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CFE-CMStatistics 2020 PROGRAMME AND ABSTRACTS 14th International Conference on Computational and Financial Econometrics (Virtual CFE 2020) http://www.cfenetwork.org/CFE2020 and 13th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (Virtual CMStatistics 2020) http://www.cmstatistics.org/CMStatistics2020 19 – 21 December 2020 Computational and Methodological Statistics CMStatistics Computational and CFENetwork Financial Econometrics ⃝c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. I CFE-CMStatistics 2020 ISBN 978-9963-2227-9-7 ⃝c 2020 - ECOSTA ECONOMETRICS AND STATISTICS All rights reserved. No part of this book may be reproduced, stored in a retrieval system, or transmitted, in any other form or by any means without the prior permission from the publisher. II ⃝c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. CFE-CMStatistics 2020 International Organizing Committee: Ana Colubi, Erricos Kontoghiorghes and Manfred Deistler. CFE 2020 Co-chairs: Anurag Banerjee, Scott Brave, Peter Pedroni and Mike So. CFE 2020 Programme Committee: Knut Are Aastveit, Alessandra Amendola, David Ardia, Josu Arteche, Anindya Banerjee, Travis Berge, Mon- ica Billio, Raffaella Calabrese, Massimiliano Caporin, Julien Chevallier, Serge Darolles, Luca De Angelis, Filippo Ferroni, Ana-Maria Fuertes, Massimo Guidolin, Harry Haupt, Masayuki Hirukawa, Benjamin Hol- cblat, Rustam Ibragimov, Laura Jackson Young, Michel Juillard, Edward Knotek, Robinson Kruse-Becher, Svetlana Makarova, Ilia Negri, Ingmar Nolte, Jose Olmo, Yasuhiro Omori, Jesus Otero, Michael Owyang, Alessia Paccagnini, Indeewara Perera, Jean-Yves Pitarakis, Tommaso Proietti, Artem Prokhorov, Tatevik Sekhposyan, Etsuro Shioji, Michael Smith, Robert Taylor, Martin Wagner and Ralf Wilke. CMStatistics 2020 Co-chairs: Tapabrata Maiti, Sofia Olhede, Michael Pitt, Cheng Yong Tang and Tim Verdonck. CMStatistics 2020 Programme Committee: Julyan Arbel, Raffaele Argiento, Andreas Artemiou, Arnab Bhattacharjee, Yuguo Chen, Radu Craiu, Marzia A Cremona, Mike Daniels, Peng Ding, Yuexiao Dong, Fabrizio Durante, Marco Ferreira, Konstantinos Fokianos, Irina Gaynanova, Jeff Goldsmith, Gil Gonzalez-Rodriguez, Alessandra Guglielmi, Jan Hannig, Christopher Hans, Jiashun Jin, Kshitij Khare, Claudia Kirch, Olga Klopp, Thomas Kneib, Keith Knight, Eric Kolaczyk, Yoonkyung Lee, Chenlei Leng, Christophe Ley, Zeda Li, Zhigang Li, George Michailidis, Ursula Mueller, Kalliopi Mylona, Hernando Ombao, Anna K Panorska, Agnese Panzera, Marianna Pensky, Elisa Perrone, Mario Peruggia, Denys Pommeret, Igor Pruenster, Peter Rousseeuw, Juan Eloy Ruiz-Castro, Rajen Shah, Sanjoy Sinha, Dongchu Sun, Masayuki Uchida, Mattias Villani, HaiYing Wang, Tongtong Wu, Tingting Zhang, Wenyang Zhang, Xiaoke Zhang, Jiwei Zhao, Ricardas Zitikis and Xavier de Luna. Local Organizer: King’s Business School and King’s Department of Mathematics. CFEnetwork and CMStatistics. ⃝c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. III CFE-CMStatistics 2020 Dear Friends and Colleagues, We are delighted to have the opportunity to meet virtually in these difficult times. This year we are passing through extraordinary events that are significantly affecting our personal and professional lives. Until September 2020 we were still planning to hold part of the conference in-person. However due to the Covid-19 pandemic we were forced to have the whole conference hosted virtually. Despite the organization challenges caused by these changes in such a short time, we are happy to welcome warmly the over 1100 participants. More than ever, we acknowledge the efforts of all those involved in the conference, especially the session organizers, who had to rebuild their sessions to adapt to the online requirements. The 14th International Conference on Computational and Financial Econometrics (CFE 2020) and the 13th Inter- national Conference of the ERCIM Working Group on Computational and Methodological Statistics (CMStatistics 2020) have shown, once again, the relevance of the CFE-CMStatistics meetings at the interface of statistics, econo- metrics, empirical finance and computing. The conference aims at bringing together researchers and practitioners to discuss recent developments in compu- tational methods for economics, finance, and statistics. The CFE-CMStatistics 2020 programme consists of 250 sessions, five plenary talks and about 1000 presentations. There are over 1100 participants. The co-chairs have endeavoured to provide a balanced and stimulating programme that will appeal to the diverse interests of the participants. The international organizing committee hopes that the virtual conference will pro- vide an appropriate environment to communicate effectively with colleagues, in many cases, for the first time in months. The conference is a collective effort by many individuals and organizations. The Scientific Programme Committee, the Session Organizers, the supporting universities and many agents have contributed substantially to the organization of the conference. We acknowledge their work and the support of our networks. The Elsevier journal Econometrics and Statistics (EcoSta) has been inaugurated in 2017. The EcoSta is the official journal of the networks of Computational and Financial Econometrics (CFEnetwork) and of Computational and Methodological Statistics (CMStatistics). It publishes research papers in all aspects of econometrics and statistics, and it comprises two sections, namely, Part A: Econometrics and Part B: Statistics. The participants are encour- aged to submit their papers to special or regular peer-reviewed issues of EcoSta and its supplement Annals of Computational and Financial Econometrics. The CMStatistics has also commenced The Annals of Statistical Data Science (SDS) which will be published as a supplement of the Elsevier journal Computational Statistics & Data Analysis (CSDA). The CSDA is also the official journal of CMStatistics. You are encouraged to submit your papers to the Annals of Statistical Data Science or regular peer-reviewed issues of CSDA. Looking forward, the CFE-CMStatistics 2021 will be held at King’s College London, from Saturday the 18th of December 2021 to Monday the 20th of December 2021. Tutorials will take place on Thursday the 17th of December 2021. You are invited and encouraged to participate in these events actively. We wish you a productive and stimulating virtual conference. Ana Colubi, Erricos J. Kontoghiorghes and Manfred Deistler Coordinators of CMStatistics & CFEnetwork and EcoSta. IV ⃝c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. CFE-CMStatistics 2020 CMStatistics: ERCIM Working Group on COMPUTATIONAL AND METHODOLOGICAL STATISTICS http://www.cmstatistics.org The working group (WG) CMStatistics comprises a number of specialized teams in various research areas of computational and methodological statistics. The teams act autonomously within the framework of the WG in order to promote their own research agenda. Their activities are endorsed by the WG. They submit research proposals, organize sessions, tracks and tutorials during the annual WG meetings and edit journal special issues. The Econometrics and Statistics (EcoSta) and Computational Statistics & Data Analysis (CSDA) are the official journals of the CMStatistics. Specialized teams Currently the ERCIM WG has over 1900 members and the following specialized teams BIO: Biostatistics NPS: Non-Parametric Statistics BS: Bayesian Statistics RS: Robust Statistics DMC: Dependence Models and Copulas SA: Survival Analysis DOE: Design Of Experiments SAE: Small Area Estimation FDA: Functional Data Analysis SDS: Statistical Data Science: Methods and Computations HDS: High-Dimensional Statistics IS: Imprecision in Statistics SEA: Statistics of Extremes and Applications LVSEM: Latent Variable and Structural Equation Models SL: Statistical Learning MM: Mixture Models TSMC: Times Series You are encouraged to become a member of the WG. For further information please contact the Chairs of the specialized groups (see the WG’s website), or by email at [email protected]. CFEnetwork COMPUTATIONAL AND FINANCIAL ECONOMETRICS http://www.CFEnetwork.org The Computational and Financial Econometrics (CFEnetwork) comprises a number of specialized teams in various research areas of theoretical and applied econometrics, financial econometrics and computation, and empirical finance. The teams contribute to the activities of the network by organizing sessions, tracks and tutorials during the annual CFEnetwork meetings, and by submitting research proposals. Furthermore, the teams edit special issues currently published under the Annals of CFE. The Econometrics and Statistics (EcoSta) is the official journal of the CFEnetwork. Currently, the CFEnetwork has over 1100 members. You are encouraged to become a member of the CFEnetwork. For further information please see the website or contact by email at [email protected]. ⃝c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. V CFE-CMStatistics 2020 SCHEDULE (GMT) 2020-12-19 2020-12-20 2020-12-21 A - Keynote M CFE - CMStatistics CFE - CMStatistics 08:45 - 09:45 G 08:45 - 10:00 CFE - CMStatistics 08:45 - 10:50 B CFE - CMStatistics 09:55 - 11:35 N CFE - CMStatistics H 10:10 - 12:15 CFE - CMStatistics C - Keynote 11:00 - 12:15 CFE - CMStatistics 11:45 - 12:35 Networking Lunch Break Networking Lunch Break 12:15 - 13:15 Networking Lunch Break 12:15 - 13:35 12:35 - 13:35 O - Keynote CFE - CMStatistics
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