CFE-CMStatistics 2017 PROGRAMME AND ABSTRACTS 11th International Conference on Computational and Financial Econometrics (CFE 2017) http://www.cfenetwork.org/CFE2017 and 10th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (CMStatistics 2017) http://www.cmstatistics.org/CMStatistics2017 Senate House & Birkbeck University of London, UK 16 – 18 December 2017 ⃝c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. I CFE-CMStatistics 2017 ISBN 978-9963-2227-4-2 ⃝c 2017 - ECOSTA ECONOMETRICS AND STATISTICS Technical Editors: Gil Gonzalez-Rodriguez and Marc Hofmann. 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 2017 International Organizing Committee: Ana Colubi, Erricos Kontoghiorghes, Marc Levene, Bernard Rachet, Herman Van Dijk. CFE 2017 Co-chairs: Veronika Czellar, Hashem Pesaran, Mike Pitt and Stefan Sperlich. CFE 2017 Programme Committee: Knut Are Aastveit, Alessandra Amendola, Josu Arteche, Monica Billio, Roberto Casarin, Gianluca Cubadda, Manfred Deistler, Jean-Marie Dufour, Ekkehard Ernst, Jean-David Fermanian, Catherine Forbes, Philip Hans Franses, Marc Hallin, Alain Hecq, David Hendry, Benjamin Holcblat, Jan Jacobs, Degui Li, Alessandra Luati, Richard Luger, J Isaac Miller, Claudio Morana, Bent Nielsen, Juan-Pablo Ortega, Michael Owyang, Gareth Peters, Cesare Robotti, Paulo Rodrigues, Jeroen Rombouts, Olivier Scaillet, Peter Siklos, Robert Taylor, Carlos Velasco, Martin Wagner and Jean-Michel Zakoian. CMStatistics 2017 Co-chairs: Bertrand Clarke, Steven Gilmour, Michele Guindani and Leopold Simar. CMStatistics 2017 Programme Committee: Peter Buehlman, Guang Cheng, Jeng-Min Chiou, Stephane Chretien, Harry Crane, Christophe Croux, Michael Daniels, Xavier De Luna, Herold Dehling, Fabrizio Durante, John Einmahl, Piotr Fryzlewicz, Yulia Gel, Armelle Guillou, Christopher Hans, Siegfried Hormann, Stephan Huckemann, Marie Huskova, Timothy Johnson, Ivan Kojadinovic, Tatyana Krivobokova, Clifford Lam, Carlos Lamarche, Christophe Ley, Marloes Maathuis, Paul McNicholas, Thomas Valentin Mikosch, Domingo Morales, Davy Paindaveine, Marco Riani, Juan Romo, Holger Rootzen, Jason Roy, Armin Schwartzman, Ana-Maria Staicu, Francisco Stingo, Stefan Van Aelst, Ingrid Van Keilegom, Tim Verdonck, Mattias Villani, Andrew T. Walden, Jane-Ling Wang, Nanny Wermuth and David van Dyk. Local Organizer: Birkbeck University of London. CFEnetwork and CMStatistics. ⃝c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. III CFE-CMStatistics 2017 Dear Friends and Colleagues, We welcome you warmly to London, for the Eleventh International Conference on Computational and Financial Econometrics (CFE 2017) and the Tenth International Conference of the ERCIM Working Group on Computational and Methodological Statistics (CMStatistics 2017). As many of you know, 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 2017 programme consists of 375 sessions, 5 plenary talks and over 1550 presentations. There are about 1700 participants. Once more, this is the biggest meeting of the conference series in terms of number of participants and presentations. The growth of the conference in terms of size and quality 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 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 Birkbeck University of London, UK. The Elsevier journal, Econometrics and Statistics (EcoSta) has being inaugurated at the previous 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 econo- metrics 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 Annals of Computational and Financial Econometrics. Looking forward, the CFE-CMStatistics 2018 will be held at the University of Pisa, Italy, from Friday the 14th to Sunday the 16th of December 2018. Tutorials will take place on Thursday the 13th of December 2018. You are invited and encouraged to actively participate in these events. We wish you a productive, stimulating conference and a memorable stay in London. 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 2017 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 2017 SCHEDULE 2017-12-15 2017-12-16 2017-12-17 2017-12-18 Opening, 08:25 A - Keynote CMStatistics2017 08:40 - 09:30 G L CFE2017 - CMStatistics2017 CFE2017 - CMStatistics2017 08:40 - 10:20 08:40 - 10:20 B Opening, 09:50 CMStatistics2017 C - Keynote 09:40 - 10:55 CFE2017 Coffee Break Coffee Break 10:05 - 10:55 10:20 - 10:50 10:20 - 10:50 Coffee Break 10:55 - 11:25 H M CFE2017 - CMStatistics2017 CFE2017 - CMStatistics2017 D 10:50 - 12:55 10:50 - 12:55 CFE2017 - CMStatistics2017 11:25 - 13:05 Lunch Break Lunch Break Lunch Break 12:55 - 14:25 12:55 - 14:25 13:05 - 14:35 N - Keynote CFE2017 - CMStatistics2017 I 14:25 - 15:15 E CFE2017 - CMStatistics2017 CFE2017