Computational and Financial Econometrics (CFE 2018)
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CFE-CMStatistics 2018 PROGRAMME AND ABSTRACTS 12th International Conference on Computational and Financial Econometrics (CFE 2018) http://www.cfenetwork.org/CFE2018 and 11th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (CMStatistics 2018) http://www.cmstatistics.org/CMStatistics2018 University of Pisa, Italy 14 – 16 December 2018 c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. I CFE-CMStatistics 2018 ISBN 978-9963-2227-5-9 c 2018 - 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 2018 International Organizing Committee: Ana Colubi, Erricos Kontoghiorghes, Herman Van Dijk and Caterina Giusti. CFE 2018 Co-chairs: Alessandra Amendola, Michael Owyang, Dimitris Politis and Toshiaki Watanabe. CFE 2018 Programme Committee: Francesco Audrino, Christopher Baum, Monica Billio, Christian Brownlees, Laura Coroneo, Richard Fairchild, Luca Fanelli, Lola Gadea, Alain Hecq, Benjamin Holcblat, Rustam Ibragimov, Florian Ielpo, Laura Jackson, Robert Kohn, Degui Li, Alessandra Luati, Svetlana Makarova, Claudio Morana, Teruo Nakatsuma, Yasuhiro Omori, Alessia Paccagnini, Sandra Paterlini, Ivan Paya, Christian Proano, Artem Prokhorov, Arvid Raknerud, Joern Sass, Willi Semmler, Etsuro Shioji, Genaro Sucarrat, Robert Taylor, Martin Wagner, Peter Winker and Jean-Michel Zakoian. CMStatistics 2018 Co-chairs: Miguel de Carvalho, John Einmahl, Timothy Johnson and Marco Riani. CMStatistics 2018 Programme Committee: Ana Maria Aguilera, Alexander Aue, Adelchi Azzalini, Arne Bathke, Jan Beirlant, Veronica Berrocal, Mal- gorzata Bogdan, Efstathia Bura, Silvia Cagnone, Yu Cheng, Jeng-Min Chiou, Stephane Chretien, Bertrand Clarke, Harry Crane, Claudia Czado, Michael Daniels, Herold Dehling, Fabrizio Durante, Jochen Einbeck, Roland Fried, Pedro Galeano, Yulia Gel, Michele Guindani, Christopher Hans, Hyokyoung Grace Hong, Salvatore Ingrassia, Maria Iorio, Keith Knight, Carlos Lamarche, Thomas Lee, Christophe Ley, Xabier Luna, Marloes Maathuis, Alfio Marazzi, Lola Martinez-Miranda, Geoffrey McLachlan, George Michailidis, Domingo Morales, Jeffrey Morris, Hernando Ombao, Davy Paindaveine, Byeong Park, Taesung Park, Igor Pruenster, Juan Romo, Holger Rootzen, Peter Rousseeuw, Jason Roy, Matteo Ruggiero, Thomas Scheike, Armin Schwartzman, Gilles Stupfler, Ingrid Van Keilegom, Tim Verdonck, Maria-Pia Victoria-Feser, Huixia Judy Wang, Jane-Ling Wang, Nanny Wermuth, Yichao Wu, Tingting Zhang, Chen Zhou and David van Dyk. Local Organizer: University of Pisa c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. III CFE-CMStatistics 2018 Dear Friends and Colleagues, We welcome you warmly to Pisa, for the 12th International Conference on Computational and Financial Econo- metrics (CFE 2018) and the 11th International Conference of the ERCIM Working Group on Computational and Methodological Statistics (CMStatistics 2018). This annual conference has become a leading joint international meeting at the interface of statistics, econometrics, 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 2018 programme consists of about 350 sessions, 5 plenary talks and 1440 presentations. There are about 1550 participants. The size and quality of the conference makes it undoubtedly one of the most important international scientific events in the field. 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 university 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 the University of Pisa. The Elsevier journal, Econometrics and Statistics (EcoSta), has been inaugurated at previous editions of this conference. 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 encouraged to submit their papers to special or regular peer-reviewed issues of EcoSta and its supplement, the Annals of Computational and Financial Econometrics. Looking forward, the CFE-CMStatistics 2019 will be held at the Senate House University of London, UK, from Saturday the 14th to Monday the 16th of December 2019. Tutorials will take place on Friday the 13th of December 2019. You are invited and encouraged to actively participate in these events. We wish you a productive, stimulating conference and a memorable stay in Pisa. Ana Colubi, Erricos J. Kontoghiorghes and Herman K. Van Dijk: coordinators of CMStatistics & CFEnetwork. IV c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. CFE-CMStatistics 2018 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 1750 members and the following specialized teams BM: Bayesian Methodology MM: Mixture Models CODA: Complex data structures and Object Data Analysis MSW: Multi-Set and multi-Way models CPEP: Component-based methods for Predictive and Ex- NPS: Non-Parametric Statistics ploratory Path modeling OHEM: Optimization Heuristics in Estimation and Modelling DMC: Dependence Models and Copulas RACDS: Robust Analysis of Complex Data Sets DOE: Design Of Experiments SAE: Small Area Estimation EF: Econometrics and Finance SAET: Statistical Analysis of Event Times GCS: General Computational Statistics WG CMStatistics SAS: GMS: General Methodological Statistics WG CMStatistics Statistical Algorithms and Software GOF: Goodness-of-Fit and Change-Point Problems 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 Models SSEF: Statistical Signal Extraction and Filtering MCS: Matrix Computations and Statistics 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 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. Specialized teams Currently the CFEnetwork has over 1000 members and the following specialized teams AE: Applied Econometrics ET: Econometric Theory BE: Bayesian Econometrics FA: Financial Applications BM: Bootstrap Methods FE: Financial Econometrics CE: Computational Econometrics TSE: Time Series Econometrics 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 2018 CFE-CMStatistics 2018 - Interactive Programme 2018-12-14 2018-12-15 2018-12-16 Opening, 08:50 - 09:00 K - Keynote A - Keynote F CFE - CMStatistics CFE - CMStatistics CFE - CMStatistics 08:45 - 09:35 09:00 - 09:50 08:45 - 10:05 Coffee Break Coffee Break 09:35 - 10:05 09:50 - 10:20 Coffee Break 10:05 - 10:35 B L CFE - CMStatistics CFE - CMStatistics 10:20 - 12:00 G 10:05 - 12:10 CFE - CMStatistics 10:35 - 12:40 C - Keynote CFE - CMStatistics M - Keynote 12:10 - 13:00 CFE - CMStatistics 12:20 - 13:10 Lunch Break 12:40 - 14:10 Lunch Break Lunch Break 13:00 - 14:40 13:10 - 14:40 H CFE - CMStatistics D 14:10 - 15:50 N CFE - CMStatistics CFE - CMStatistics 14:40 - 16:20 14:40 - 16:20 Coffee