CFE-CMStatistics 2016 PROGRAMME AND ABSTRACTS 10th International Conference on Computational and Financial Econometrics (CFE 2016) http://www.cfenetwork.org/CFE2016 and 9th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (CMStatistics 2016) http://www.cmstatistics.org/CMStatistics2016 Higher Technical School of Engineering, University of Seville, Spain 9 – 11 December 2016 c CFE and CMStatistics networks. All rights reserved. I CFE-CMStatistics 2016 ISBN 978-9963-2227-1-1 c 2016 - 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 2016 International Organizing Committee: Ana Colubi, Stella Hadjiantoni, M. Dolores Jimenez-Gamero, Erricos Kontoghiorghes, George Loizou and Herman Van Dijk. CFE 2016 Co-chairs: Peter Boswijk, Jianqing Fang, Alain Hecq, Michael Smith. CFE 2016 Programme Committee: Alessandra Amendola, Ansgar Belke, Monica Billio, Josep Lluis Carrion-i-Silvestre, Roberto Casarin, Veronika Czellar, Serge Darolles, Manfred Deistler, Jean-David Fermanian, Sylvia Fruehwirth-Schnatter, Marc Hallin, Matthew Harding, Jan Jacobs, Menelaos Karanasos, Daniel Kaufmann, Robert Kunst, Degui Li, Marco Lippi, Zudi Lu, Luis Filipe Martins, Gian Luigi Mazzi, Tucker McElroy, J Isaac Miller, Bent Nielsen, Yasuhiro Omori, Michael Owyang, Gareth Peters, Michael Pitt, Stephen Pollock, Tommaso Proi- etti, Artem Prokhorov, Anders Rahbek, Francesco Ravazzolo, Jeroen Rombouts, Eduardo Rossi, Christos Savva, Willi Semmler, Laura Spierdijk, Giuseppe Storti, Jonathan Stroud, Genaro Sucarrat, Jean-Pierre Ur- bain, Shaun Vahey, Helena Veiga, Carlos Velasco, Helga Wagner, Martin Wagner, Toshiaki Watanabe and Peter Winker. CMStatistics 2016 Co-chairs: Jianqing Fang, Jeng-Ming Chiou, Armelle Guillou and Mattias Villani. CMStatistics 2016 Programme Committee: Christophe Ambroise, Tatiyana Apanasovich, Moulinath Banerjee, Yves Berger, Mauro Bernardi, Eric Beut- ner, Roel Braekers, Eva Cantoni, Guang Cheng, Ming-Yen Cheng, Yu Cheng, Michael Daniels, Herold Dehling, Aurore Delaigle, Sebastian Doehler, Takeshi Emura, Michael Falk, Maria Brigida Ferraro, Roland Fried, Giuliano Galimberti, Laurent Gardes, Irene Gijbels, Ivette Gomes, Gil Gonzalez-Rodriguez, Prze- myslaw Grzegorzewski, Christopher Hans, Marina Knight, Ivan Kojadinovic, Fumiyasu Komaki, Jens-Peter Kreiss, Chenlei Leng, Christophe Ley, Catherine Chunling Liu, Jesus Lopez-Fidalgo, Marloes Maathuis, Alireza Mahani, Alfio Marazzi, Giovanni Marchetti, Lola Martinez-Miranda, Geoffrey McLachlan, Paul Mc- Nicholas, Alicia Nieto-Reyes, Klaus Nordhausen, Davy Paindaveine, Markus Pauly, Juan Eloy Ruiz-Castro, Anne Ruiz-Gazen, Laura Sangalli, Robert Serfling, Leopold Simar, Stefan Sperlich, Jianguo Sun, Yanqing Sun, Valentin Todorov, Stefan Van Aelst, Ingrid Van Keilegom, Thomas Verdebout, Tim Verdonck, Daniel Vogel, Huixia Judy Wang, Jane-Ling Wang, Lan Wang, Nanny Wermuth, Liming Xiang, Hao Helen Zhang, Jacobo de Una-Alvarez and David van Dyk. c CFE and CMStatistics networks. All rights reserved. III CFE-CMStatistics 2016 Dear Friends and Colleagues, We welcome you warmly to Seville, for the Tenth International Conference on Computational and Financial Econometrics (CFE 2016) and the Ninth International Conference of the ERCIM Working Group on Computational and Methodological Statistics (CMStatistics 2016). 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 2016 programme consists of 351 sessions, 5 plenary talks and about 1450 presentations. There are over 1550 participants. This is one to the biggest meetings of the conference series in terms of number of participants and presentations. The growth of the confer- ence 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 University of Seville, Spain. Looking forward, the CFE-CMStatistics 2017 will be held at the Senate House, University of London and Birkbeck University of London, UK, from Saturday the 16th to Monday the 18th of December 2017. Tutorials will take place on Friday the 15th of December 2017. You are invited and encouraged to actively participate in these events. We wish you a productive, stimulating conference and a memorable stay in Seville. 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 2016 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 1650 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 CFE and CMStatistics networks. All rights reserved. V CFE-CMStatistics 2016 SCHEDULE 2016-12-09 2016-12-10 2016-12-11 Opening, 08:30 A - Keynote CMStatistics 08:40 - 09:30 G L CFE - CMStatistics CFE - CMStatistics 08:40 - 10:20 08:40 - 10:20 B Opening, 09:55 CMStatistics C - Keynote 09:40 - 10:55 CFE Coffee Break Coffee Break 10:05 - 10:55 10:20 - 10:50 10:20 - 10:50 Coffee Break 10:55 - 11:25 M CFE - CMStatistics H 10:50 - 12:05 CFE - CMStatistics D 10:50 - 12:55 CFE - CMStatistics 11:25 - 13:05 N - Keynote CFE - CMStatistics 12:15 - 13:05 Lunch Break Lunch Break Lunch Break 12:55 - 14:25 13:05 - 14:35 13:05 - 14:30 I O E CFE - CMStatistics CFE - CMStatistics CFE - CMStatistics 14:25 - 16:05 14:30