Computational Statistics & Data Analysis

1

Three-stage semi-parametric estimation of -copulas: Asymptotics, finite-sample properties and computational aspects

Dean Fantazzini

Journal:

Year:

2010

Language:

english

File:

PDF, 3.06 MB

english, 2010

2

Tobit model with covariate dependent thresholds

Yasuhiro Omori, Koji Miyawaki

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 1.42 MB

english, 2010

3

Non-linear time series clustering based on non-parametric forecast densities

J.A. Vilar, A.M. Alonso, J.M. Vilar

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 1.39 MB

english, 2010

4

Exploratory data analysis and model criticism with posterior plots

J.C. Naylor, A.R. Tremayne, J.M. Marriott

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 1.29 MB

english, 2010

5

Optimization heuristics for determining internal rating grading scales

M. Lyra, J. Paha, S. Paterlini, P. Winker

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 452 KB

english, 2010

6

Time-varying joint distribution through copulas

M. Concepcion Ausin, Hedibert F. Lopes

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 2.61 MB

english, 2010

7

Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion

Monica Billio, Massimiliano Caporin

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 4.89 MB

english, 2010

8

A regression tree algorithm for the identification of convergence clubs

Paolo Postiglione, Roberto Benedetti, Giovanni Lafratta

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 1.31 MB

english, 2010

9

Estimation uncertainty in structural inflation models with real wage rigidities

Jean-Marie Dufour, Lynda Khalaf, Maral Kichian

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 379 KB

english, 2010

10

From short to long memory: Aggregation and estimation

Jan Beran, Martin Schützner, Sucharita Ghosh

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 730 KB

english, 2010

11

Intradaily dynamic portfolio selection

Luc Bauwens, Walid Ben Omrane, Erick Rengifo

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 799 KB

english, 2010

12

Forecasting electricity demand in Japan: A Bayesian spatial autoregressive ARMA approach

Yoshihiro Ohtsuka, Takashi Oga, Kazuhiko Kakamu

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 515 KB

english, 2010

13

Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis

E. Rossi, F. Spazzini

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 427 KB

english, 2010

14

Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein–Uhlenbeck processes

J.E. Griffin, M.F.J. Steel

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 1.55 MB

english, 2010

15

Automated variable selection in vector multiplicative error models

Fabrizio Cipollini, Giampiero M. Gallo

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 537 KB

english, 2010

16

Joint forecasts of Dow Jones stocks under general multivariate loss function

Tansel Alp, Matei Demetrescu

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 496 KB

english, 2010

17

Modeling tick-by-tick realized correlations

Francesco Audrino, Fulvio Corsi

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 534 KB

english, 2010

18

Real time detection of structural breaks in GARCH models

Zhongfang He, John M. Maheu

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 1.27 MB

english, 2010

19

Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form

Jean-Marie Dufour, Abderrahim Taamouti

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 946 KB

english, 2010

20

Robust M-estimation of multivariate GARCH models

Kris Boudt, Christophe Croux

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 966 KB

english, 2010

21

On testing for serial correlation of unknown form using wavelet thresholding

Pierre Duchesne, Linyuan Li, Jill Vandermeerschen

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 590 KB

english, 2010

22

Public news announcements and quoting activity in the Euro/Dollar foreign exchange market

Walid Ben Omrane, Andréas Heinen

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 774 KB

english, 2010

23

Efficient parallelisation of Metropolis–Hastings algorithms using a prefetching approach

Ingvar Strid

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 681 KB

english, 2010

24

Wavelet-based detection of outliers in financial time series

Aurea Grané, Helena Veiga

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 750 KB

english, 2010

25

Efficient estimation of a semiparametric dynamic copula model

Christian M. Hafner, Olga Reznikova

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 3.66 MB

english, 2010

26

Tests for cointegration with structural breaks based on subsamples

James Davidson, Andrea Monticini

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 587 KB

english, 2010

27

A linearly distributed lag estimator with -convex coefficients

E.E. Vassiliou, I.C. Demetriou

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 526 KB

english, 2010

28

Efficient importance sampling maximum likelihood estimation of stochastic differential equations

S. Pastorello, E. Rossi

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 562 KB

english, 2010

29

Robust panel unit root tests for cross-sectionally dependent multiple time series

Dong Wan Shin, Sangun Park

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 510 KB

english, 2010

30

Forecasting volatility under fractality, regime-switching, long memory and student- innovations

Thomas Lux, Leonardo Morales-Arias

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 459 KB

english, 2010

31

Sparse seemingly unrelated regression modelling: Applications in finance and econometrics

Hao Wang

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 644 KB

english, 2010

32

Simple and effective boundary correction for kernel densities and regression with an application to the world income and Engel curve estimation

J. Dai, S. Sperlich

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 674 KB

english, 2010

33

Semiparametric indirect utility and consumer demand

Krishna Pendakur, Michael Scholz, Stefan Sperlich

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 463 KB

english, 2010

34

Factor-GMM estimation with large sets of possibly weak instruments

George Kapetanios, Massimiliano Marcellino

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 631 KB

english, 2010

35

Exact maximum likelihood estimation for non-stationary periodic time series models

Irma Hindrayanto, Siem Jan Koopman, Marius Ooms

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 645 KB

english, 2010

36

The Fifth Special Issue on Computational Econometrics

David A. Belsley, Pierre Duchesne, George Kapetanios, Erricos John Kontoghiorghes, Marc Paolella, Herman K. van Dijk

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 156 KB

english, 2010

37

Editorial Board

Journal:

Computational Statistics & Data Analysis

Year:

2010

Language:

english

File:

PDF, 178 KB

english, 2010

38

Volume 54; Issue 11

Computational Statistics & Data Analysis

Three-stage semi-parametric estimation of -copulas: Asymptotics, finite-sample properties and computational aspects

Tobit model with covariate dependent thresholds

Non-linear time series clustering based on non-parametric forecast densities

Exploratory data analysis and model criticism with posterior plots

Optimization heuristics for determining internal rating grading scales

Time-varying joint distribution through copulas

Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion

A regression tree algorithm for the identification of convergence clubs

Estimation uncertainty in structural inflation models with real wage rigidities

From short to long memory: Aggregation and estimation

Intradaily dynamic portfolio selection

Forecasting electricity demand in Japan: A Bayesian spatial autoregressive ARMA approach

Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis

Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein–Uhlenbeck processes

Automated variable selection in vector multiplicative error models

Joint forecasts of Dow Jones stocks under general multivariate loss function

Modeling tick-by-tick realized correlations

Real time detection of structural breaks in GARCH models

Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form

Robust M-estimation of multivariate GARCH models

On testing for serial correlation of unknown form using wavelet thresholding

Public news announcements and quoting activity in the Euro/Dollar foreign exchange market

Efficient parallelisation of Metropolis–Hastings algorithms using a prefetching approach

Wavelet-based detection of outliers in financial time series

Efficient estimation of a semiparametric dynamic copula model

Tests for cointegration with structural breaks based on subsamples

A linearly distributed lag estimator with -convex coefficients

Efficient importance sampling maximum likelihood estimation of stochastic differential equations

Robust panel unit root tests for cross-sectionally dependent multiple time series

Forecasting volatility under fractality, regime-switching, long memory and student- innovations

Sparse seemingly unrelated regression modelling: Applications in finance and econometrics

Simple and effective boundary correction for kernel densities and regression with an application to the world income and Engel curve estimation

Semiparametric indirect utility and consumer demand

Factor-GMM estimation with large sets of possibly weak instruments

Exact maximum likelihood estimation for non-stationary periodic time series models

The Fifth Special Issue on Computational Econometrics

Editorial Board

Contents