  Some results about the strong approximations of the empirical processes
  B0616:  U. Hounyo
  Inference for local distributions at high sampling frequencies: A bootstrap approach
  B0850:  M.D. Jimenez-Gamero
  Testing the equality of a large number of means of functional data
  B0586:  T. Kaji
  Switching to the new norm: From heuristics to formal tests using integrable empirical processes
Session EO250 Room: Aula C
Machine learning and robustness Saturday 15.12.2018   14:10 - 15:50
Chair: Andreas Christmann Organizer: Ding-Xuan Zhou, Andreas Christmann
  B0431:  Y. Ying
  Stability and generalization of stochastic gradient descent for pairwise learning
  B0945:  J. Fan
  Statistical learning for modal regression
  B0987:  I. Steinwart
  Efficient kernel-based learning by localization
  B1725:  L. Rosasco
  Unconventional regularization for efficient machine learning
Session EO607 Room: B1
Causality: Modeling, reasoning, estimation and prediction II Saturday 15.12.2018   14:10 - 15:50
Chair: Joris Mooij Organizer: Joris Mooij
  B0659:  R. Christiansen, J. Peters
  Switching regression models and causal inference in the presence of latent variables
  B0901:  D. Rothenhaeusler, N. Meinshausen, P. Buehlmann, J. Peters
  Anchor regression: Heterogeneous data meets causality
  B1125:  C. Zhang, R. Tu, K. Zhang, H. Kjellstrom, P. Ackermann
  Causal discovery in the presence of missing data
  B1766:  P. Forre, J. Mooij
  Non-linear structural causal models with cycles and latent confounders
Session EO520 Room: C1
Quantile regression methods Saturday 15.12.2018   14:10 - 15:50
Chair: Mauro Bernardi Organizer: Mauro Bernardi
  B0250:  M. Elseidi, M. Caporin
  Quantile regression based seasonal adjustment
  B0545:  A. Verhasselt, M.A. Ibrahim
  Variable selection in quantile varying coefficient models with heteroscedastic error
  B0572:  F. Poggioni, M. Bernardi, L. Petrella
  Sparse nonparametric dynamic graphical models
Session EO464 Room: D1
Modelling of high dimensional data with biological applications Saturday 15.12.2018   14:10 - 15:50
Chair: Anne Gegout-Petit Organizer: Juhyun Park
  B0543:  A. Gegout-Petit, C. Fritsch, B. Marcais, M. Grosdidier
  Spatio-temporal modelling of the spread of chalara (illness of the ash tree) in France
  B0708:  D. Desaulle, B. Hainque, C. Hoffmann, P. Bigey, Y. Rozenholc
  Straightforward finding of differential expressions through intensive randomization in transcriptomic studies
  B1030:  F. Dondelinger
  Multi-task Dirichlet-multinomial regression for detecting global microbiome associations
  B1541:  I. Kim
  Bayesian Ising sparse nonparametric model
Session EO218 Room: E1
Projection pursuit Saturday 15.12.2018   14:10 - 15:50
Chair: Nicola Loperfido Organizer: Nicola Loperfido
  B0201:  B. Nadler, P. Bickel, G. Kur
  Projection pursuit in high dimensions
  B0276:  C. Franceschini, N. Loperfido
  MultiKurt: An R package for kurtosis-based data analysis
  B0726:  M. Zhu
  Musings on projection pursuit
  B0395:  C. Adcock
  The skew-normal and related distributions as a copula and as a model for skewness persistence
Session EO288 Room: F1
Robust tests for change-points in time series Saturday 15.12.2018   14:10 - 15:50
Chair: Herold Dehling Organizer: Herold Dehling
  B0222:  M. Wendler, M. Pesta
  Nuisance parameter free changepoint detection in non-stationary time series
  B0802:  S.K. Schmidt, H. Dehling, R. Fried, M. Wornowizki
  Multiple change-point detection under short-range dependence
  B0702:  A. Betken, M. Wendler
  Rank-based change-point analysis for long-range dependent time series
  B1330:  H. Dehling, D. Vogel, M. Wendler
  Power comparison of nonparametric change-point tests
Session EO196 Room: G1
Survival analysis for cancer studies Saturday 15.12.2018   14:10 - 15:50
Chair: Thomas Scheike Organizer: Thomas Scheike
  B0270:  T. Scheike
  The matched cohort study for evaluation of post-treatment events of cancer survivors
  B0269:  J. Hjelmborg, T. Scheike, K. Holst, J. Kaprio
  Modelling genetic influence on familial cancer risk: In honor of Fishers 100 year landmark biometrical genetics paper
  B0567:  K.K. Andersen
  A screening study for identification of anticancer effects of prescription drugs
  B1019:  L. Antolini, E. Tassistro, D.P. Bernasconi, P. Rebora, M.G. Valsecchi
  Modelling the hazard of transition into the absorbing state in the illness-death survival model
Session EO132 Room: H1
Small area estimation Saturday 15.12.2018   14:10 - 15:50
Chair: Domingo Morales Organizer: Domingo Morales
  B0563:  T. Hobza, Y. Marhuenda, D. Morales
  Estimation of additive parameters under unit-level gamma mixed models
  B0887:  E. Lopez Vizcaino, M.J. Lombardia, C. Rueda
  Estimation of the gender pay gap using linear mixed models
  B0910:  J.P. Burgard, D. Morales, A.-L. Woelwer
  Small area estimation with partially missing direct estimates
  B1127:  G. Bertarelli, C. Giusti, M. Pratesi, F. Bartolucci, M.G. Ranalli, L. Quattrociocchi
  Modelling educational poverty by area-level SAE latent Markov models
Session EO398 Room: I1
Models and their inferences for circular data Saturday 15.12.2018   14:10 - 15:50
Chair: Toshihiro Abe Organizer: Toshihiro Abe
  B0984:  T. Shiohama
  Adaptive estimation for mode and anti-mode preserving distribution on the circle
  B0468:  D. Craens, C. Ley
  On the use of transformations on the circle
  B0711:  J. Ameijeiras-Alonso, F. Lagona, M. Ranalli, R. Crujeiras
  Hidden Markov random fields for the spatial segmentation of circular data
  B0774:  K. Mulder, S. Ruiter, I. Klugkist
  Analysis of circular interval-censored data motivated by aoristic data in criminology
Session EO180 Room: L1
Advances in model-based clustering Saturday 15.12.2018   14:10 - 15:50
Chair: Vincent Vandewalle Organizer: Vincent Vandewalle
  B1128:  Y. Tang, P. McNicholas
  Clustering multivariate count data via a mixture of Poisson factor models
  B0926:  M. Gallaugher, P. McNicholas
  Mixtures of skewed matrix variate bilinear factor analyzers
  B1067:  M. Fop, M. Fop, T.B. Murphy, L. Scrucca
  Model-based clustering with sparse covariance matrices
  B0927:  M. Marbac, C. Biernacki, M. Sedki, V. Vandewalle
  A targeted multi-partitions clustering
Session EO230 Room: M1
Statistics for Hilbert spaces I Saturday 15.12.2018   14:10 - 15:50
Chair: Gil Gonzalez-Rodriguez Organizer: Gil Gonzalez-Rodriguez
  B0220:  X. Qiao, S. Guo
  A general theory for large-scale curve time series via functional stability measure
  B1194:  J.-T. Zhang
  New tests for equality of several covariance functions for functional data
  B1196:  E. Bongiorno, A. Goia, P. Vieu
  About the complexity of a functional data set
  B0309:  E. Konzen, J.Q. Shi
  Modelling function-valued processes with nonseparable covariance structure
Session EO360 Room: N1
Performance evaluation and dependence modeling for extremes Saturday 15.12.2018   14:10 - 15:50
Chair: Holger Rootzen Organizer: Holger Rootzen
  B0367:  S. Lerch, T. Thorarinsdottir, F. Ravazzolo, T. Gneiting
  Forecasters dilemma: Extreme events and forecast evaluation
  B0753:  H. Drees, A. Janssen, S. Resnick, T. Wang
  On a minimum distance procedure to select the optimal sample fraction in extreme value estimation
  B1021:  S. Padoan, M. Falk
  Generalized Pareto copulas: A key to multivariate extremes
  B1110:  C. Klueppelberg
  Bayesian networks based on max-linear structural equations
Session EO306 Room: O1
Dependence models and copulas Saturday 15.12.2018   14:10 - 15:50
Chair: Elisa Perrone Organizer: Elisa Perrone, Sebastian Fuchs
  B0243:  M. Coblenz, R. Dyckerhoff, O. Grothe
  Confidence regions for multivariate quantiles
  B0712:  A. Derumigny, J.-D. Fermanian
  A classification point-of-view about conditional Kendall's tau
  B0415:  L. Rossini, F. Durante, F. Ravazzolo, A. Gianfreda
  A multivariate dependence analysis of electricity prices
  B0800:  C. Strothmann, K.F. Siburg
  An ordering for extremal dependence
Session EO414 Room: P1
Statistical theory and computation for ultra high frequency data Saturday 15.12.2018   14:10 - 15:50
Chair: Nakahiro Yoshida Organizer: Nakahiro Yoshida
  B0434:  I. Muni Toke
  Further developments of the ratio model of Cox-type intensities for high frequency financial data
  B0908:  H. Masuda
  Locally stable regression with unknown activity index
  B0771:  K. Kamatani, A. Jasra, H. Masuda
  Bayesian inference for stable L\'{e}vy driven stochastic differential equations with high-frequency data
  B0484:  M. Uchida
  Hybrid estimation for an ergodic diffusion plus noise based on ultra high frequency data
Session EO184 Room: Q1
Robust methods for high dimensional data Saturday 15.12.2018   14:10 - 15:50
Chair: Peter Rousseeuw Organizer: Peter Rousseeuw
  B0212:  I. Wilms, S. Aerts
  Cellwise robust regularized discriminant analysis
  B0295:  Y. Wang, S. Van Aelst
  Sparse principal component analysis based on least trimmed squares
  B0583:  T. Verdonck, K. Boudt, P. Rousseeuw, S. Vanduffel
  The minimum regularized covariance determinant estimator
  B0895:  A. Ruiz-Gazen, A. Archimbaud, K. Nordhausen
  Invariant coordinate selection for outlier detection with application to quality control
Session EO208 Room: O2
CSDA journal: Bayesian methods Saturday 15.12.2018   14:10 - 15:50
Chair: Alastair Young Organizer: Erricos John Kontoghiorghes
  B0600:  P. Lambert
  A fast estimation method in nonparametric additive location-scale model based on Bayesian P-splines
  B1008:  M. Guindani
  Bayesian methods in biomedical imaging
  B1130:  L. Tardella, D. Alunni Fegatelli
  Bayesian capture-recapture data modelling with behavioural effects
  B0599:  A. Young, D. Garcia Rasines
  Frequentist validation and criticism of Bayesian selective inference
Session EO038 Room: Q2
Advances in Bayesian methodology Saturday 15.12.2018   14:10 - 15:50
Chair: David van Dyk Organizer: David van Dyk
  B0397:  D. Rossell
  Posterior model selection consistency: Beyond asymptotic optimality
  B0655:  C. Hans
  Strategies for differential shrinkage in regression with non-orthogonal designs
  B0957:  J. Murray
  Log-linear Bayesian additive regression trees for multinomial logistic and count regression
  B1092:  C. Carvalho
  Functional BART
Parallel session H: CFE Saturday 15.12.2018 14:10 - 15:50

Session CI015 (Special Invited Session) Room: A0
Financial time series Saturday 15.12.2018   14:10 - 15:50
Chair: Alessandra Amendola Organizer: Alessandra Amendola
  A0168:  C. Amado, T. Terasvirta
  Multiplicative nonstationary volatility models with exogenous information
  A0169:  R. Halbleib, G. Calzolari
  Modelling dynamic covariance matrices with stochastic volatility latent factors
  A0170:  G. Storti, O. Okhrin
  Realized estimators of tail risk measures
Session CO372 Room: A2
Macroeconomic forecasting Saturday 15.12.2018   14:10 - 15:50
Chair: Simon van Norden Organizer: Simon van Norden
  A1119:  S. van Norden
  Business cycle asymmetry and unemployment rate forecasts
  A1158:  R. Sekkel, J. Champagne, G. Poulin-Bellisle
  Changes in predictability of the Canadian economy: Evidence from the Bank of Canada staff's forecast
  A1179:  P. St-Amant, M.-N. Robitaille, L. Savoie-Chabot, D. Brouillette
  The trend unemployment rate in Canada
  A1471:  K. Lee, C. Aristidou, K. Shields
  Evaluating the use of real-time data in forecasting output levels and recessionary events in the US
Session CO066 Room: B2
Regime change modeling I Saturday 15.12.2018   14:10 - 15:50
Chair: Willi Semmler Organizer: Willi Semmler
  A1280:  F. Odendahl, B. Rossi, T. Sekhposyan
  Testing for forecast rationality under Markov switching
  A1250:  W. Semmler, S. Mittnik
  Climate disaster risk, regime switching and monetary policy
  A1441:  S. Orlov, E. Rovenskaya, W. Semmler
  Towards a fairer distribution of carbon tax across generations in the DICE model through green bonds
  A1269:  I. Tahri
  Portfolio under-diversification: Equity sector bias
Session CO380 Room: D2
Econometrics of network models with applications Saturday 15.12.2018   14:10 - 15:50
Chair: Laurent Pauwels Organizer: Laurent Pauwels
  A1289:  L. Pauwels, M. McAleer, M. Asai
  Modelling latent network stochastic volatility spillovers
  A1310:  E. Auerbach
  Identification and estimation of a partially linear regression model using network data
  A1388:  P. Wan, T. Wang, R. Davis, S. Resnick
  Modeling social networks using linear preferential attachment
  A1406:  M. Greenwood-Nimmo, T. Ando, Y. Shin
  Quantile connectedness: Modelling tail behaviour in the topology of financial networks
Session CO166 Room: E2
New methods for heavy tails, copulas and cryptocurrencies Saturday 15.12.2018   14:10 - 15:50
Chair: Stanislav Anatolyev Organizer: Artem Prokhorov
  A1180:  R. Ibragimov, C. Parlour, J. Walden
  Cryptocurrencies: Intrinsic value, bubbles and heavy-tailedness
  A1614:  E. Hwang, J. Kim
  A CUSUM test for tail behavior of GARCH(1,1) models
  A1749:  T. Slonski, A. Mercik
  Investment approach to the blockchain market segments
Session CO212 Room: F2
Macro-financial linkage Saturday 15.12.2018   14:10 - 15:50
Chair: Wenying Yao Organizer: Wenying Yao
  A0946:  A. Hanoma, D. Nautz
  The information content of inflation swap rates for the long-term inflation expectations of professionals
  A0746:  V. Volkov, M. Dungey, P. Siklos
  Signed spillover effects building on historical decompositions
  A0884:  M. Izzeldin, I. Nolte, V. Pappas, R. Hizmeri
  The role of market indices in forecasting stocks volatility: A HAR framework using a mixed sampling approach
  A0630:  W. Yao, L. Winkelmann
  Testing the rank of cojumps in high-frequency data with market microstructure noise
Session CO336 Room: G2
Empirical applications in economics and finance Saturday 15.12.2018   14:10 - 15:50
Chair: Michael Ellington Organizer: Jesus Otero
  A0259:  L. Melo, S. Gamba, J.E. Gomez, J. Hurtado
  Stock market volatility spillovers: Evidence for Latin America
  A0263:  L. Grossi, L. Crosato, F. Nan
  Interval prediction of electricity prices: A robust approach
  A0349:  C. Pombo, M. Jara-Bertin
  The institutional blockholders influence on corporate investment: Evidence from emerging markets
  A0555:  M. Ellington, C. Martin, B. Wang
  The effects of productivity shocks and job destruction in a changing world
Session CO216 Room: H2
Term structure of interest rates Saturday 15.12.2018   14:10 - 15:50
Chair: Laura Coroneo Organizer: Laura Coroneo
  A0320:  D. Xia, J.C. Wu
  The negative interest rate policy and the yield curve
  A0515:  A. Meldrum
  The information in the joint term structures of bond yields
  A0689:  L. Coroneo
  Predicting interest rates in real-time
  A0329:  K. Nyholm
  A flexible short-rate based four factor arbitrage-free term structure model with an explicit monetary policy rule
Session CO625 Room: I2
Structural VAR models Saturday 15.12.2018   14:10 - 15:50
Chair: Simone Maxand Organizer: Simone Maxand
  A0707:  A. Moneta, G. Pallante
  Identification of SVAR models via independent component analysis: A comparative study
  A0803:  H. Herwartz
  Causality assessment in panel vector autoregressive models: A novel approach based on structural VARs
  A0885:  S. Maxand, H. Herwartz
  Set identification in non-Gaussian SVARs: A refinement of the sign restriction approach
  A1003:  B. Funovits
  Estimating non-causal VAR using all-pass filters
Session CO190 Room: M2
Economics of Cryptocurrencies Saturday 15.12.2018   14:10 - 15:50
Chair: Marco Lorusso Organizer: Marco Lorusso, Francesco Ravazzolo
  A0752:  S. Grassi, L. Catania, F. Ravazzolo
  Forecasting cryptocurrencies under model and parameter instability
  A0775:  M. Lorusso, F. Ravazzolo
  Cryptocurrencies and monetary policy
  A1295:  F. Ravazzolo, L. Catania, S. Grassi
  Quantitative risk management for cryptocurrencies
  A1300:  L. Kristoufek
  Quantity theory of money and cryptocurrencies
Session CO552 Room: N2
Time series econometrics II Saturday 15.12.2018   14:10 - 15:50
Chair: Josu Arteche Organizer: Josu Arteche
  A0501:  V.A. Reisen, I. Souza, G. Franco, P. Bondon
  The estimation and testing of the fractional cointegration order based on the frequency domain: A robust approach
  A0971:  L.F. Martins, J. Arteche
  Modelling persistence change in fractionally integrated models
  A0915:  P. Bondon, P. Prezotti, V.A. Reisen, M. Ispany, F. Sarquis
  A model for count time series with periodic two orders autoregressive structure
  A0675:  J. Arteche, J. Garcia
  Forecasting a latent variable: Application to VaR in stochastic volatilty models
Parallel session I: CMStatistics Saturday 15.12.2018 16:20 - 18:00

Session EI005 (Special Invited Session) Room: Sala Convegni
Graphical and geometrical statistics Saturday 15.12.2018   16:20 - 18:00
Chair: Miguel de Carvalho Organizer: Miguel de Carvalho
  B0999:  C. Hurley
  Visualising and exploring models interactively with Shiny
  B1237:  B. Barney, M. de Carvalho, G. Page
  On the geometry of Bayesian inference
Session EO599 Room: Aula 4
Non-convex optimization problems in statistics Saturday 15.12.2018   16:20 - 18:00
Chair: Sahand Negahban Organizer: Sahand Negahban
  B0725:  M. Soltanolkotabi
  From shallow to deep: Theoretical insights into training of neural networks
  B0732:  Q. Berthet, N. Baldin
  Optimal link prediction with matrix logistic regression
  B1142:  Y. Wu
  Recovering a hidden Hamiltonian cycle via linear programming
Session EO046 Room: Aula 5
Emerging trends in predictive inference Saturday 15.12.2018   16:20 - 18:00
Chair: Bertrand Clarke Organizer: Bertrand Clarke
  B0335:  L. Mentch
  Recent ideas in tree-based inference
  B0499:  D. Nettleton, H. Zhang, J. Zimmerman, D. Nordman
  Random forest prediction intervals
  B0967:  G. Morota
  Quantifying genomic connectedness and whole-genome prediction accuracy using bootstrap aggregation sampling
  B1378:  T. Maiti, Y. Li
  High dimensional discriminant analysis for structurally dependent data
Session EO354 Room: Aula B
Statistical methods for analyzing wearable device data Saturday 15.12.2018   16:20 - 18:00
Chair: Russell Shinohara Organizer: Russell Shinohara
  B0338:  J. Muschelli
  Potential batch effects and biases in the UK Biobank accelerometer data
  B0519:  J. Wrobel, J. Goldsmith, V. Zipunnikov
  Identifying circadian chronotypes using accelerometers
  B0956:  H. Shou
  Multilevel variance components model in minute-level accelerometry measures for twin studies
Session EO210 Room: Aula Magna
Recent developments in complex cohort studies Saturday 15.12.2018   16:20 - 18:00
Chair: Yi Li Organizer: Hyokyoung Grace Hong
  B0321:  Y. Kim
  Rank-consistency of the generalized Bradley-Terry model with link misspecification
  B0477:  L. Xue
  Local signal detection on irregular domains via bivariate spline
  B0966:  H.G. Hong
  The Lq-norm learning for ultrahigh-dimensional survival data: An integrative framework
  B1276:  Y. Lee
  Supervised dimensionality reduction for exponential family data
Session EO072 Room: A1
Recent developments in imaging genetics Saturday 15.12.2018   16:20 - 18:00
Chair: Michele Guindani Organizer: Michele Guindani, Wesley Thompson, Mark Fiecas
  B0618:  E. Lock
  Tensor-on-tensor regression
  B0625:  W. Thompson
  A consistent estimator of variance explained by genome-wide and whole-brain analyses
  B0626:  M. Fiecas
  EEG spectral and heritability analysis using a nested Dirichlet process
  B1022:  L. Kong
  A review of statistical methods in imaging genetics
Session EO152 Room: Aula A
Statistics and stochastic analysis for complex random systems Saturday 15.12.2018   16:20 - 18:00
Chair: Hiroki Masuda Organizer: Hiroki Masuda
  B0328:  N. Yoshida
  Global jump filters and quasi likelihood analysis for volatility
  B0331:  L. Mercuri
  Point process regression model in the yuima project
  B0678:  T. Ogihara
  Local asymptotic mixed normality for integrated diffusion processes
  B0749:  Y. Koike
  Testing the residual sparsity of a high-dimensional continuous-time factor model
Session EO366 Room: Aula C
Exploring the limits of statistical learning techniques Saturday 15.12.2018   16:20 - 18:00
Chair: Markus Pauly Organizer: Markus Pauly
  B0227:  T. Kneib, N. Klein, S. Lang, N. Umlauf
  Modular regression: A lego system for building distributional regression models with tensor product interactions
  B0470:  B. Ramosaj, L. Amro, M. Pauly
  A cautionary tale on using imputation methods for inference in matched pairs design
  B0834:  P. Probst, A.-L. Boulesteix, B. Bischl
  Tuning and tunability: Importance of hyperparameters of machine learning algorithms
Session EO685 Room: B1
Graphical Markov models IV Saturday 15.12.2018   16:20 - 18:00
Chair: Elena Stanghellini Organizer: Elena Stanghellini
  B1399:  K. Sadeghi
  Markov properties of determinantal point processes
  B1418:  V. Bazinas
  Causal transmission in reduced-form models
  B1702:  M. Studeny
  On integer linear programming approach to learning decomposable graphical models
  B1759:  A. Gottard, A. Panzera
  Graphical models for circular data
Session EO300 Room: C1
New development in functional data and density estimation Saturday 15.12.2018   16:20 - 18:00
Chair: Yuedong Wang Organizer: Yuedong Wang
  B0188:  Y. Li
  Covariance estimation and principal component analysis for spatially dependent functional data
  B0182:  Y. Wang
  Semi-parametric density models
  B0731:  A. Stoecker, E.-M. Maier, S. Greven
  Flexible regression for probability densities in Bayes spaces
  B1144:  A. Petersen, H.-G. Mueller
  Fr\'echet regression and Wasserstein covariance for random density data
Session EO408 Room: D1
Some new trends in hyper-parameter calibration Saturday 15.12.2018   16:20 - 18:00
Chair: Adrien Saumard Organizer: Adrien Saumard
  B0398:  C. Lacour, P. Massart, V. Rivoirard, S. Varet
  Comparison methods for bandwidth selection
  B0720:  A. Dubois, A. Saumard
  V-fold cross-validation improved for nonparametric regression
  B0973:  G. Maillard, M. Lerasle, S. Arlot
  Cross-validation improved by aggregation: Agghoo
  B1547:  A. Celisse
  Early stopping rules reproducing kernel Hilbert spaces
Session EO252 Room: E1
Recent advances in skewness Saturday 15.12.2018   16:20 - 18:00
Chair: Nicola Loperfido Organizer: Nicola Loperfido
  B0273:  N. Loperfido
  Symmetric tensor rank and projection pursuit
  B0387:  Z. Landsman, U. Makov, T. Shushi
  Analytic solution of a portfolio optimization problem in a mean-variance-skewness model
  B0377:  J. Martin Arevalillo, H. Navarro-Veguillas
  Projection pursuit under skew-normal vectors: An approach oriented to skewness stochastic comparisons
  B1284:  A. Parisi, B. Liseo
  Objective Bayesian analysis of the multivariate regression model with skew-$t$ errors
Session EO138 Room: F1
Stability versus non-stability Saturday 15.12.2018   16:20 - 18:00
Chair: Marie Huskova Organizer: Marie Huskova
  B0353:  M. Maciak
  Quantile lasso with changepoints in panel data models
  B0369:  W. Pouliot
  On the performance of weighted bootstrapped kernel deconvolution density estimators
  B0792:  S. Taylor, R. Killick
  A Bayesian circular changepoint method to identify changes in daily activity levels in the elderly
  B1048:  M. Huskova, A. laf
  Structural breaks in panel data models with stationary regressors
Session EO498 Room: G1
New modelling approaches for complex survival data Saturday 15.12.2018   16:20 - 18:00
Chair: Giuliana Cortese Organizer: Giuliana Cortese
  B0898:  R. De Bin
  Combining low-dimensional clinical and high-dimensional molecular data in a survival prediction model
  B1027:  T.H. Phan
  Spatial survival models for analysis of exocytotic events on human beta-cells recorded by TIRF imaging
  B0656:  M. Mazzoleni, M. Zenga
  Diagnostics and predictions for joint models of survival and multivariate longitudinal data
  B0685:  C. Di Caterina
  Monte Carlo modified profile likelihood in survival models for clustered censored data
Session EO302 Room: I1
The Stein method and applications in statistics Saturday 15.12.2018   16:20 - 18:00
Chair: Andreas Anastasiou Organizer: Andreas Anastasiou
  B0314:  F.-X. Briol
  Stein Points
  B1151:  R. Gaunt
  Chi-square approximation by Stein's method with application to Pearson's statistic
  B1166:  J. Bartroff
  Stein's method applied to some statistical problems
  B1197:  Y. Swan, G. Reinert, M. Ernst
  Stein kernels and information
Session EO266 Room: L1
Clustering and sketching in statistics and computation Saturday 15.12.2018   16:20 - 18:00
Chair: Stephane Chretien Organizer: Stephane Chretien
  B1283:  C. Keribin, C. Biernacki
  Co-clustering: A versatile way to perform clustering in high dimension
  B1535:  S. Chretien
  Clustering using low rank matrix estimation
  B1331:  N. Polydorides
  Sketching algorithms for the Galerkin finite element method
  B1521:  L. Marangio, C. Guyeux
  A data-driven approach to transfer operators in nonlinear dynamics using neural networks
Session EO256 Room: M1
Statistics for Hilbert spaces II Saturday 15.12.2018   16:20 - 18:00
Chair: Gil Gonzalez-Rodriguez Organizer: Gil Gonzalez-Rodriguez
  B0876:  H. Matsui, K. Mochida
  Functional regression modeling for agricultural data
  B0463:  D. Liebl, D. Poss, A. Kneip
  Estimation of points of impact in nonparametric regression with functional predictors
  B0762:  S. Greven, A. Volkmann, A. Stoecker, F. Scheipl
  Multivariate functional additive mixed models
  B1204:  M. Reimherr, B. Sriperumbudur, H.B. Kang
  Optimal function-on-scalar regression over complex domains
Session EO050 Room: N1
Statistical analysis of extremes in finance and insurance Saturday 15.12.2018   16:20 - 18:00
Chair: Gilles Stupfler Organizer: Gilles Stupfler
  B0236:  A. Daouia, I. Gijbels, G. Stupfler
  Extremiles: A new perspective on asymmetric least squares
  B0237:  D. Wied, Y. Hoga
  Sequential monitoring of the tail behavior of dependent data
  B0418:  A. Usseglio-Carleve
  Estimation of conditional extreme risk measures from heavy-tailed elliptical random vector
  B0530:  Y. He, L. Peng
  Computing value-at-risk via peaks-over-threshold generalized Pareto distribution
Session EO088 Room: O1
Dependence models and copulas I Saturday 15.12.2018   16:20 - 18:00
Chair: Fabrizio Durante Organizer: Wolfgang Trutschnig, Fabrizio Durante
  B0388:  P. Jaworski
  On extreme value copulas and concordance measures
  B0447:  S. Fuchs, K.D. Schmidt
  On Kendall's tau for order statistics
  B0795:  N. Kamnitui, J. Fernandez Sanchez, W. Trutschnig
  Maximum asymmetry of copulas revisited
  B0454:  P. Rigo
  A note on duality theorems in mass transportation
Session EO679 Room: P1
Branching processes: Theoretical, applied and computational issues I Saturday 15.12.2018   16:20 - 18:00
Chair: Miguel Gonzalez Velasco Organizer: Miguel Gonzalez Velasco, Ines M del Puerto
  B1290:  C. Gutierrez Perez, M. Gonzalez Velasco, R. Martinez Quintana
  Self-regulating two-sex branching processes
  B1323:  I.M. del Puerto, M. Gonzalez Velasco, C. Minuesa Abril
  ABC methodology for controlled branching processes
  B1352:  E. Yarovaya
  Branching random walks in non homogeneous environments
  B1386:  M. Ispany
  On periodic branching processes with immigration
Session EO611 Room: Q1
Recent advances in robust modelling Saturday 15.12.2018   16:20 - 18:00
Chair: Eva Cantoni Organizer: Eva Cantoni
  B0833:  B. Hansen, A. Sales
  Robust MM estimation for imperfect regression discontinuity designs
  B0401:  X. de Luna, E. Cantoni
  Robust semiparametric inference with missing data
  B0768:  S. Ranjbar, N. Salvati, B. Pacini
  Robust causal inferences in small area estimation
Session EO621 Room: C2
Statistical methods for risk management in finance and insurance Saturday 15.12.2018   16:20 - 18:00
Chair: Hideatsu Tsukahara Organizer: Hideatsu Tsukahara
  B0390:  Y. Shimizu
  Asymptotically normal estimators of the ruin probability for Levy insurance risks
  B0650:  M. Kirchner, P. Embrechts
  On Hawkes processes
  B0758:  H. Kaibuchi, Y. Kawasaki
  Comparison of EVT methods for GARCH-EVT approach applied to financial time series
  B0784:  T. Yoshiba
  Value-at-risk and expected shortfall of stock portfolio using skew-$t$ copulas
Session EO246 Room: O2
CSDA journal: Clustering and mixture models Saturday 15.12.2018   16:20 - 18:00
Chair: Peter Rousseeuw Organizer: Erricos John Kontoghiorghes
  B0873:  C. Biernacki, G. Celeux, J. Josse, F. Laporte
  Dealing with missing data in model-based clustering through a MNAR model
  B1314:  S. Ingrassia, A. Punzo
  Total sum of squares decomposition for mixtures of regressions
  B1572:  C. Hennig
  Some thoughts on simulation studies to compare clustering methods
  B0505:  T.-I. Lin
  Automated learning of mixtures of factor analyzers with missing information
Session EO420 Room: Q2
Bayesian modelling and computation Saturday 15.12.2018   16:20 - 18:00
Chair: Bernardo Nipoti Organizer: Antonio Canale, Bernardo Nipoti
  B0402:  J. Arbel, F. Forbes, M. Vladimirova, H. Lu
  New insights on Bayesian graphs and neural networks from distributional properties
  B0493:  D. Durante
  Conjugate Bayes for probit regression via unified skew-normals
  B0579:  L. Ma, M. Li
  WARP: Wavelets with adaptive recursive partitioning for multi-dimensional data
  B0929:  G. Kon Kam King, O. Papaspiliopoulos, M. Ruggiero
  (Exact) Bayesian inference for hidden Markov models via duality and approximate filtering distributions
Parallel session I: CFE Saturday 15.12.2018 16:20 - 18:00

Session CI013 (Special Invited Session) Room: A0
Empirical macroeconomics Saturday 15.12.2018   16:20 - 18:00
Chair: Michael Owyang Organizer: Michael Owyang
  A0160:  N. Traum, M. Cacciatore
  Estimating the aggregate effects of border adjustments
  A0161:  A. Galvao, J. Mitchell
  Measuring GDP growth data uncertainty
  A0162:  M. Owyang, L. Jackson Young, C. Otrok, N. Traum
  Tax progressivity
Session CO084 Room: B2
Regime change modeling II Saturday 15.12.2018   16:20 - 18:00
Chair: Willi Semmler Organizer: Willi Semmler
  A1256:  F.S. Lucidi, W. Semmler
  Nonlinear credit dynamics, regime switches in the output gap and credit shocks evaluated through local projections
  A1260:  M. Guerini, M. Napoletano, D.T. Luu
  Synchronization patterns in the European Union
  A1264:  S. Datta
  Regime shifts in currency markets with bounded rationality and limits to arbitrage
  A1242:  J. Kotlowski, A. Halka, J. Hagemejer
  To what extent globalization affects inflation: The role of global value chains
Session CO060 Room: E2
Penalized, nonparametric, spatial and contaminated models Saturday 15.12.2018   16:20 - 18:00
Chair: Stanislav Anatolyev Organizer: Artem Prokhorov
  A0244:  S. Anatolyev
  A ridge to homogeneity
  A1093:  D. Henderson
  Fixed effects estimation in single-index models
  A1474:  I. Wright, W. Horrace, C. Parmeter
  Parametric stochastic frontier models and probability statements with spatial errors
  A0224:  B. Choy
  A contaminated extended Weibull distribution and its applications
Session CO298 Room: F2
Empirical studies of financial markets with high-frequency data Saturday 15.12.2018   16:20 - 18:00
Chair: Teruo Nakatsuma Organizer: Teruo Nakatsuma
  A0341:  S. Clinet, Y. Potiron
  Efficient, transaction and mid prices: Disentangling sources of high frequency market microstructure noise
  A0640:  Y. Yamauchi, Y. Omori
  Factor multivariate realized stochastic volatility model
  A0718:  T. Nakatsuma, M. Nakakita
  Bayesian analysis of intraday stochastic volatility models with skew heavy-tailed error and smoothing spline seasonality
  A0755:  T. Toyabe, T. Nakatsuma
  Stochastic conditional duration model with intraday seasonality and limit order book information
Session CO076 Room: G2
Non-causal and non-Gaussian time series models Saturday 15.12.2018   16:20 - 18:00
Chair: Alain Hecq Organizer: Alain Hecq
  A0647:  T. del Barrio Castro, A. Hecq, S. Telg
  Seasonal bubbles and volatility models
  A0664:  E. Voisin
  Predicting bubble collapse using non-causal models
  A0948:  A. Hecq, L. Sun
  Using quantile regressions for identifying mixed causal-noncausal models
  A1279:  Y. Liu
  Now-casting financial volatility with long memory: A non-Gaussian and non-linear state space approach
Session CO623 Room: H2
Econometric analysis of the business cycle Saturday 15.12.2018   16:20 - 18:00
Chair: Matteo Luciani Organizer: Matteo Luciani, Matteo Barigozzi
  A0480:  B. Wong
  Estimating and accounting for the output gap with large Bayesian vector autoregressions
  A0743:  M. Luciani, M. Barigozzi
  Measuring US aggregate output and output gap using large datasets
  A1120:  J. Antolin Diaz, T. Drechsel, I. Petrella
  Advances in nowcasting economic activity
  A1254:  G. Amisano, M. Barigozzi, M. Luciani
  E pluribus, pauca: Measuring different dimensions of slack in the US economy with an agnostic model
Session CO615 Room: I2
Advances in financial time series and econometrics Saturday 15.12.2018   16:20 - 18:00
Chair: Helena Veiga Organizer: Helena Veiga
  A0715:  M. Danielova Zaharieva, C. Ausin
  Bayesian nonparametric Bernstein copula for uncorrelated dependent MGARCH errors
  A0819:  J.M. Marin, P. de Zea Bermudez, H. Veiga
  Data cloning estimation for asymmetric stochastic volatility models
  A1124:  P. de Zea Bermudez, J.M. Marin, H. Rue, H. Veiga
  Estimating threshold stochastic volatility models using integrated nested Laplace approximations
  A0838:  H. Veiga, A. Taamouti, S. Ramos, C.-W. Wang
  Quantile consumption-capital asset pricing model
Session CO182 Room: M2
Advances in SVARs Saturday 15.12.2018   16:20 - 18:00
Chair: Luca Fanelli Organizer: Luca Fanelli
  A0283:  K. Lunsford
  Bootstrap inference in proxy SVARs
  A0425:  M. Piffer, M. Bruns
  Bayesian structural VAR models: An extended approach
  A0446:  A.G. Gazzani, A. Vicondoa
  Proxy-SVAR as a bridge for identification with mixed frequency data
  A1084:  L. Fanelli
  Heteroskedastic proxy-SVARs
Session CO134 Room: P2
EcoSta journal Part A: Econometrics II Saturday 15.12.2018   16:20 - 18:00
Chair: Tommaso Proietti Organizer: Erricos John Kontoghiorghes
  A1514:  E. Ruiz, J. de Vicente
  Accurate subsampling intervals of principal components factors
  A1513:  C.-M. Kuan, Y.-C. Hsu
  Estimating treatment effects in regression discontinuity designs with multiple assignment variables
  A1723:  M. Paolella, J. Naef, P. Polak
  Smooth FREE COMFORT: Mixing IID and GARCH-based frameworks for optimal portfolio performance
  A1626:  G. Gallo, A. Amendola, V. Candila
  On the frequency of transmission of market volatility to individual stocks: A double asymmetric GARCH--MIDAS approach
Session CC647 Room: A2
Contributions in forecasting I Saturday 15.12.2018   16:20 - 18:00
Chair: Valderio Anselmo Reisen Organizer: CFE
  A0727:  S. Arvanitis, T. Post, S. Karabati
  Robust optimization of forecast combinations
  A1443:  K. Tsakou
  Forecasting realized volatility: Implied volatility, leverage effects \& the volatility of realized volatility
  A1606:  L. Calzada, M. Oskarsdottir, B. Baesens
  Similarity forests for time series classification
  A1436:  G. Mantoan
  Optimal pooling and finite mixture distribution combinations of probabilistic forecasts
Session CG193 Room: N2
Contributions in volatility and risk Saturday 15.12.2018   16:20 - 18:00
Chair: Giuseppe Storti Organizer: CFE
  A1620:  D. Vassallo, G. Buccheri, F. Corsi
  A DCC-type approach for realized covariance modelling with score-driven dynamics
  A1718:  A. Al Wakil, S. Darolles
  On hedge funds: New evidence from volatility risk premia embedded in VIX options
  A1452:  F. Yang, W. Wang
  The shale revolution, geopolitical risk, and oil price volatility
  A1159:  K. Bien-Barkowska
  A self-exciting hurdle model for extreme returns in financial markets
Parallel session J: CMStatistics Saturday 15.12.2018 18:10 - 19:25

Session EO264 Room: A0
Approaches to analyzing high dimensional data Saturday 15.12.2018   18:10 - 19:25
Chair: Hernando Ombao Organizer: Hernando Ombao
  B1245:  R. Sundararajan
  A frequency domain approach to stationary subspace analysis of multivariate second-order nonstationary time series
  B1251:  C.M. Ting, S.B. Samdin, H. Ombao
  Detecting regime changes in community structure of brain networks using dynamic stochastic block models
  B0428:  J. Goldsmith, J. Wrobel, V. Zipunnikov, J. Schrack
  Registration for exponential family functional data
Session EO448 Room: Aula 4
New developments in statistical inference and computing Saturday 15.12.2018   18:10 - 19:25
Chair: Min-ge Xie Organizer: Min-ge Xie
  B0622:  G. Yi
  Causal inference with measurement error in outcomes
  B0734:  Y. Chen, C.-L. Kao, C.-D. Fuh, S. Kou
  Determine the number of states in hidden Markov models via marginal likelihood
  B1307:  D. Sun
  Bayesian analysis of the co-variance matrix of a multivariate normal distribution with a new class of priors
Session EO114 Room: Aula 5
Statistical methods for complex data analysis Saturday 15.12.2018   18:10 - 19:25
Chair: Zhuoqiong He Organizer: Hongyuan Cao
  B1366:  Z. He
  Bayesian smoothing spline model and its application in current population survey
  B1368:  S. Zhang
  Design and analysis of pragmatic stepped-wedge clustered randomization trials
  B1374:  J. Cao, S. Zhang
  A Bayesian spatial clustering method and its application in radiology
Session EO597 Room: Aula B
Estimation and optimization in large-scale statistical settings Saturday 15.12.2018   18:10 - 19:25
Chair: Garvesh Raskutti Organizer: Garvesh Raskutti
  B0350:  K. Balasubramanian
  On Stein's identity and derivate- and Hessian-free stochastic optimization
  B0566:  V. Patel
  Statistical filtering for optimization under uncertainty
  B0724:  S. Negahban, A. Hu
  Minimax estimation of bandable precision matrices
Session EO494 Room: Aula Magna
Model selection and FDR Saturday 15.12.2018   18:10 - 19:25
Chair: Sylvain Sardy Organizer: Sylvain Sardy
  B0238:  A. Ramdas, E. Katsevich
  Beyond FDR: Towards simultaneous selective inference and post-hoc error control
  B1496:  A. Weinstein, W. Su, M. Bogdan, E. Candes
  Breaking the lasso power-FDR tradeoff diagram by thresholding
  B1520:  P. Descloux, S. Sardy
  Model selection with lasso-zero tuned by quantile universal thresholding
Session EO556 Room: Aula C
Robust machine learning Saturday 15.12.2018   18:10 - 19:25
Chair: Guillaume Lecue Organizer: Matthieu Lerasle, Guillaume Lecue, Adrien Saumard
  B0541:  I. Giulini
  Dimension-free PAC-Bayesian bounds for vectors and matrices
  B0953:  S. Minsker
  Median-of-means-type estimators and rates of convergence in normal approximation
  B1095:  P. Thompson
  On stochastic approximation under heavier tails
Session EO530 Room: C1
Mixed linear models analysis: New estimation methods and diagnostic tools Saturday 15.12.2018   18:10 - 19:25
Chair: Dietrich von Rosen Organizer: Dietrich von Rosen
  B1032:  S. Imori, D. von Rosen, R. Oda
  Growth curve model with bilinear random coefficient
  B1249:  T. von Rosen
  On prediction in multivariate mixed linear models with structured covariance matrices
  B1306:  M. Bolla, F. Abdelkhalek, J. Mala
  Parameter estimation in biclassified blockmodels as mixture of contingency tables via the EM algorithm
Session EO108 Room: D1
Tinkering with Gini: Adaptations of the old idea to present-day realities Saturday 15.12.2018   18:10 - 19:25
Chair: Francesca Greselin Organizer: Ricardas Zitikis, Francesca Greselin
  B0190:  R. Zitikis
  Gini shortfall: A new coherent risk measure
  B0525:  N. Gribkova
  Cramer type large and moderate deviations for trimmed $L$-statistics
Session EO042 Room: E1
Nonparametric methods for modern network analysis Saturday 15.12.2018   18:10 - 19:25
Chair: Yahui Tian Organizer: Yahui Tian, Yulia Gel
  B0680:  Y. Tian, Y. Gel
  Fusing data depth with complex networks: Community detection with prior information
  B1268:  A. Appice, D. Malerba
  Leveraging the power of correlation in a data network: A machine learning approach
  B1687:  S. Chenouri
  Nonparametric methods for change point analysis in multivariate, functional and network data
Session EO492 Room: G1
Recent development in semiparametric methods for survival data Saturday 15.12.2018   18:10 - 19:25
Chair: Liming Xiang Organizer: Liming Xiang
  B0770:  R. Huang, L. Xiang, I.D. Ha
  Frailty mean residual life regression for survival data from multi-center clinical trials
  B0861:  T. Emura, J.-H. Shih, I.D. Ha
  Comparison between the marginal hazard models and sub-distribution hazard models with an assumed copula
  B1001:  X. Liu, L. Xiang
  Generalized partially linear single-index cure mixture models with interval-censored data
Session EO106 Room: L1
Advances in mixtures with covariates Saturday 15.12.2018   18:10 - 19:25
Chair: Salvatore Ingrassia Organizer: Salvatore Ingrassia
  B1215:  K. Murphy, T.B. Murphy
  Gaussian parsimonious clustering models with covariates
  B1234:  R. Di Mari, A. Maruotti, A. Punzo
  Time-varying measurement error in generalized linear models for longitudinal data: A two-step latent Markov approach
  B1210:  S. Barberis, S. Ingrassia, G. Vittadini
  Generalized additive cluster weighted model
Session EO034 Room: M1
Nonparametric functional data analysis Saturday 15.12.2018   18:10 - 19:25
Chair: Davy Paindaveine Organizer: Davy Paindaveine
  B0920:  G. Van Bever, S. Nagy, P. Ilmonen, S. Helander, L. Viitasaari
  A functional data depth based on moments
  B0870:  S. Nagy
  Nonparametric analysis of the shape of random curves
  B0469:  R. Jimenez, A. Elias
  Exploratory functional data analysis from depth-based neighborhoods
Session EO270 Room: O1
Dependence models and copulas II Saturday 15.12.2018   18:10 - 19:25
Chair: Wolfgang Trutschnig Organizer: Wolfgang Trutschnig, Fabrizio Durante
  B0466:  E. Pircalabelu
  Using vine copulas to estimate the structure of directed acyclical graphs
  B1407:  A. Masuhr
  Metropolis Hastings based estimation of generalized partition of unity copulas
  B1116:  F. Durante, J. Fernandez Sanchez, W. Trutschnig
  Spatially homogeneous copulas
Session EO677 Room: P1
Branching processes: Theoretical, applied and computational issues II Saturday 15.12.2018   18:10 - 19:25
Chair: Ines M del Puerto Organizer: Ines M del Puerto, Miguel Gonzalez Velasco
  B1221:  A. Vidyashankar
  Ancestral inference for tree-indexed data
  B1304:  M. Gonzalez Velasco, C. Minuesa Abril, I.M. del Puerto
  A two-type controlled branching process as model in cell kinetics
  B1367:  M. Kimmel
  Griffiths-Tavare versus Lambert coalescents: Application in modeling of cancer evolution
Session EO406 Room: Q1
Functional data analysis Saturday 15.12.2018   18:10 - 19:25
Chair: Alicia Nieto-Reyes Organizer: Alicia Nieto-Reyes
  B0657:  G. Nisol, S. Hormann, M. Hallin, S. Tavakoli
  Forecasting multiple functional time series: A static factor approach
  B0869:  R. Ignaccolo, L. Fontanella, L. Ippoliti, P. Valentini
  Simple spatio-temporal models for complex spatial data
  B1199:  M.F. Carfora, A. Antoniadis, I. De Feis
  Penalized robust estimation for functional regression
Session EO667 Room: O2
EcoSta journal: Computational Statistics Saturday 15.12.2018   18:10 - 19:25
Chair: Erricos John Kontoghiorghes Organizer: Erricos John Kontoghiorghes
  B0739:  Z. Drmac
  Numerical methods for SVD and its generalizations with applications in computational statistics
  B1654:  I. Demetriou
  Best L4 monotonic regression
  B0520:  B. Clarke, M. Mpoudeu
  Estimating the VC dimension with applications to model selection
Session EO660 Room: P2
Recent advances in Bayesian modeling and computation Saturday 15.12.2018   18:10 - 19:25
Chair: Christopher Franck Organizer: Marco Ferreira
  B0332:  S. Chakraborty
  Scalable bayesian non-linear SVMs for big data problems
  B0894:  C. Franck, M. Keefe, E. Porter, M. Ferreira
  Objective Bayesian analysis for Gaussian hierarchical models with intrinsic conditional autoregressive priors
  B1226:  S. Guha, C. Gu, V. Baladandayuthapani
  Bayesian nonparametric differential analysis for dependent multigroup data with application to DNA methylation analyses
Session EO112 Room: Q2
Bayesian semi- and nonparametric modelling II Saturday 15.12.2018   18:10 - 19:25
Chair: Raffaele Argiento Organizer: Raffaele Argiento, Matteo Ruggiero, Li Ma
  B0783:  T. Rigon, A. Lijoi, I. Pruenster
  Efficient Gibbs sampling methods for hierarchical processes
  B0355:  A. Linero
  Detecting and leveraging structural information with Bayesian forests
  B0853:  G. Rosner, C. Wang
  A Bayesian non-parametric causal inference model for synthesizing randomized clinical trials and real-world evidence
Session EG031 Room: H1
Contributions in directional data Saturday 15.12.2018   18:10 - 19:25
Chair: Arthur Pewsey Organizer: CMStatistics
  B1420:  P. Nagar, A. Bekker, M. Arashi
  New contributions to Mobius transformation induced distributions on the disc
  B1415:  M. Bee
  Estimating the wrapped stable distribution via indirect inference
  B1216:  A. Nodehi, C. Agostinelli, M. Golalizadeh
  New algorithms for wrapped normal models estimation
Session EG207 Room: N1
Contributions in extreme values Saturday 15.12.2018   18:10 - 19:25
Chair: Yuri Goegebeur Organizer: CMStatistics
  B1527:  L. Trapin, D. Dupuis
  Mixed-frequency extreme value regression: Estimating the effect of MCS on extreme rainfall in the Midwest
  B1556:  G. Maribe
  Flexible extreme value modelling in insurance and finance
  B1343:  J. Holesovsky, M. Fusek
  Use of censored distribution in the intervals estimator of the extremal index
Parallel session J: CFE Saturday 15.12.2018 18:10 - 19:25

Session CO116 Room: B2
The econometrics of cryptocurrencies Saturday 15.12.2018   18:10 - 19:25
Chair: Leopoldo Catania Organizer: Paolo Santucci de Magistris, Leopoldo Catania
  A0325:  N. Borri
  Conditional tail-risk in cryptocurrency markets
  A1111:  G. Figa Talamanca
  Bitcoin price dynamics and market attention
  A1478:  A. Molino
  Market risk of cryptocurrencies
Session CO058 Room: D2
Network econometrics Saturday 15.12.2018   18:10 - 19:25
Chair: Roberto Casarin Organizer: Monica Billio, Roberto Casarin
  A0904:  L. Frattarolo, M. Billio, R. Casarin, M. Costola
  Predictability, spillover, and disagreement in signed financial networks
  A1004:  M. Billio, R. Casarin, S. Kaufmann, M. Iacopini
  Bayesian dynamic tensor regression
  A1219:  R. Panzica
  Idiosyncratic volatility puzzle: The role of assets' interconnections
Session CO390 Room: E2
Econometrics for policy analysis Saturday 15.12.2018   18:10 - 19:25
Chair: Christos Savva Organizer: Christos Savva
  A0202:  C. Savva, D. Koursaros, N. Michail
  Monetary policy and bank lending behavior
  A0559:  N. Michail
  On the impact of quantitative easing
  A0203:  D. Koursaros, C. Savva, N. Papadopoulou
  Sales and promotions and the great recession deflation
Session CO056 Room: F2
Econometrics of art markets Saturday 15.12.2018   18:10 - 19:25
Chair: Douglas Hodgson Organizer: Douglas Hodgson
  A0260:  D. Hodgson
  Artistic movement membership and the career profiles of Canadian painters
  A1058:  C. Hellmanzik, R. Fuess, M. Burkhardt
  From afternoon to evening: Price dynamics and bidding behaviour in evening auctions for fine art
  A1767:  S. Mitchell
  London calling: Agglomeration economies in literature since 1700
Session CO080 Room: H2
Cointegration: Stability, linearity and monitoring Saturday 15.12.2018   18:10 - 19:25
Chair: Martin Wagner Organizer: Martin Wagner
  A1329:  M. Wagner, O. Stypka
  Testing linear cointegration against smooth transition cointegration: Theory and an application to long-run money demand
  A1473:  K. Reichold, M. Wagner
  Cointegrating polynomial regression with an integrated regressor with drift: Fully modified OLS estimation and inference
  A1491:  L. Soegner, M. Wagner
  Bubble detection in error correction models
Session CO100 Room: N2
Recent advance in complex time series analysis Saturday 15.12.2018   18:10 - 19:25
Chair: Jinyuan Chang Organizer: Degui Li
  A0323:  C. Huang, V. Chernozhukov, W. Haerdle, W. Wang
  Lasso-driven inference in time and space
  A0554:  Y. Lin, H. Reuvers
  Efficient estimation by fully modified GLS with an application to the environmental Kuznets curve
  A1228:  J. Chang, E. Kolaczyk, Q. Yao
  Estimation of subgraph densities in noisy networks
Session CG061 Room: M2
Contributions in international finance Saturday 15.12.2018   18:10 - 19:25
Chair: Matteo Cacciatore Organizer: CFE
  A0716:  M. Scharnagl, M. Mandler
  Financial cycles across G7 countries: A view from wavelet analysis
  A1488:  A. Savvides, N. Michail
  Intra euro area capital flows and the current account balance
  A1448:  K.I. Inaba
  A global look at stock market comovements
Parallel session L: CMStatistics Sunday 16.12.2018 10:05 - 12:10

Session EO675 Room: A0
Data integration and SAE for equitable and sustainable development Sunday 16.12.2018   10:05 - 12:10
Chair: Caterina Giusti Organizer: Monica Pratesi, Caterina Giusti
  B1178:  A. Moretti, N. Shlomo, J. Sakshaug
  Small area estimation of latent economic wellbeing
  B1190:  E. Rocco, E. Rocco, M.F. Marino, A. Petrucci
  Small area estimation in the framework of multivariate models for sustainable development
  B1230:  R. Varriale, F. Rocci, O. Luzi
  Quality evaluation of statistical processes based on administrative data
  B1353:  L. Neri, A. Lemmi, M. Lonzi
  Regional disparities in well-being dimensions: The case of Italy
  B1676:  D. Fiaschi, L. Biggeri, M. Pratesi, T. Laureti
  Local index of house prices in Italy
  B1451:  J. Silber
  Discussions on `Advances in data integration and SAE for equitable and sustainable development'
Session EO276 Room: Aula 5
Data privacy and statistical disclosure control Sunday 16.12.2018   10:05 - 12:10
Chair: Matthew Reimherr Organizer: Matthew Reimherr
  B0319:  J. Awan, A. Slavkovic
  Differentially private uniformly most powerful tests for binomial data
  B0797:  M. Smith, M. Alvarez
  Improved differentially private regression and classification with Gaussian processes
  B1078:  A. Kenney, J. Awan, M. Reimherr, A. Slavkovic
  Statistical disclosure control for functional PCA
  B1094:  V. Karwa
  Sharing social network data: Differentially private estimation of exponential-family random graph models
  B1181:  A. Barrientos, J. Reiter, A. Machanavajjhala, Y. Chen
  Differentially private significance tests for regression coefficients
Session EO074 Room: A1
Advances in statistical imaging Sunday 16.12.2018   10:05 - 12:10
Chair: Michele Guindani Organizer: Michele Guindani
  B0444:  T. Zhang
  Spatial temporal analysis of multi-subject fMRI data
  B0503:  J. Morris, H. Zhu, P. Rausch
  Robust and Gaussian spatial functional regression models for analysis of event-related potentials
  B0633:  D. Telesca
  Functional features in brain imaging
  B0736:  T. Johnson, C. Guo, J. Kang
  Bayesian image-on-image latent factor models for predicting task fMRI using task-free MRI
  B1026:  H. Ombao
  Statistical methods for modeling heritability of EEG connectivity
Session EO617 Room: B1
Graphical models in the life sciences Sunday 16.12.2018   10:05 - 12:10
Chair: Sofia Massa Organizer: Marco Scutari, Sofia Massa
  B0944:  P. Behrouzi, E. Wit
  Extensions of graphical models with applications in genetics and genomics
  B0951:  R. Mohammadi
  Bayesian inference of high-dimensional graphical models: Application to brain connectivity
  B0979:  G. Moffa, J. Kuipers
  Causal inference with directed acyclic graphs: A case study in psychosis
  B1101:  G. Leday, I. Speranza, L. Bottolo, S. Richardson
  Bayesian analysis of multiple related molecular networks
  B1621:  T.K.H. Nguyen, M. Chiogna
  Inferring networks from next generation sequencing data
Session EO560 Room: E1
Statistical methods for networks and integrative studies Sunday 16.12.2018   10:05 - 12:10
Chair: Mihye Ahn Organizer: Min Jin Ha, Mihye Ahn
  B0809:  Y. Chen, Y. Chen
  An efficient sampling algorithm for network motif detection
  B0990:  D. Yu
  Fused lasso regression for identifying differential correlations in brain connectome graphs
  B1135:  T. Park, Y. Kim
  Hierarchical structured component analysis for integrative analysis of multi-omics data
  B0841:  M.J. Ha, S. Banerjee, R. Akbani, H. Liang, G. Mills, K.-A. Do, V. Baladandayuthapani
  Personalized integrated network modeling
  B1421:  C. Class, M.J. Ha, V. Baladandayuthapani, K.-A. Do
  iDINGO: Integrative differential network analysis in genomics
Session EO120 Room: F1
Clustering of multivariate dependent data Sunday 16.12.2018   10:05 - 12:10
Chair: F Marta L Di Lascio Organizer: F Marta L Di Lascio
  B0620:  L. Bagnato, A. Punzo, A. Maruotti
  Hidden semi-Markov models with multivariate leptokurtic-normal components: Application to daily returns series
  B0942:  M. Nai Ruscone
  Model-based clustering of high dimensional data using copulas
  B0245:  A.M. Paganoni, F. Gasperoni, F. Ieva, C. Jackson, L. Sharples
  Non parametric frailty Cox model for clustering time-to-event data
  B1085:  V. Vandewalle, C. Preda, S. Dabo
  Clustering of spatially dependent functional data
  B1138:  A. White, J. Wyse, G. Celeux
  Comparing EM to a greedy search algorithm to optimize ICL for mixture models
Session EO574 Room: G1
Flexible survival methods Sunday 16.12.2018   10:05 - 12:10
Chair: Anneleen Verhasselt Organizer: Roel Braekers, Anneleen Verhasselt
  B0518:  I. Van Keilegom, W. Gonzalez-Manteiga, L. Martinez-Miranda
  Goodness-of-fit tests in proportional hazards models with random effects
  B1379:  Y.-J. Kim
  Joint model for bivariate zero inflated recurrent event data with terminal event
  B0808:  A. El Ghouch, A. Oulhaj, K.M. Beyene
  On the validity of time-dependent AUC estimation in the presence of cure fraction
  B1091:  M.N. Hasan, R. Braekers
  Parametric estimation of the association parameters in hierarchical survival data by nested Archimedean copula functions
  B1698:  K. Antonio, J. Crevecoeur, R. Verbelen
  Modeling the future development of IBNR and RBNS claims in the presence of covariates
Session EO146 Room: H1
Advances in ordinal data analysis Sunday 16.12.2018   10:05 - 12:10
Chair: Cristina Mollica Organizer: Cristina Mollica
  B0326:  D. Fernandez
  A goodness-of-fit test for the ordered stereotype model
  B0892:  D. Henderson
  Revealing subgroup structure in ranked data using a Bayesian WAND
  B1186:  M. Crispino, V. Vitelli, A. Frigessi, E. Arjas, N. Barrett
  A Bayesian Mallows approach to non-transitive pair comparison data: Application to sounds perception
  B1239:  Q. Liu
  Bayesian Mallows model for clicking data
Session EO236 Room: I1
New advances on statistical modeling of complex data I Sunday 16.12.2018   10:05 - 12:10
Chair: Mauricio Castro Organizer: Mauricio Castro
  B0322:  W.-L. Wang, T.-I. Lin
  Multivariate-t nonlinear mixed models for censored multi-outcome longitudinal data
  B0449:  V. Lourenco, H.-P. Piepho, J.O. Ogutu
  Robust estimation in plant breeding: Evaluation using simulation and empirical data
  B0950:  I. Beaudry, K. Gile
  A Bayesian approach to differential recruitment with respondent-driven sampling data
  B0986:  V. Inacio, J. Garrido Guillen, M.X. Rodriguez-Alvarez
  Bayesian nonparametric inference for the coefficient of overlap
  B1102:  G. Page
  Bayesian hierarchical modeling of growth curve derivatives via sequences of quotient differences
Session EO362 Room: L1
Recent developments in multivariate data analysis Sunday 16.12.2018   10:05 - 12:10
Chair: Anne Ruiz-Gazen Organizer: Anne Ruiz-Gazen, Klaus Nordhausen
  B0427:  J. Virta, N. Lietzen, K. Nordhausen
  Statistical properties of second-order tensor decompositions
  B0436:  D. Paindaveine, J. Remy, T. Verdebout
  Testing for principal component directions under weak identifiability
  B0492:  K. Nordhausen, J. Virta
  On estimating the number of signals in multivariate time series
  B0972:  M. Olteanu, K. Pame, G. Beaunee, C. Bidot, E. Vergu
  Clustering and visualizing large cattle-trading networks using self-organizing maps
  B0455:  M. Chavent, G. Chavent
  The R package sparsePCA for block approaches and group-sparse PCA
Session EO154 Room: M1
Recent advances in functional and multivariate data analysis Sunday 16.12.2018   10:05 - 12:10
Chair: Yuko Araki Organizer: Yuko Araki
  B0293:  S. Jung
  On the number of principal components in high dimensions
  B0648:  S. Kawano
  Sparse principal component regression via singular value decomposition
  B0938:  M. Imaizumi, K. Kato
  Inference on active domains of functional data via functional linear regression
  B1099:  Y. Araki
  Functional classification with direct and indirect effects for high dimensional data
Session EO206 Room: N1
Extreme values Sunday 16.12.2018   10:05 - 12:10
Chair: Katharina Hees Organizer: Katharina Hees, Roland Fried
  B1148:  M. Oesting, O. Wintenberger
  Estimation of the spectral measure from convex combinations of jointly regularly varying random variables
  B0699:  A. Schnurr, M. Oesting
  Ordinal patterns in clusters of extremes of regularly varying time series
  B1644:  I. Muenker, A. Schnurr
  Ordinal pattern dependence in contrast to other concepts of dependence
  B0692:  K. Hees
  Extreme value theory for bursty time series
  B1493:  L.F. Schneider, A. Krajina, T. Krivobokova
  Threshold selection in univariate extreme value analysis
Session EO142 Room: O2
EcoSta journal: Copulas Sunday 16.12.2018   10:05 - 12:10
Chair: Takeshi Emura Organizer: Erricos John Kontoghiorghes
  B1069:  G. Marra, R. Radice, D. Zimmer
  Copula additive regression models with endogenous binary treatment and count response
  A0420:  R. Wilke, E. Mammen, S. Lo
  A nested copula duration model for competing risks with multiple spells
  B0544:  D. Radulovic
  On the goodness of standard copulas
  B0638:  D. Kurowicka
  Search of a vine structure in vine copula model based on sampling order proximity
  B0246:  M. de Carvalho, M. Leonelli, R. Rubio
  Diagonal distributions
Session EO518 Room: Q2
Bayesian semi- and non-parametric modelling Sunday 16.12.2018   10:05 - 12:10
Chair: Silvia Liverani Organizer: Silvia Liverani
  B0308:  R. Rastelli, F. Maire, N. Friel
  A noisy MCMC sampler for latent position network models
  B0416:  A. Lavigne, S. Liverani
  Quantification of the uncertainty of a partition coming from the Dirichlet process mixture model
  B0509:  I. Antoniano-Villalobos, A. Cremaschi, R. Piccarreta, S. Wade
  Colombian women's life choices: A Bayesian nonparametric multivariate regression approach
  B0748:  W.W. Yoo, A. van der Vaart
  The Bayes Lepski's method and credible bands through volume of tubular neighborhoods
  B1089:  P. Kirk
  Semi-supervised multi-view Bayesian nonparametric clustering for integrative genomics
Session EC641 Room: Aula 4
Contributions in computational statistics Sunday 16.12.2018   10:05 - 12:10
Chair: Yiming Ying Organizer: CMStatistics
  B0198:  G. Guo
  Parallel Gibbs variable selection for high-dimensional generalized linear models
  B1550:  C. Gatu, C. Barna, A. Colubi, E.J. Kontoghiorghes
  A graph approach to find the best grouping for each possible number of clusters
  B1382:  P.V. Redondo, E. Barrios, J.R. Lansangan
  Estimating a Poisson autoregressive model with the backfitting algorithm
  B1459:  Y. Morioka, K. Tanioka, H. Yadohisa
  Constrained matrix completion algorithm considering individual differences
  B1508:  T.-J. Yen, Y.-M. Yen
  An attention algorithm for solving large scale structured $l_{0}$-norm penalized estimation problems
Session EG385 Room: Aula A
Contributions in stochastic processes Sunday 16.12.2018   10:05 - 12:10
Chair: Hiroki Masuda Organizer: CMStatistics
  B1438:  Y. Uehara, H. Masuda
  Noise estimation for ergodic Levy driven stochastic differential equation model
  B1450:  S. Eguchi, Y. Uehara
  Consistent model selection for ergodic SDEs
  B1568:  G. Albano, M. La Rocca, C. Perna
  A small sample analysis of discretely observed diffusion processes
  B1705:  N. Niezink
  Stochastic differential equation modeling of social influence in networks
  B1432:  D. Kurisu
  Nonparametric inference on Levy-driven Ornstein-Uhlenbeck processes
Session EG417 Room: C1
Contributions in spatial statistics Sunday 16.12.2018   10:05 - 12:10
Chair: Marie-Colette Van Lieshout Organizer: CMStatistics
  B0823:  P. Valentini, C. Grazian, L. Ippoliti, L. Fontanella
  A time varying parameter model to estimate the short-term effects of air pollution on human health
  B1585:  A. Gorshechnikova, C. Gaetan
  Likelihood approximation and prediction for large datasets of spatial data using hierarchical matrices
  B1492:  A. Baxevani, D. Hristopulos
  Effective probability distributions for spatially dependent processes
  B1059:  J. Randon-Furling, M. Olteanu
  Assessing segregation in complex networks through a multifocal approach
  B1490:  A. Meilan-Vila, J. Opsomer, M. Francisco-Fernandez, R. Crujeiras
  Testing parametric regression models when the errors are spatially correlated
Session EG033 Room: D1
Contributions in nonparametric statistics Sunday 16.12.2018   10:05 - 12:10
Chair: Germain Van Bever Organizer: CMStatistics
  B1384:  E.J. Abacan, E. Barrios, J.R. Lansangan
  Nonparametric changepoint analysis of multiple time series
  B1658:  E. Fonseca Mendes, M. Fernandes
  Nonparametric testing of conditional independence using asymmetric kernels
  B1629:  M. Khismatullina, M. Vogt
  Multiscale inference and long-run variance estimation in nonparametric regression with time series errors
  B1416:  D. Barreiro Ures, M. Francisco-Fernandez, R. Cao
  Bandwidth selection in nonparametric regression with very large sample size
  B1665:  M. Chaouch
  Volatility estimation in nonlinear heteroscedastic functional regression model with martingale difference errors
Session EC633 Room: O1
Contributions in time series II Sunday 16.12.2018   10:05 - 12:10
Chair: Stephen Pollock Organizer: CMStatistics
  B1565:  M. Matilainen, K. Nordhausen, J. Miettinen, J. Virta, S. Taskinen
  Dimension reduction for time series in a BSS context using R
  B1668:  M.R. Ramos, C. Cordeiro
  A contribution to forecast time series with structural break
  A1652:  H.A. Karlsen, S. Holleland
  A spatio-temporal GARCH model
  B1434:  A. Svetlosak, M. de Carvalho, R. Calabrese
  Comparative mean value with an application to personal financial data analysis
  B1542:  S. Pollock
  Alternative methods of seasonal adjustment
Session EP689 Room: Ground Level Hall
Poster Session II Sunday 16.12.2018   10:05 - 12:10
Chair: Panagiotis Paoullis Organizer: CMStatistics
  B1299:  A. Shimokawa, E. Miyaoka
  A comparative study on the measures for the prediction accuracy of a survival model
  B1393:  J. Klaschka, M. Maly, A. Sipek
  Analysis of trends in congenital anomalies prevalence: Method comparison simulation study
  B1403:  T. Kubota
  Detection and comparison of high suicidal execution area in Japan by areal statistics of committed suicide
  B1412:  J. Jeong
  Numerical analysis of intracellular amino acid profiles of breast cancer cells
  B1425:  P. Zajac
  The hybrid Phillips curve formula for DSGE models with a finite number of firms
  B1485:  S. Leemaqz, I. Hudson, A. Abell
  Classification of molecular characteristics to identify disease targets by score function of violations
  B1504:  N. Witulski, J. Dias
  Business perceptions of corruption in Europe: A multilevel analysis
  B1497:  M. Smuts, F. Terblanche
  A piecewise linear approximation approach for the simultaneous optimisation of price and loan-to-value
  B1619:  H. Gurgul
  Dependence structure of realized volatility and illiquidity
  A1696:  L. Louhichi, Z. Kacem, S. ben ammou
  Application of a principal component regression for the electricity markets data
  B1610:  S. Cho, J. Lim, W. Jang
  How many people participated in candlelight protests: Estimating dynamic crowd size
  B1758:  D. Lee, B. Jeong, Y. Pawitan, W. Lee
  Estimation of selection-bias adjusted FDR for the overall assessment in follow-up studies
  B1760:  J. Kim, W. Lee
  Multi-component ridge regression for heterogeneous correlation structure of covariates
  B1761:  H. Sim, W. Lee, K. Nam, D. Shin
  On heritability estimation and genome-wide association study for Yorkshire pig family data
  B1763:  K. Holst, E. Budtz-Joergensen
  A two-stage estimation procedure for non-linear structural equation models
Parallel session L: CFE Sunday 16.12.2018 10:05 - 12:10

Session CO232 Room: Aula Magna
Advances in latent variable modelling Sunday 16.12.2018   10:05 - 12:10
Chair: Robert Kohn Organizer: Robert Kohn
  A0691:  H. Wagner
  A flexible Bayesian model for treatment effects on panel outcomes
  A1340:  M. Scharth, A. Vasnev, H. Zhang
  Bayesian dynamic regularised forecast combinations
  A1580:  R. Dutta, A. Mira
  Well-tempered Hamiltonian Monte Carlo on active-space
  A1577:  G. Kastner, F. Huber, M. Feldkircher
  A latent threshold approach to large-scale mixture innovation models
  A1728:  R. Kohn, C.K. Carter, D. Gunawan
  Efficiently combining pseudo marginal and particle Gibbs sampling
Session CO580 Room: Aula C
Learning complex datasets in econometrics Sunday 16.12.2018   10:05 - 12:10
Chair: Yuan Ke Organizer: Yuan Ke
  A0747:  S. Bai, P. Ma, W. Zhong, R. Xie, Z. Wang
  Leverage subsampling for vector autoregression
  A1010:  Y. Ke, J. Fan, Y. Liao
  Forecast US bond risk premia with partially observed factors
  A0790:  C. Zheng
  A general theory for detecting changes-in-mean and changes-in-slope
  A1212:  Y. Chen
  Nonparametric production function estimation with shape constraints
  A0705:  M. Karemera, S. Guerrier, M.-P. Victoria-Feser, Y. Ma, S. Orso
  On the properties of simulation-based estimators in high dimensions
Session CO470 Room: P1
Modelling spatial data in business and economics Sunday 16.12.2018   10:05 - 12:10
Chair: Marzia Freo Organizer: Marzia Freo
  A0261:  K. Kopczewska
  Spatial bootstrapped microeconometrics: Forecasting for out-of-sample geo-locations
  A0502:  S. Ghinoi
  Social capital and regions absorptive capacity in Europe
  A0564:  R. Bernardini Papalia, E. Fernandez Vazquez
  Entropy based small area estimation for count data with spatial effects
  A0793:  T. Laureti, F. Polidoro
  Spatial comparisons of consumer prices using big data: Empirical evidence from Italy
  A1154:  I. Benedetti, T. Laureti, L. Biggeri, M. Brandi
  Sub-national price indexes for housing: Methodological issue and empirical analyses for Italy
Session CO110 Room: A2
Financial modelling Sunday 16.12.2018   10:05 - 12:10
Chair: Genaro Sucarrat Organizer: Genaro Sucarrat
  A0637:  D. Kyriakopoulou, C. Hafner
  Negative skewness of asset returns with positive time-varying risk premia
  A0494:  D. Dupuis, M. Bee, L. Trapin
  Realized peaks-over-threshold: A time-varying extreme value approach with high-frequency based measures
  A0598:  F. Violante, L. Bauwens, J. Rombouts
  Dynamic properties and correlation structure of a large panel of cryptocurrencies
  A1155:  A. Heinen
  Competition, fast growth and commercialization: A copula approach for systemic credit risk in microcredit markets
  A0452:  M. Karanasos, A. Paraskevopoulos, P. Sibbertsen, R. Baillie
  Tackling infinity: A theory for infinite order autoregressions
Session CO124 Room: B2
Regime switching, filtering, and portfolio optimization Sunday 16.12.2018   10:05 - 12:10
Chair: Joern Sass Organizer: Joern Sass, Leopold Soegner
  A0318:  J. Reynolds, L. Soegner, M. Wagner, D. Wied
  Deviations from triangular arbitrage parity in foreign exchange and bitcoin markets
  A0384:  D. Westphal, J. Sass
  Utility maximization under model uncertainty
  A0760:  E. Leoff, T. Ewen
  Particle filtering for truncated noise densities
  A0769:  M. Scholz, J.P. Nielsen, S. Sperlich, E. Mammen
  Market-timing in practice
  A1334:  M. Kiermeier
  Wavelet analysis applied to directors dealings
Session CO478 Room: C2
Empirical analysis of bond risk premia Sunday 16.12.2018   10:05 - 12:10
Chair: Andrea Berardi Organizer: Andrea Berardi
  A0373:  R. Moessner, A. Mehrotra, C. Shu
  Long-term interest rate spillovers from the United States: Expectations, term premia and uncertainty
  A0666:  W. Lemke, F. Eser, K. Nyholm, S. Radde, A. Vladu
  Tracing the impact of the ECB's expanded asset purchase programme on the yield curve
  A1272:  P. Williams, E. Kopp
  A macroeconomic approach to the term premium
  A0299:  M. Taboga
  Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models
  A1040:  A. Berardi
  Term premia with macro expectations
Session CO158 Room: D2
Statistical models for banking and business failure prediction Sunday 16.12.2018   10:05 - 12:10
Chair: Marcella Niglio Organizer: Marialuisa Restaino, Marcella Niglio
  A0292:  A. Beretta, C. Heuchenne
  Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures
  A0669:  R. Calabrese, R. Stine
  Contagion effects in small business failures: A spatial multilevel autoregressive model
  A0905:  A. Berti, C. Franceschini, N. Loperfido
  A multivariate approach to measure the dimension of a bank
  A1020:  F. Pierri, C. Caroni, E. Stanghellini
  Failure of small business enterprises: A competing risks analysis
  A0400:  M. Niglio, M. Restaino, F. Giordano
  Variable selection in estimating bank default
Session CO244 Room: G2
Dependence, extremes and robust inference Sunday 16.12.2018   10:05 - 12:10
Chair: Rustam Ibragimov Organizer: Rustam Ibragimov
  A0538:  J. Kim, N. Meddahi
  Volatility regression with fat tails
  A0794:  R. Leipus
  Closure properties for heavy-tailed distributions: Some recent results
  A1029:  O. Lebedev, A. Ankudinov
  Extreme returns and structural breaks in the Russian financial market
  A1121:  Z. Chen, R. Ibragimov
  One country, two systems: The heavy-tailedness of Chinese A- and H- share markets
  A1163:  A. Skrobotov, R. Ibragimov, J. Kim
  Robust inference for predictive regressions under endogeneity and heteroskedasticity
Session CO096 Room: N2
New methods for nonlinearities in time series panels and applications Sunday 16.12.2018   10:05 - 12:10
Chair: Peter Pedroni Organizer: Peter Pedroni
  A1088:  J. Schuffels, L. Lieb
  Nonlinear effects of inflation expectations on durable consumption: The role of household balance sheets
  A0568:  L. Margaritella, S. Smeekes, A. Hecq
  Granger causality test in high dimensional VAR models: A post-double-selection procedure
  A1065:  P. Pedroni, D. Al Masri
  Nonlinearities in financial development
  A0516:  F. Grigoli, A. Robles
  Inequality overhang
  A0855:  A. Kangur, F. Grigoli, P. Pedroni
  The marginal product of private and public capital
Session CO092 Room: P2
Bayesian econometrics Sunday 16.12.2018   10:05 - 12:10
Chair: Kaoru Irie Organizer: Yasuhiro Omori
  A0546:  T. Watanabe, J. Nakajima
  High-frequency stochastic volatility models for the Japanese stock index
  A0603:  S. Montagna, S. Tokdar, I. Irincheeva
  Bayesian analysis of dependent functional data
  A0676:  M. Takahashi, Y. Omori, T. Watanabe
  Realized stochastic volatility models with skew-$t$ distributions
  A1018:  K. Irie, Y. Omori, N. Awaya
  Filtering for stochastic volatility models with leverage by mixture approximation
  A0607:  O. Ekici
  An economic crisis indicator for emerging economies: Short term private external debt
Session CC652 Room: Q1
Contributions in applied econometrics Sunday 16.12.2018   10:05 - 12:10
Chair: Roderick McCrorie Organizer: CFE
  A1663:  T. Soler, E. Jay, C. Chorro, P. De Peretti
  Elliptical subset VAR estimation and impacts on frequency causality measures
  A1538:  A. Aganin, A. Peresetsky
  The impact of oil price volatility on the exchange rate volatility in Russia
  B1660:  S. Holleland, H.A. Karlsen
  Modelling volatility in daily air temperature on Svalbard
  A1738:  L. Boeckelmann, A. Stalla-Bourdillon
  Structural estimation of time-varying spillovers: An application to international market liquidity
Session CG622 Room: E2
Contributions in value-at-risk Sunday 16.12.2018   10:05 - 12:10
Chair: Matei Demetrescu Organizer: CFE
  A1710:  J. Taylor
  Forecasting value at risk and expected shortfall using a dynamic omega ratio
  A1546:  C.G. Santamaria
  Realized GARCH model adding robust measures of skewness and kurtosis
  A1311:  P. Tofoli, D. Gomes dos Santos, O. da Silva Filho
  Forecasting risk measures using intraday and overnight information
  A1105:  R. Gerlach, C. Wang
  Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
  A1570:  O. Couperier, J. Leymarie
  Backtesting expected shortfall via multi-quantile regression
Session CG014 Room: F2
Contributions in empirical macroeconomics Sunday 16.12.2018   10:05 - 12:10
Chair: Gunter Coenen Organizer: CFE
  A1501:  J. Cross, A. Poon, C. Hou
  Forecasting with large Bayesian VARs: On the importance of the prior
  A1533:  C. Martinez Hernandez, A. Velinov
  Analyzing asymmetric effects of monetary policy in the Euro Area
  A1559:  F. Venditti, G. Veronese, F. Venditti
  Highly frequent oil price shocks
  A1584:  M. Lombardi, M. Raczko, A. Filardo
  Measuring financial cycle time
  A1699:  J. Bruha
  Nowcasting disaggregated trade and real activity: a DFM approach
Session CC648 Room: H2
Contributions in forecasting II Sunday 16.12.2018   10:05 - 12:10
Chair: Fallaw Sowell Organizer: CFE
  A1332:  R. Kruse-Becher, J. Beckmann
  Regime-specific exchange rate predictability and the role of uncertainty
  A1684:  C. Schult, O. Holtemoeller
  Expectation formation, financial frictions, and forecasting performance of dynamic stochastic general equilibrium models
  A0191:  N. Moiseev
  Computation of reliable interval forecast for dynamic averaging of economic time series regression models
  A0573:  N. Rubino
  Out-of-sample performance of nonlinear models in commodities international price differential forecasting
  A1639:  A. Kostrov, L. Grigoryeva, S. Bertele
  Forecasting U.S. bank failures with machine learning techniques
Session CC649 Room: I2
Contributions in econometrics modelling Sunday 16.12.2018   10:05 - 12:10
Chair: Mikko Pakkanen Organizer: CFE
  A1579:  H. Shimizu
  A Bayesian analysis of extended Poisson distribution
  A1600:  A. Carvalho, J. Ditzen
  Stochastic frontier model choice with unobserved heterogeneity: A Monte Carlo study
  A1405:  P. Wlodarczyk
  The welfare-adequate measure of wage dispersion in the basic DSGE model with unemployment
  A0417:  S. Cinaroglu
  Modelling unbalanced catastrophic health expenditure data
  A1351:  Z. Wang, J. Crook, G. Andreeva
  Reducing model risk using Bayesian approach: Application to PD modelling of mortgage loans
Session CP001 Room: Ground Level Hall
Poster Session Sunday 16.12.2018   10:05 - 12:10
Chair: Panagiotis Paoullis Organizer: CFE
  A0258:  L. Jacobi, D. Zhu
  Prior robustness and convergence analysis for MCMC output based on automated sensitivity computations
  A1475:  R. Hendrych
  Recursive estimation of multivariate GARCH processes
  A1607:  D. Zhu, L. Jacobi, J. Chan
  How sensitive are VAR forecasts to prior hyperparameters: An automated sensitivity analysis
  A1734:  J. Nwabueze, U. George
  Bayesian vector autoregressive models for forecasting inflation rate in Nigeria
  A1745:  D. Robles, J.-L. Fernandez-Serrano
  Revisiting the dynamics between CDS spreads and equity returns under a nonlinear approach
  A1741:  A. Livada, K. Natsiopoulos
  An ARDL approach for income inequality: Case studies for France, Greece, UK and USA
  A1750:  R. Gorska
  Entropy measures in building Markowitz's efficient frontier: Evidence form Warsaw stock exchange
  A1263:  J. Kumar
  Panel data AR(1) time series models with multiple complete break points under a Bayesian framework
Parallel session N: CMStatistics Sunday 16.12.2018 14:40 - 16:20

Session EO546 Room: A0
Societal implications of work in statistics and data science Sunday 16.12.2018   14:40 - 16:20
Chair: Jennifer Hill Organizer: Ravi Shroff, Jennifer Hill
  B0348:  A. Laitinen, I. Palmer
  Ethical considerations to ensure that analytics help, never harm, students
  B0677:  R. Shroff, S. Corbett-Davies, S. Goel, J. Jung
  Omitted and included variable bias in tests for disparate impact
  B0830:  C. Simoiu, S. Goel, S. Corbett-Davies
  A novel test for bias in decision-making
  B1050:  D. Scheinker, A. Claypool, M. Brandeau
  The need for standardized hospital screening systems and metrics to detect child maltreatment
Session EO140 Room: Aula 4
Statistics meets computing Sunday 16.12.2018   14:40 - 16:20
Chair: Binyan Jiang Organizer: Chenlei Leng
  B1047:  B. Jiang
  Penalized interaction estimation for ultrahigh dimensional quadratic regression
  B1281:  Y. She
  On generalization and computation of Tukey's depth
  B1287:  P. Song
  Meta estimation of normal mean parameter: Seven perspectives of data integration
  B1372:  X. He, J. Wang, S. Lyu
  Scalable Kernel-based variable selection
Session EO450 Room: Aula 5
Recent developments in high-dimensional modeling and inference Sunday 16.12.2018   14:40 - 16:20
Chair: Young Kyung Lee Organizer: Young Kyung Lee
  B0255:  J. Kim, J.S. Lee, J. Lim
  Semi-parametric hidden Markov model and large scale multiple testing under dependency
  B0459:  C. Lim, C. Park
  Analysis of quantitative high throughput screening data using a robust nonlinear mixed effects model estimation
  B0728:  S. Shin, Y. Liu, S. Cole, J. Fine
  Ensemble estimation and variable selection with semiparametric regression models
  B1006:  Y. Rho, Y. Liu
  Panel nonparametric MIDAS model: A clustering approach
Session EO228 Room: Aula B
Challenge and new methods of big data analysis Sunday 16.12.2018   14:40 - 16:20
Chair: HaiYing Wang Organizer: HaiYing Wang
  B0628:  G. Raskutti
  Recent developments in variable selection and classification with presence-only data
  B1012:  Q. Song
  Bayesian shrinkage towards sharp minimaxity
  B1075:  H. Wang
  Optimal subsampling algorithms for big data generalized linear models
  B1376:  A. Lane
  Adaptive designs for optimal observed Fisher information
Session EO086 Room: Aula Magna
Recent innovation in multi-omics data analysis Sunday 16.12.2018   14:40 - 16:20
Chair: Taesung Park Organizer: Taesung Park
  B0992:  M. Song
  Inverse model based test robust to population structure in genetic association studies
  B1136:  Y. Kim
  Patient-driven tumor xenograft based gene expression model to predict anti-cancer drug response in cancer patient
  B1220:  H. Jung
  Integrative modeling based on fuzzy set of multiomics data
  B1355:  S. Lee
  Median-based multifactor dimensionality reduction methods for the survival phenotype
Session EO522 Room: Sala Convegni
Astrostatistics Sunday 16.12.2018   14:40 - 16:20
Chair: Mauro Bernardi Organizer: Alessandra Rosalba Brazzale, Mauro Bernardi
  B0923:  A. Sottosanti, M. Bernardi, R. Trotta, D. van Dyk
  Astronomical source detection and background separation via hierarchical Bayesian nonparametric mixtures
  B0777:  D. Stenning, D. Jones, E. Ford, T. Loredo, J. Cisewski, R. Wolpert
  Hunting for exoplanets around active stars
  B0336:  U. Simola, J. Cisewski, X. Dumusque
  Measuring precise radial velocities and cross-correlation function line-profile variations using a skew normal density
  B1044:  A.R. Brazzale, U. Simola
  Frequentist or Bayesian: An exoplanet case study
Session EO304 Room: A1
Advances in statistical neuroimaging analysis Sunday 16.12.2018   14:40 - 16:20
Chair: Lexin Li Organizer: Lexin Li
  B0549:  M.K. Chung
  Persistent homology on functional brain network
  B0872:  X. Luo, X. Cao, B. Sandstede
  A causal dynamic network model for functional MRI
  B0960:  D. Brzyski
  Finding relevant communities in the brain with SPINNER
  B1296:  J. Kornak, K. Young
  A new approach to Bayesian image analysis
Session EO534 Room: Aula A
Recent advances in analysis of high-dimensional data Sunday 16.12.2018   14:40 - 16:20
Chair: Yunzhang Zhu Organizer: Yunzhang Zhu
  B0631:  H. Wu, Z. Wu
  Normalization and differential expression in single cell RNA-seq
  B0899:  H. Jiang
  Minimizing sum of truncated convex functions and its applications
  B1053:  P. Wang
  Network inference
  B1098:  W. Pan
  An adaptive test on high-dimensional parameters in generalized linear models
Session EO669 Room: Aula C
Microbiome research methods Sunday 16.12.2018   14:40 - 16:20
Chair: Alexander Alekseyenko Organizer: Ekaterina Smirnova
  B0275:  A. Alekseyenko
  A framework for multivariate causal mediation analysis with microbiome data
  B0801:  C.L. Mueller
  Novel regression models for microbiome data
  B0983:  J. OBrien
  Multivariate logistic mixture regression for microbiome analysis
  B1176:  Y. Hu
  Analyzing matched sets of microbiome data
Session EO683 Room: B1
Graphical Markov models V Sunday 16.12.2018   14:40 - 16:20
Chair: Kayvan Sadeghi Organizer: Kayvan Sadeghi
  B1410:  K. Yang, A. Katcoff, C. Uhler
  Characterizing and learning equivalence classes of causal DAGs under interventions
  B1669:  N. Wermuth, G.M. Marchetti
  On linear generating processes for joint distributions of binary variables having an undirected Markov graph structure
  B1649:  J. Mooij, T. Blom
  A causal modeling framework in search of a graphical representation
  B1733:  M. Eichler
  Testing for tetrad constraints in multivariate time series
Session EO496 Room: C1
On recent development about time series and spectral analysis Sunday 16.12.2018   14:40 - 16:20
Chair: Yuexiao Dong Organizer: Yuexiao Dong
  B0340:  S. Bruce, C.Y. Tang, R. Krafty
  Empirical band analysis of nonstationary time series
  B0368:  Z. Li, R. Krafty
  Bayesian spectral analysis of high-dimensional time series
  B0612:  R. Krafty, S. Bruce, M. Hall
  Conditional adaptive Bayesian spectral analysis of nonstationary biomedical time series
  B1392:  B. Park, A. Vidyashankar, T. McElroy
  Network analysis for time series data
Session EO663 Room: E1
Recent advances in network data analysis Sunday 16.12.2018   14:40 - 16:20
Chair: David Choi Organizer: Yuguo Chen
  B0879:  M. Schweinberger
  Finite-graph superpopulation inference for random graphs with complex dependence
  B0930:  D. Sewell
  Heterogeneous susceptibilities in network influence models
  B0729:  I.H. Jin
  Applying a network modeling approach to the analysis of binary item response data
  B0919:  S. Paul
  Spectral clustering with higher-order structures under a superimposed stochastic block model
Session EO348 Room: F1
Dynamic models and structural changes Sunday 16.12.2018   14:40 - 16:20
Chair: Zuzana Praskova Organizer: Zuzana Praskova
  B0601:  W. Schmid, T. Lazariv
  Monitoring non-stationary processes
  B1115:  A. Steland
  Change detection and estimation for the covariance matrices of a high-dimensional time series
  B1224:  Z. Hlavka, M. Huskova, S. Meintanis
  Change point detection in multivariate two-sample setup
  B0936:  Z. Praskova
  Testing structural breaks in large dynamic models
Session EO442 Room: G1
Recent advances of statistical methods in survival analysis and missing data Sunday 16.12.2018   14:40 - 16:20
Chair: Sy Han Chiou Organizer: Lihong Qi
  B1100:  D. Gillen, S. Akhavan, A. Vandenberg-Rodes, B. Shahbaba
  A flexible joint longitudinal-survival modeling framework for incorporating multiple longitudinal biomarkers
  B1271:  Y. Li
  Drawing inference for high-dimensional models via a selection-assisted partial regression approach
  B1365:  C. Hu, C.-H. Hsu, Y. He
  An alternative sensitivity analysis approach for missing not at random data
  B1373:  J. Schildcrout
  Applications of survival analysis towards building a value-driven pre-emptive genotyping program
Session EO314 Room: H1
Recent advances in flexible directional modeling Sunday 16.12.2018   14:40 - 16:20
Chair: Jose Ameijeiras-Alonso Organizer: Jose Ameijeiras-Alonso
  B0593:  T. Abe
  WeiSSVM model and its applications to cylindrical data
  B0773:  A. Panzera, M. Di Marzio, S. Fensore, C.C. Taylor
  Nonparametric methods for circular data with errors in variables
  B0837:  Y. Larriba, C. Rueda, M. Fernandez, S. Peddada
  A directional proposal to solve a chronobiological problem
  B0964:  S. Kato, A. Pewsey, C. Jones
  Circulas obtained through a Fourier series based approach
Session EO214 Room: I1
New advances on statistical modeling of complex data II Sunday 16.12.2018   14:40 - 16:20
Chair: Tsung-I Lin Organizer: Tsung-I Lin
  B0489:  C.-J. Lin, J. Wason
  Improving the precision of oncology trials analysis using progression-free-survival as an endpoint
  B0896:  M. Castro, L. Avila Matos, C. Cabral, V.H. Lachos Davila
  Multivariate measurement error models based on Student-t distribution under censored responses
  B0922:  V.H. Lachos Davila
  Autoregressive skew-normal/independent linear mixed models
  B1193:  A. Roy, D. Klein
  Testing the equality of two object parameters in two populations of symbolic data
Session EO432 Room: L1
Latent variable models with applications Sunday 16.12.2018   14:40 - 16:20
Chair: Sara Taskinen Organizer: Sara Taskinen
  B0414:  S. Cagnone, C. Viroli
  The analysis of longitudinal mixed data via multivariate latent variable models: An analysis on alcohol use disorder
  B0978:  S. Bianconcini, S. Cagnone
  Approximate inference in latent variable models based on dimension-wise quadrature
  B1293:  M. Heinonen
  Output-sparse latent Gaussian processes
Session EO188 Room: M1
Recent advances on functional data analysis and applications Sunday 16.12.2018   14:40 - 16:20
Chair: Christian Acal Organizer: Ana Maria Aguilera
  B0997:  J. Portela, A. Bello
  Functional regression for estimating probability density functions: An application to electricity price forecasting
  B0723:  C. Acal, A.M. Aguilera, M.C. Aguilera-Morillo, J.B. Roldan, F. Jimenez-Molinos
  Functional data analysis of resistive switching processes
  B1225:  J. Alvarez-Liebana, M.D. Ruiz-Medina
  Banach-valued multivariate mixed effects model with weakly dependent errors
  B1341:  F. Scheipl, J. Goldsmith
  Tidyfun: A new framework for representing and working with function-valued data
Session EO364 Room: N1
High dimensional extremes Sunday 16.12.2018   14:40 - 16:20
Chair: Chen Zhou Organizer: Chen Zhou
  B0294:  D. Castro-Camilo, R. Huser
  Local likelihood estimation of complex tail dependence structures in high dimensions applied to precipitation extremes
  B0690:  G. Stupfler, S. Girard
  Estimation of high-dimensional extreme conditional expectiles
  B0761:  R. de Fondeville, A. Davison
  Modelling extreme European windstorms with functional peaks-over-threshold analysis
  B1404:  A. Sabourin, S. Clemencon, H. Jalalzai
  On binary classification in extreme regions
Session EO500 Room: O1
Copulas and dependence modelling Sunday 16.12.2018   14:40 - 16:20
Chair: Piotr Jaworski Organizer: Piotr Jaworski
  B0223:  M. Manstavicius, G. Bagdonas
  On bivariate copula mappings
  B0875:  W. Trutschnig
  The Markov product of copulas revisited
  B1524:  H. Nguyen, P. Galeano, C. Ausin
  Variational inference for high dimensional structured factor copulas
  B0851:  E. Perrone
  Discrete copulas and stochastic monotonicity
Session EO062 Room: Q1
Data depth and high-dimensional data Sunday 16.12.2018   14:40 - 16:20
Chair: Sara Lopez Pintado Organizer: Sara Lopez Pintado
  B0274:  F. Ieva, A.M. Paganoni, J. Romo, N. Tarabelloni
  On robust nonparametric techniques for dealing with the analysis of high dimensional data
  B0354:  M. Svarc, L. Fernandez Piana, A. Justel
  Local depth measures for trajectories with a common origin
  B0740:  H. Huang, Y. Sun
  Total variation depth and its decomposition for functional-data outlier detection
  B1666:  S. Lopez Pintado
  Nonparametric depth based methods for analyzing health data
Session EO054 Room: O2
EcoSta journal Part B: Statistics II Sunday 16.12.2018   14:40 - 16:20
Chair: Ana Colubi Organizer: Erricos John Kontoghiorghes
  B0297:  A. Janssen, M. Ditzhaus
  Valid and consistent adaptive multiple tests
  B1709:  C. Croux
  HAC standard errors for robust estimators
  B0508:  M.J. Lombardia, D. Morales, M.-D. Esteban, E. Lopez Vizcaino, A. Perez
  Small area estimation of proportions under an area-level compositional mixed model
  B1028:  S. Pandolfi, F. Bartolucci, M.F. Marino
  Stochastic block models for social network data: Inferential developments
Session EO396 Room: P2
Bayesian analysis and applications via partition and unification approaches Sunday 16.12.2018   14:40 - 16:20
Chair: Hongsheng Dai Organizer: Hongsheng Dai
  B0185:  M. Pollock, L. Aslett, H. Dai, G. Roberts
  Confusion: A confidential fusion approach to statistical secret sharing
  B1023:  B. Jiang
  A joint modeling approach for baseline matrix-valued imaging data and treatment outcome
  B1061:  R. Goudie
  Modular modelling: Joining and splitting models with Markov melding
  B1162:  H. Dai, M. Pollock, G. Roberts
  Bayesian fusion
Session EO222 Room: Q2
Bayesian semi- and nonparametric modelling III Sunday 16.12.2018   14:40 - 16:20
Chair: Matteo Ruggiero Organizer: Raffaele Argiento, Matteo Ruggiero, Li Ma
  A0941:  R. Casarin, M. Billio, L. Rossini
  Bayesian nonparametric sparse VAR models
  B0240:  J. Koskela, D. Spano, P. Jenkins
  Verifiable posterior consistency conditions for jump diffusions
  B1358:  C. Scricciolo
  Bayesian Wasserstein deconvolution
  B1591:  F. Komaki
  Improper priors for nonparametric Bayes estimation of Poisson intensity functions
Session EG600 Room: D1
Contributions in methodological statistics and applications I Sunday 16.12.2018   14:40 - 16:20
Chair: Satish Iyengar Organizer: CMStatistics
  B1730:  A. Bere, G. Sithuba
  A discrete survival model with a smooth baseline hazard for age at alcohol intake debut
  B1739:  Y. Gryazin
  A parallel regularized optimization approach to hedging a portfolio of collateralized mortgage obligations
  B1751:  D. Gabauer
  Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions
  B1659:  H.-W. Teng, M. Lee
  Machine learning for predicting default of credit card holders and success of kickstarters
Parallel session N: CFE Sunday 16.12.2018 14:40 - 16:20

Session CO410 Room: P1
Spatio-temporal models for prediction of climate impacts on societies Sunday 16.12.2018   14:40 - 16:20
Chair: Nourddine Azzaoui Organizer: Nourddine Azzaoui
  A1593:  P. Druilhet, S. Coly
  Efficient spatial designs for monitoring environmental phenomenon
  A1596:  D. Murakami, M. Ames, P. Shevchenko, T.A. Myrvoll, T. Matsui, Y. Yamagata
  Climate change mitigation management using an optimal stochastic control framework
  A1601:  B. Xiao, M.-E. Dury
  A comparative study on autoregressive models: An application to several financial assets
  A1634:  A.F. Yao, L. Forzani, M.A. Gieco, P. Llop
  Spatial prediction based on kernel method and dimension reduction
Session CO094 Room: A2
Sentiment and financial markets Sunday 16.12.2018   14:40 - 16:20
Chair: Francesco Audrino Organizer: Francesco Audrino
  A0228:  A. Tetereva
  Application of multivariate Hawkes graphs to uncover Granger causality of financial news
  A0296:  F. Sigrist, F. Audrino, D. Ballinari
  Using large and heterogeneous sources of sentiment and attention data for predicting stock market volatility
  A0460:  T. Renault
  Cryptocurrency-specific lexicon and sentiment projection
  A0495:  S. Borovkova
  Country news sentiment indices
Session CO130 Room: B2
Housing markets Sunday 16.12.2018   14:40 - 16:20
Chair: Ivan Paya Organizer: Ivan Paya
  A0209:  A. Anundsen, B. Kivedal
  Speculative bubbles in regional housing markets
  A0419:  I. Paya, E. Pavlidis, A. Skouralis
  The impact of the UK real estate sector on systemic risk
  A0765:  S.J. Hviid
  A leading indicator of house-price bubbles
  A1693:  K. Vasilopoulos, W. Tayler
  Commercial real estate, housing and the business cycle
Session CO466 Room: C2
Asset pricing with financial frictions Sunday 16.12.2018   14:40 - 16:20
Chair: Luca Benzoni Organizer: Scott Brave
  A1523:  M. Croce
  SONOMA: a Small Open ecoNOmy for MAcrofinance
  A1608:  F. Tourre, L. Hansen, P. Khorrami
  Comparative valuation dynamics in models with financing restrictions
  A1107:  L. Garlappi, K. Daniel, K. Xiao
  Monetary policy and reaching for income
  A1046:  L. Benzoni, L. Garlappi, R. Goldstein
  The term structure of credit spreads with dynamic debt issuance and asymmetric information
Session CO462 Room: G2
Machine learning techniques for time series forecasting Sunday 16.12.2018   14:40 - 16:20
Chair: Lyudmila Grigoryeva Organizer: Lyudmila Grigoryeva
  A1731:  V. Livina
  Tipping point analysis of dynamical
  A1691:  G. Fechteler
  Inference and time series analysis with artificial neural networks
  A1631:  J.-P. Ortega, L. Grigoryeva
  Forecasting and the universality problem in dynamic machine learning
  A1662:  L. Grigoryeva, O. Kukharenko, J.-P. Ortega
  Forecasting of high-dimensional realized covariances with reservoir computing
Session CO532 Room: H2
Empirical macroeconomics Sunday 16.12.2018   14:40 - 16:20
Chair: Nora Traum Organizer: Nora Traum
  A0204:  C. Boehm, N. Pandalai Nayar
  On the convexity of supply curves convex: Implications for state-dependent responses to shocks
  A0213:  W. Miyamoto, T.L. Nguyen
  International linkages and the changing nature of international business cycles
  A0193:  M. Cacciatore, N. Traum
  Trade flows and fiscal multipliers
Session CO198 Room: M2
Macroeconomic uncertainty Sunday 16.12.2018   14:40 - 16:20
Chair: Svetlana Makarova Organizer: Wojciech Charemza, Svetlana Makarova
  A0330:  R. Golinelli, M.E. Bontempi, M. Squadrani
  Uncertainty, perception and internet
  A0585:  S. Lee, J. Ha, I. So
  Identifying uncertainty shocks using geopolitical swings in Korea
  A0605:  C. Diaz
  On the effect of the Bank of England expected inflation uncertainty on private forecasters' risk assessments
  A0891:  S. Makarova, W. Charemza, C. Diaz
  Inflation forecast uncertainty in the three transitional Central and East European countries
Session CO538 Room: N2
Long memory Sunday 16.12.2018   14:40 - 16:20
Chair: Christian Leschinski Organizer: Philipp Sibbertsen
  A0481:  G. Chevillon, L. Bauwens, S. Laurent
  Forecasting long memory via a VAR model
  A0641:  C. Leschinski, P. Sibbertsen
  Spurious fractional cointegration
  A0949:  L. Giraitis, M. Taniguchi, M. Taqqu
  Estimation pitfalls when the noise is not i.i.d.
  A1411:  K. Wenger, C. Leschinski
  Fixed bandwidth CUSUM tests for change-in-mean under long memory
Session CC646 Room: D2
Contributions in risk analysis Sunday 16.12.2018   14:40 - 16:20
Chair: Marc Paolella Organizer: CFE
  A1217:  R. Liang
  Peer to peer personal credit risk assessment based on survival model
  A1481:  I. Peri, J. Corbetta
  A new approach to backtesting and risk model selection
  A1571:  C. OSullivan, Y. Wang
  Option implied tail risk and expected stock returns
  A1229:  A. Monteiro, A. Santos
  Nonparametric risk-neutral density estimation using local cubic polynomials applied to intraday data
Session CC653 Room: E2
Contributions in empirical finance Sunday 16.12.2018   14:40 - 16:20
Chair: Massimo Guidolin Organizer: CFE
  A1433:  C. Funk, K. Kempa, J. Lips
  Oil price shocks and debt in the oil industry: An empirical analysis
  A1320:  C. Castro
  On the market model as a counterfactual for event studies in finance
  A1544:  R. Bermejo Climent, I.C. Figuerola-Ferretti Garrigues, A. Santos Moreno
  ESG transparency and investment: Signaling and the power of social responsibility on performance
  A1716:  P. Chodnicka - Jaworska
  Banks' credit ratings: Impact of the business lines
Session CG059 Room: F2
Contributions in time series II Sunday 16.12.2018   14:40 - 16:20
Chair: Michael Thornton Organizer: CFE
  A1636:  C. Montes-Galdon
  Estimation of permanent and temporary shocks in a factor model framework
  A0217:  B. Abeln, J. Jacobs
  CAMPLET: Seasonal adjustment without revisions
  A1641:  S. Schreiber
  On the reliability of bootstrapped cointegration test findings
  A1627:  G. Bormetti, F. Corsi, A.A. Majewski
  Term structure of variance risk premium and returns' predictability
Session CG057 Room: I2
Contributions in autoregresive models Sunday 16.12.2018   14:40 - 16:20
Chair: Yohei Yamamoto Organizer: CFE
  A1370:  M. Meitz, P. Saikkonen
  Testing for observation-dependent regime switching in mixture autoregressive models
  A0234:  F. Sabzikar
  Autoregressive tempered fractionally integrated moving average time series: Theory and applications
  A1675:  C. Euan, Y. Sun
  Bernoulli vector autoregressive model
  A0556:  C. Wang, R. Gerlach
  Semi-parametric realized nonlinear conditional autoregressive expectile and expected shortfall models
Parallel session O: CMStatistics Sunday 16.12.2018 16:50 - 18:05

Session EO488 Room: Aula 4
Model selection and inference Sunday 16.12.2018   16:50 - 18:05
Chair: Ulrike Schneider Organizer: Ulrike Schneider
  B0362:  F. Bachoc, H. Leeb, B. Poetscher
  Valid confidence intervals for post-model-selection predictors
  B1258:  D. Kozbur, C. Hansen, J. Cao, L. Villacorta
  Inference in data with high-dimensional dependence structures
  B1270:  K. Johnson
  Post-selection inference in correlation learning
Session EO202 Room: Aula B
Analysis of large data sets: Theory and applications Sunday 16.12.2018   16:50 - 18:05
Chair: Malgorzata Bogdan Organizer: Malgorzata Bogdan
  B0969:  B. Miasojedow, A. Durmus, S. Majewski
  Analysis of Langevin Monte Carlo via convex optimization
  B1507:  H. Bellout, K. Podgorski
  Machine learning methods for initial orthonormal basis selection for functional data
  B1648:  S. Gaiffas, J. Mourtada, E. Scornet
  Online adaptive and anytime Mondrian forests
Session EO294 Room: Aula Magna
Advance in statistical methods for big and complex data Sunday 16.12.2018   16:50 - 18:05
Chair: Linbo Wang Organizer: Dehan Kong
  B0196:  G. Li, K. Chen
  Integrative multi-view reduced-rank regression: Bridging group sparsity and low-rank models
  B0451:  L. Du
  Dynamic tracking and screening in massive data streams
  B0958:  A. Shestopaloff
  Sampling latent states for high-dimensional non-linear state space models with the embedded HMM method
Session EO032 Room: A1
Recent development in statistical analysis of brain data Sunday 16.12.2018   16:50 - 18:05
Chair: Guofen Yan Organizer: Tingting Zhang
  B0479:  S. Iyengar
  Inference for first passage times of the Feller process
  B0878:  J. Harezlak, Z. Lin, M. Kudela, B. Oberlin, J. Goni, D. Kareken, M. Dzemidzic
  Lagged hierarchical semiparametric models for task-based dynamic functional connectivity (dFC) estimation
  B0937:  L. Li
  Mixed-effect time-varying stochastic blockmodel and application in brain connectivity analysis
Session EO594 Room: Aula A
Advances in analysis of complex time series data Sunday 16.12.2018   16:50 - 18:05
Chair: Seyed Yaser Samadi Organizer: Ali Shojaie
  B0587:  S. Karmakar, S. Richter, W.B. Wu
  Simultaneous inference for curve estimation in time-varying models
  B1134:  H. Bhat
  Learning stochastic dynamical systems via bridge sampling
  B1528:  S.Y. Samadi
  Time series analysis for symbolic interval-valued data
Session EO370 Room: C1
Multiple testing Sunday 16.12.2018   16:50 - 18:05
Chair: Sebastian Doehler Organizer: Jacobo de Una-Alvarez, Sebastian Doehler
  B0799:  M. Cousido Rocha, J. de Una-Alvarez, S. Doehler
  Comparing several adaptive multiple testing methods for discrete uniform homogeneous $p$-values
  B0900:  S. Doehler, E. Roquain, G. Durand, F. Junge
  DiscreteFDR: An R-package for controlling the false discovery rate for discrete tests
  B0939:  R. Ristl, D. Xi, E. Glimm, M. Posch
  Optimal exact tests for multiple binary endpoints
Session EO472 Room: D1
Dimension reduction under high dimension Sunday 16.12.2018   16:50 - 18:05
Chair: Zhigen Zhao Organizer: Zhigen Zhao
  B0750:  Y. Dong, Z. Li
  Model-free variable selection and screening with matrix-valued predictors
  B1670:  B. Li, J. Song
  Dimension reduction for functional data based on weak conditional moments
  B1625:  S. Park, K. Van Deun, E. Ceulemans
  Ignoring the differences in model properties of sparse PCA and standard PCA can be dangerous and misguide practice
Session EO174 Room: F1
Change points analysis and statistical inference for high dimensional data Sunday 16.12.2018   16:50 - 18:05
Chair: Gongjun Xu Organizer: Ping-Shou Zhong
  B1114:  A. Gibberd, S. Roy
  Multiple changepoint estimation in high dimensional Gaussian graphical models
  B1137:  G. Xu
  Asymptotically independent U-statistics for high dimensional adaptive testing
  B1567:  S. Ryan, R. Killick
  Computationally efficient detection of subset multivariate changepoints
Session EO572 Room: I1
Composite likelihood estimation and applications Sunday 16.12.2018   16:50 - 18:05
Chair: Davide Ferrari Organizer: Davide Ferrari
  B0266:  A.G. Bille, S. Leorato
  Quasi-ML estimation, marginal effects and asymptotics for spatial autoregressive nonlinear models
  B0526:  Z. Huang, D. Ferrari
  Sparse and robust composite likelihood inference with application to parcel-based evoked brain activity analysis
  B1025:  M. Cattelan, C. Varin
  Lorelogram models for spatially clustered binary data
Session EO024 Room: L1
Mean shift and localization techniques Sunday 16.12.2018   16:50 - 18:05
Chair: Jochen Einbeck Organizer: Jochen Einbeck
  B0472:  H. Sasaki
  Hunting geometric features in the probability density function with direct density-derivative-ratio estimation
  B0645:  S. Bigdeli, M. Jin, P. Favaro, M. Zwicker
  Learning to mean-shift in $O(1)$ for Bayesian image restoration
  B1344:  M. Carreira-Perpinan
  The K-modes and Laplacian K-modes algorithms for clustering
Session EO194 Room: M1
Heterogeneity in functional data Sunday 16.12.2018   16:50 - 18:05
Chair: Pedro Galeano Organizer: Pedro Galeano
  B0832:  J.L. Torrecilla
  Recursive maxima hunting: Variable selection in FDA
  B1000:  M. Oviedo de la Fuente, M. Febrero-Bande, W. Gonzalez-Manteiga
  Functional variables selection in hyperspectral image classification
  B0757:  P. Galeano, M. Febrero-Bande, W. Gonzalez-Manteiga
  Estimation, imputation and prediction for the functional linear model with scalar response with missing responses
Session EO318 Room: O1
New developments in vine copulas and their applications Sunday 16.12.2018   16:50 - 18:05
Chair: Claudia Czado Organizer: Claudia Czado
  B0300:  A. Moeller, C. Czado, D. Kraus, L. Spazzini
  Probabilistic temperature forecasting using $d$-vine copula regression
  B0422:  N. Barthel, P. Janssen, C. Geerdens, C. Czado
  Estimating dependence patterns in right-censored event time data using R-vine copula models
  B0822:  L. Yang, C. Czado
  Two-part $D$-vine copula models for insurance claim data
Session EO248 Room: O2
CSDA journal: Biostatistics Sunday 16.12.2018   16:50 - 18:05
Chair: Taesung Park Organizer: Erricos John Kontoghiorghes
  B0282:  B. Berckmoes, A. Ivanova, G. Molenberghs
  On the sample mean after a group sequential trial
  B0813:  M. Mittlboeck, H. Heinzl, U. Poetschger
  Variance estimation for generalised pseudo-values
  B1708:  S. Heritier, M.-P. Victoria-Feser, S. Guerrier
  Dealing with a small number of large clusters using iterative bootstrap
Session EO278 Room: Q2
Bayesian quantile regression Sunday 16.12.2018   16:50 - 18:05
Chair: Carolina Euan Organizer: Huixia Judy Wang
  B0719:  Y. Fan, J.-L. Dortet-Bernadet, T. Rodrigues
  Quantile pyramids for quantile regression
  B0914:  M. Bernardi, P. Stolfi
  Bayesian ensemble of quantile regression trees
  B1313:  K. Sriram
  On consistency and inference for Bayesian quantile regression based on the asymmetric Laplace density
Session EG006 Room: E1
Contributions in mixture models Sunday 16.12.2018   16:50 - 18:05
Chair: Florence Forbes Organizer: CMStatistics
  B1468:  G. Tzougas
  An EM type algorithm for maximum likelihood estimation of the negative binomial-gamma regression model
  B1536:  J. Dias
  Multiple-valued symbolic data clustering: A model-based approach
  B1442:  R. Ascari, S. Migliorati, A. Ongaro
  A new Dirichlet-multinomial mixture model for count data
Session EC635 Room: G1
Contributions in methodological statistics and applications II Sunday 16.12.2018   16:50 - 18:05
Chair: Anne Francoise Yao Organizer: CMStatistics
  B1736:  S. Metelli, N. Heard
  Bayesian new edge prediction and anomaly detection in large computer networks
  B1732:  M. Alduailij
  A computational method for estimating the ratio of scale parameters in the two-sample problem
  B1200:  A. Muhammad
  A new modified Liu-type estimator for linear regression models with correlated regressors
Session EG263 Room: H1
Contributions in survival analysis Sunday 16.12.2018   16:50 - 18:05
Chair: Takeshi Emura Organizer: CMStatistics
  B1345:  S. Bischofberger, J.P. Nielsen, M. Hiabu, E. Mammen
  Smooth backfitting of additively structured hazard rates for in-sample forecasting
  B1363:  A. Andrasikova, E. Fiserova
  Behaviour of tests in the Cox proportional hazards model
  B1700:  M. Lee
  On the analysis of discrete time competing risks data
Session EG027 Room: N1
Contributions in functional time series analysis Sunday 16.12.2018   16:50 - 18:05
Chair: Gregory Rice Organizer: CMStatistics
  B0411:  N. Hernandez, A. Munoz, G. Martos
  Minimum entropy forecast for functional time series
  B1674:  I. Martinez Hernandez, M. Genton
  Unit-root test for functional data based on records
  B1589:  Y. Chen, C.S. Pun
  A bootstrap-based KPSS test for functional time series
Session EG179 Room: P1
Contributions in Markov switching regression and hidden Markov models Sunday 16.12.2018   16:50 - 18:05
Chair: Fulvia Pennoni Organizer: CMStatistics
  B0996:  S. Mews, R. Langrock, T. Adam
  Nonparametric estimation in hidden Markov models using the EM algorithm
  B1349:  E. Aarts
  Comparing behavioral dynamics between groups using hierarchical hidden semi Markov models
  B1598:  T. Besbeas
  Efficient estimation for non-linear state space models of population survey data
Session EG421 Room: P2
Contributions in Bayesian modelling and computation Sunday 16.12.2018   16:50 - 18:05
Chair: Sergio Bacallado Organizer: CMStatistics
  B1417:  V. Potashnikov, O. Lugovoy, A. Polbin
  Probabilistic Bayesian updating of IOTs
  B1661:  P. Stolfi, M. Bernardi, D. Durante
  Bayesian probit classification trees
  B1515:  E. Ruli, L. Ventura, M. Musio
  On the use of scoring rules for Bayesian model selection with improper priors
Parallel session O: CFE Sunday 16.12.2018 16:50 - 18:05

Session CO454 Room: D2
Financial networks Sunday 16.12.2018   16:50 - 18:05
Chair: Monica Billio Organizer: Monica Billio, Marco Petracco
  A1038:  D. Sartore, A. Berardi, M. Billio, R. Casarin
  Dependence structure in international bond returns
  A1592:  K. Baltakys, J. Kanniainen, F. Emmert-Streib
  Linkage of contrarian and momentum traders in a stock market: Complex network approach
  A1005:  M. Iacopini, M. Billio, R. Casarin
  Bayesian Markov switching tensor regression for time-varying networks
Session CO544 Room: E2
Contributions in interest rates Sunday 16.12.2018   16:50 - 18:05
Chair: Luca Benzoni Organizer: CFE
  A0570:  A. Leccadito
  The position of the hump as a predictor of the treasury yield curve: A cointegration approach
  A0432:  Y. Eo, K.H. Kang
  Forecasting the term structure of interest rates with potentially misspecified models
  A1540:  M. Guidolin, M. Pedio
  Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
Session CO356 Room: M2
Macroeconomics and finance applications with linear and nonlinear filters Sunday 16.12.2018   16:50 - 18:05
Chair: Huyen Nguyen Organizer: Frederic Karame
  A0471:  S. Zakipour-Saber
  State-dependent monetary policy regimes
  A0613:  J. Roman, G. Vermandel
  Financial factors and the natural rate of interest puzzle
  A1090:  H. Nguyen
  Dynamic risk-taking behavior of mutual funds
Session CG071 Room: F2
Contributions in high-frequency Sunday 16.12.2018   16:50 - 18:05
Chair: Toshiaki Watanabe Organizer: CFE
  A0812:  B. Kwak, A. Kriwoluzky, O. Holtemoeller
  Using high-frequency exchange rate to identify direct and information effects of monetary policy shocks
  A1487:  K. Kuck, D. Baur
  The timing of the flight to gold: An intra-day analysis of gold and the S\&P500
  A1603:  G. Livieri, F. Lillo, L.P. Mertens, A. Ciacci
  Liquidity fluctuations and the latent dynamics of price impact