CFE-CMStatistics 2015 PROGRAMME AND ABSTRACTS 9th International Conference on Computational and Financial Econometrics (CFE 2015) http://www.cfenetwork.org/CFE2015 and 8th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (CMStatistics 2015) http://www.cmstatistics.org/CMStatistics2015 Senate House & Birkbeck University of London, UK 12 – 14 December 2015 Econometrics and Statistics http://CFEnetwork.org http://CMStatistics.org c CFE and CMStatistics networks. All rights reserved. I CFE-CMStatistics 2015 ISBN 978-9963-2227-0-4 c 2015 - CFE and CMStatistics networks Technical Editors: Angela Blanco-Fernandez and Gil Gonzalez-Rodriguez. 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 CFE and CMStatistics networks. All rights reserved. CFE-CMStatistics 2015 International Organizing Committee: Ana Colubi, Liudas Giraitis, Erricos Kontoghiorghes, Irini Moustaki, Zacharias Psaradakis, Berc Rustem and Herman Van Dijk. CFE 2015 Co-chairs: Richard T. Baillie, Jean-Pierre Urbain and Mike West. CFE 2015 Programme Committee: Manabu Asai, Tomaso Aste, Hilde C. Bjornlans, Peter Boswijk, Gianluca Cubadda, Manfred Deistler, Jean- Marie Dufour, Marco Gallegati, Christian Gourieroux, Jim Griffin, Marc Hallin, Alain Hecq, David Hendry, Robert Hudson, Degui Li, Zudi Lu, Richard Luger, Gael Martin, Gian Luigi Mazzi, Serena Ng, Yasuhiro Omori, Christopher Otrok, Michael Pitt, D.S.G. Pollock, Artem Prokhorov, Francesco Ravazzolo, Willi Semmler, Pierre Siklos, Mike Smith, Laura Spierdijk, Genaro Sucarrat, Carsten Trenkler, Peter Zadrozny and Jean-Michel Zakoian. ERCIM 2015 Co-chairs: Irene Gijbels, Mia Hubert, Byeong U. Park and Roy Welsch. ERCIM 2015 Programme Committee: Christophe Ambroise, Peter Buehlman, Ming-Yen Chen, Jeng-Min Chiou, Taeryion Choi, Herold Dehling, Aurore Delaigle, Fabrizio Durante, Yang Feng, Roland Fried, Piotr Fryzlewicz, Armelle Guillou, Sebastien Haneuse, Xuming He, Arnold Janssen, Jan Johannes, Mikyoung Jun, Robert Kohn, Soumendra Lahiri, Anto- nio Lijoi, Steve Marron, Hans-Georg Mueller, Hannu Oja, Davy Paindaveine, M. Carmen Pardo, Annie Qu, Holger Rootzen, Robert Serfling, Jian Qing Shi, Yanqing Sun, Ingrid Van Keilegom, Mattias Villani, Huixia Judy Wang, Ernst Wit, Hongtu Zhu, Jacobo de Una and David van Dyk. Local Organizer: Queen Mary University of London. Birkbeck University of London. Imperial College London. The London School of Economics and Political Science. CFEnetwork and CMStatistics. c CFE and CMStatistics networks. All rights reserved. III CFE-CMStatistics 2015 Dear Friends and Colleagues, We welcome you warmly to London, for the Ninth International Conference on Computational and Financial Econometrics (CFE 2015) and the Eighth International Conference of the ERCIM Working Group on Compu- tational and Methodological Statistics (CMStatistics 2015). As many of you know, this annual conference has become a leading joint international meeting for 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 2015 programme consists of 367 sessions, 5 plenary talks and over 1500 presentations. There are over 1650 participants. This is the biggest meeting so far of the conference series in terms of number of participants and presentations. 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 an 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 Commit- tee, 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 and Birkbeck University of London, UK. The new Elsevier journal, Econometrics and Statistics (EcoSta) is being inaugurated at the conference. The EcoSta is the official journal of the networks of Computational and Financial Econometrics (CFEnetwork) and of Compu- tational 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 Annals of Computational and Financial Econometrics. Looking forward, the CFE-ERCIM 2016 will be held at the University of Seville, Spain, from Friday 9 to Sunday 11 December 2016. Tutorials will take place on Thursday the 8th of December 2016. You are invited to participate actively 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 CFE and CMStatistics networks. All rights reserved. CFE-CMStatistics 2015 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 journals 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 1150 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, 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 700 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 CFE and CMStatistics networks. All rights reserved. V CFE-CMStatistics 2015 SCHEDULE 2015-12-12 2015-12-13 2015-12-14 Opening, 08:25 A - Keynote CFE L 08:40 - 09:30 G CFE - CMStatistics CFE - CMStatistics 08:30 - 10:10 08:45 - 10:25 B Opening, 09:50 CFE C - Keynote Coffee Break 09:40 - 10:55 CMStatistics Coffee Break 10:10 - 10:40 10:05 - 10:55 10:25 - 10:55 Coffee Break M 10:55 - 11:25 CFE - CMStatistics H 10:40 - 11:55 D CFE - CMStatistics CFE - CMStatistics 10:55 - 13:00 N - Keynote 11:25 - 13:05 CFE - CMStatistics 12:05 - 12:55 Lunch Break Lunch Break Lunch Break 13:05 - 14:25 13:00 - 14:30 12:55 - 14:30 O E I CFE - CMStatistics CFE - CMStatistics CFE - CMStatistics 14:30 - 15:50 14:25 - 16:05 14:30 - 16:10 Coffee Break Coffee Break Coffee Break 15:50 - 16:20 16:05 - 16:35 16:10 - 16:40 P J CFE - CMStatistics F CFE - CMStatistics 16:20 - 18:00 CFE - CMStatistics 16:40 - 18:20 16:35 - 18:40 Q - Keynote K - Keynote