CFE-ERCIM 2013 PROGRAMME AND ABSTRACTS 7th International Conference on Computational and Financial Econometrics (CFE 2013) http://www.cfenetwork.org/CFE2013 and 6th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (ERCIM 2013) http://www.cmstatistics.org/ERCIM2013 Senate House, University of London, UK 14-16 December 2013 http://www.qmul.ac.uk http://www.bbk.ac.uk http://www.lse.ac.uk CMStatistics c I CFE-ERCIM 2013 International Organizing Committee: Ana Colubi, Irini Moustaki, Erricos J. Kontoghiorghes, George Loizou and Peter Winker. CFE 2013 Co-chairs: Jean-Marie Dufour, John Galbraith, Michel Juillard, Gary Koop and Stefan Mittnik. CFE 2013 Programme Committee: A. Amendola, L. Bauwens, F. Bec, M. Billio, C.W.S. Chen, C. Franq, A.-M. Fuertes, D. Guegan, A. Harvey, M. Haas, A. Hecq, J. Hidalgo, L. Khalaf, S.J. Koopman, J. Maheu, Y. Omori, M.H. Pesaran, C. Pigorsch, J.- Y. Pitarakis, D.S.G. Pollock, T. Proietti, M. Reale, L. Reichlin, J.V.K. Rombouts, S. Sanfelici, W. Semmler, M.K.P. So, L. Soegner, M. Steel, L. Stentoft, G. Storti, E. Tzavalis, D. Veredas, M. Wagner, P. Zadrozny, J.M. Zakoian and Z. Zhang. ERCIM 2013 Co-chairs: Xuming He, Elvezio Ronchetti and Alastair Young. ERCIM 2013 Programme Committee: S.E. Ahmed, A.M. Alonso, C. Anagnostopoulos, A.C. Atkinson, S. Azen, P. Buehlmann, G. Celeux, A. Christmann, M. Falk, R. Fried, E. Gallopoulos, A. Gandy, L.A. Garcia-Escudero, C. Gatu, R. Gerlach, M. Gilli, M.I. Gomes, G. Gonzalez-Rodriguez, A. Gordaliza, M. Hubert, T. Kneib, J.C. Lee, A. Lijoi, J. Lopez- Fidalgo, A. Mayo, G. McLachlan, H.-G. Mueller, A. Nieto-Reyes, H. Oja, D. Paindaveine, M.C. Pardo, S. Paterlini, I. Pruenster, M. Riani, M. Villani, S. Van Aelst, I. Van Keilegom, S. Walker and R. Zamar. Local Organizer: Department of Economics, Queen Mary, University of London, UK. Department of Statistics, London School of Economics, UK. Birkbeck, University of London, UK. II CMStatistics c CFE-ERCIM 2013 Dear Friends and Colleagues, We warmly welcome you to London, for the Seventh International Conference on Computational and Financial Econometrics (CFE 2013) and the Sixth International Conference of the ERCIM Working Group on Computational and Methodological Statistics (ERCIM 2013). As many of you know, this annual conference has been established as a leading joint international meeting for the interface of computing, empirical finance, econometrics and statis- tics. The conference aims at bringing together researchers and practitioners to discuss recent developments in computa- tional methods for economics, finance, and statistics. The CFE-ERCIM 2013 programme consists of 270 sessions, 5 plenary talks and over 1100 presentations. There are over 1200 participants. The founder editor of the journal Computational Statistics & Data Analysis (CSDA) Stanley Azen and co-editor Jae Chang Lee are being honoured during the conference dinner for their dedication and editorial work. 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 conference venue will provide the appropriate environment to enhance your contacts and to establish new ones. The conference is a collective effort by many individuals and organizations. The Scientific Programme Committee, the Session Organizers, the local hosting universities and many volunteers have contributed substantially to the organization of the conference. We acknowledge their work and the support of our hosts and sponsors, and particularly Queen Mary University of London, Birkbeck University of London, London School of Economics, Liberbank, Elsevier and ERCIM. Looking forward, the CFE-ERCIM 2014 will be held at the University of Pisa, Italy, from Saturday, 6 to Monday, 8 December 2014. You are invited and encouraged to actively participate in these events. We wish you a productive, stimulating conference and a memorable stay in London. The CFE-ERCIM 2013 co-chairs and the International Organizing Committee. CMStatistics c III CFE-ERCIM 2013 ERCIM Working Group on COMPUTATIONAL AND METHODOLOGICAL STATISTICS http://www.cmstatistics.org AIMS AND SCOPE The working group (WG) CMStatistics focuses on all computational and methodological aspects of statis- tics. Of particular interest is research in important statistical applications areas where both computational and/or methodological aspects have a major impact. The aim is threefold: first, to consolidate the research in computational and methodological statistics that is scattered throughout Europe; second, to provide researches with a network from which they can obtain an unrivalled sources of information about the most recent developments in computational and methodological statistics as well as its applications; third, to edit quality publications of high impact and significance in the broad interface of computing, methodolog- ical statistics and its applications. The scope of the WG is broad enough to include members in all areas of methododological statistics and those of computing that have an impact on statistical techniques. Applications of statistics in diverse disciplines are strongly represented. These areas include economics, medicine, epidemiology, biology, finance, physics, chemistry, climatology and communication. The range of topics addressed and the depth of coverage establish the WG as an essential research network in the interdisciplinary area of advanced computational and methodological statistics. The WG comprises a number of specialized teams in various research areas of computational and method- ological 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 journals special issues (currently for the Journal of Computational Statistics & Data Analysis). Specialized teams Currently the ERCIM WG has over 800 members and the following specialized teams BM: Bayesian Methodology MCS: Matrix Computations and Statistics CODA: Complex data structures and Object Data MM: Mixture Models Analysis MSW: Multi-Set and multi-Way models CPEP: Component-based methods for Predictive NPS: Non-Parametric Statistics and Exploratory Path modeling OHEM: Optimization Heuristics in Estimation and DMC: Dependence Models and Copulas Modelling DOE: Design Of Experiments RACDS: Robust Analysis of Complex Data Sets EF: Econometrics and Finance SAE: Small Area Estimation GCS: General Computational Statistics WG SAET: Statistical Analysis of Event Times CMStatistics SAS: Statistical Algorithms and Software GMS: General Metholological Statistics WG CMStatistics SEA: Statistics of Extremes and Applications HDS: High-Dimensional statistics SFD: Statistics for Functional Data ISDA: Imprecision in Statistical Data Analysis SL: Statistical Learning LVSEM: Latent Variable and Structural Equation SSEF: Statistical Signal Extraction and Filtering Models TSMC: Times Series Modelling and Computation 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 web site), or by email at [email protected]. IV CMStatistics c CFE-ERCIM 2013 CFEnetwork COMPUTATIONAL AND FINANCIAL ECONOMETRICS http://www.CFEnetwork.org AIMS AND SCOPE Computational and Financial Econometrics (CFEnetwork) is an autonomous subgroup linked to CMStatistics. This network will enhance the interface of theoretical and applied econometrics, finan- cial econometrics and computation in order to advance a powerful interdisciplinary research field with immediate applications. The aim is first, to promote research in computational and financial economet- rics; second, to provide researches with a network from which they can obtain an unrivalled sources of information about the most recent developments in computational and financial econometrics as well as its applications; third, to edit quality publications of high impact and significance. Computational and financial econometrics comprise a broad field that has clearly interested a wide variety of researchers in economics, finance, statistics, mathematics and computing. Examples include estimation and inference on econometric models, model selection, panel data, measurement error, Bayesian methods, time series analyses, portfolio allocation, option pricing, quantitative risk management, systemic risk and market microstructure, to name but a few. While such studies are often theoretical, they can also have a strong empirical element and often have a significant computational aspect dealing with issues like high- dimensionality and large number of observations. Algorithmic developments are also of interest since existing algorithms often do not utilize the best computational techniques for efficiency, stability, or con- ditioning. So also are developments of environments for conducting econometrics, which are inherently computer based. Integrated econometrics packages have grown well over the years, but still have much room for development. The CFEnetwork comprises a number of specialized teams in various research areas of computational and financial econometrics. The teams contribute to the activities of the network by organizing sessions, tracks and tutorials during the annual CFEnetwork meetings, editing special