Home › Publications

Publications for 2007

  • M. Atlan, H. Geman, D. B. Madan, M. Yor (2007), “Correlation and the Pricing of Risks”, Annals of Finance, p. 411-453.
  • F. Battaglia (2007), “Metodi di previsione statistica”, Springer Verlag.
  • R. Baragona, F. Battaglia (2007), “Outliers Detection in Multivariate Time Series by Independent Component Analysis”, Neural Computation archive, Volume 19, Issue 7, p. 1962-1984, MIT Press.
  • R. Baragona, F. Battaglia (2007), “Outliers in Dynamic Factor Models”, Electronic Journal of Statistics, 1, p. 392-432.
  • D. A. Behrens, R. Neck (2007), “OPTGAME: An Algorithm Approximating Solutions for Multi-Player Difference Games”, in: K. Elleithy (Ed.), Advances and Innovations in Systems, Computing Sciences and Software Engineering, Dordrecht, 93–98.
  • D. A. Behrens, R. Neck (2007), “Approximating Equilibrium Solutions for Multi-Player Difference Games Using the OPTGAME Algorithm”, (accepted for publication in JOTA).
  • D. Belsley, E. Kontoghiorghes, J. Magnus (2007), “The Third Special Issue on Computational Econometrics“, Computational Statistics & Data Analysis, Elsevier, Vol. 51(7), p. 3258-viii, April.
  • W. Bessler, C. Bittelmeyer (2007), “Performance and Survival of Technology Firms: The Impact of Intellectual Property”, in: Michael Dowling and Jürgen Schmude (Eds.), Empirical Entrepreneurship in Europe: New Perspectives, Cheltenham: Edward Elgar, 155-176.
  • W. Bessler, C. Becker, D. Wagner (2007), „Ausgestaltung und Anreizwirkung von Aktienoptionsplänen für Mitarbeiter junger innovativer Unternehmen - Eine empirische Untersuchung für den Neuen Markt“, in: A. Langenohl (Eds.), Finanzmarkt und Zeitlichkeit – Gesellschaftliche und wirtschaftliche Dimensionen von Temporalität an den Finanzmärkten, Marburg.
  • W. Bessler, A. Kurth (2007), “Agency Problems and the Performance of Venture-backed IPOs in Germany: Lock-up Periods, Bank Ownership and Exit Strategies”, European Journal of Finance, 29-63.
  • W. Bessler, P. Lückoff (2007), “Predicting Stock Returns with Bayesian Vector Autoregressive Model”, in: Bock, H.H., Gaul, W., Vichi, M. (Hrsg.): Studies in Classification, Data Analysis, and Knowledge Organization, Springer, Heidelberg-Berlin, Proceedings of the 31st Annual GfKl Conference, University of Freiburg, (forthcoming).
  • W. Bessler, M. Stanzel (2007), „Qualität und Effizienz der Gewinnprognosen von Analysten – Eine empirische Untersuchung für den deutschen Kapitalmarkt“, Kredit und Kapital, 89-129.
  • W. Bessler, S. Thies (2007), “Initial Public Offerings, Subsequent Seasoned Equity Offerings, and Long Run Performance: Evidence from IPOs in Germany”, The Journal of Entrepreneurial Finance & Business Ventures, 1-37.
  • W. Bessler, S. Thies (2007), “The Long-Run Performance of Initial Public Offerings in Germany”, Managerial Finance Journal, 420-441.
  • S. Broda, K. Carstensen, M. Paolella (2007), “Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples”, Econometric Reviews, (forthcoming).
  • S. Broda, K. Carstensen, M. Paolella (2007), “Bias-Adjusted Estimation in the ARX(1) Model”, Computational Statistics and Data Analysis, 51, 3355-3367.
  • S. Broda, M. Paolella (2007), “Saddlepoint Approximations for the Doubly Noncentral t Distribution”, Computational Statistics and Data Analysis, 51, 2907-2918.
  • R. Butler, M. Paolella (2007), “Uniform Saddlepoint Approximations for Ratios of Quadratic Forms”, Bernoulli, (forthcoming).
  • Y. Chen, W. Härdle, V. Spokoiny (2007), “Portfolio Value at Risk based on independent Components Analysis“, Journal of Computational and Applied Mathematics, 205, p. 594-607.
  • Y. Chen, W. Härdle, A. Unwin (2007), “Handbook of Data Visualization, Springer, Heidelberg.
  • K. Detlefsen, W. Härdle (2007), “Calibration Risk for Exotic Options”, Journal of Derivatives, (accepted). Also printed in “Trading Options: Exotic an Introduction to Types and Pricing”, ICFAI University Press, Hyderabad, India.
  • F. Di Iorio, S. Fachin (2007), “Cointegration testing in dependent panels with breaks“, MPRA Paper 3139.
  • E. Eberlein, R. Frey, M. Kalkbrener, L. Overbeck (2007), „Mathematics in Financial Risk Management“, DMV Jahresbericht (forthcoming).
  • S. Fachin (2007), “Long-run trends in internal migrations in Italy: a study in panel cointegration with dependent units“, Journal of Applied Econometrics, John Wiley & Sons, Ltd., Vol. 22(2), p. 401-428.
  • S. Fachin, A. Gavosto (2007), “The decline in Italian productivity: a study in estimation of long-Run trends in Total Factor Productivity with panel cointegration methods“, MPRA Paper 3112.
  • N. P. Faisca, V. Dua, P. M. Saraiva, B. Rustem, E. N. Pistikopoulos (2007), “Parametric global optimisation for bilevel programming”, Journal of Global Optimization, (forthcoming).
  • M. Fengler, W. Härdle, E. Mammen (2007), “A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics”, Journal of Financial Econometrics, 5(2), p. 189-218.
  • B. Fitzenberger, P. Winker (2007), “Improving the Computation of Censored Quantile Regressions”, Computational Statistics and Data Anlaysis, 52, 1 88-108.
  • G. Flores, J. Krishnakumar (2007), “Demand System Estimation for Yemen”, Report prepared for the World Bank.
  • G. Flores, J. Krishnakumar, O. O’Donnell, E. van Doorslaer (2007), “Coping with Health Care Costs: Implications for the Measurement of Catastrophic Expenditures and poverty”, forthcoming in Health Economics.
  • C. Gatu, E. J. Kontoghiorghes, M. Gilli, P. Winker (2007), „An Efficient Branch-and-Bound Strategy for Subset Vector Autoregressive Model Selection“, Journal of Economic Dynamics and Control, (forthcoming).
  • C. Gatu, P. I. Yanev, E. J. Kontoghiorghes (2007), “A graph approach to generate all possible regression submodels”, Computational Statistics & Data Analysis, 52(2), 799-815.
  • H. Geman (2007), “Mean Reversion versus Random Walk in Oil and natural Gas Prices”, Advances in Mathematical Finance, Birkhäuser Boston.
  • H. Geman, S. Borovkova (2007), “Seasonal and Stochastic Features in Commodity Forward Curves”, Review of Derivatives Research (forthcoming).
  • H. Geman, C. Peter, M. Dilip, Y. Marc (2007), “Self decomposability and option pricing”, Mathematical Finance, Vol. 17, Numéro 1, p. 31 57.
  • H. Geman, A. Kanyinda (2007), “Water as the Next Commodity”, Journal of Alternative Investments.
  • F. Gerhard, N. Hautsch (2007), “A Dynamic Semiparametric Proportional Hazard Model“, Studies in Nonlinear Dynamics & Econometrics, 11(2), Article 1, http://www.bepress.com/snde/vol11/iss2/art1.
  • R.Gibson, C. Blanchet-Scaillet, A. Diop, D. Talay and E. Tanré (2007), “Technical Analysis Compared to Mathematical Models Based Methods under Parameters Mis-Specification”, The Journal of Banking and Finance, (forthcoming ).
  • R. Gibson, M. Chesney (2007), “Stock Options and Managers Incentives to Cheat”, NCCR Working Paper, IP 2, No. 184, latest version March 2007.
  • R. Gibson, R. Gencay (2007), “Model Risk for European-Style Stock Index Options”, The Journal IEEE Transactions on Neural Networks, 18, 1.
  • R. Gibson, S. Gyger (2007), “The Style Consistency of Hedge Funds”, Special Issue on Hedge Funds, European Financial Management, 13, 2.
  • R. Gibson, M. Habib and A. Ziegler (2007), “Why Have Exchange-Traded Catastrophe Instruments Failed to Displace Reinsurance?”, NCCR FINRISK Working Paper Series, No. 371.
  • R. Gibson, C. Murawski (2007), “The Price of Protection: Derivatives, Default Risk, and Margining”, NCCR FINRISK Working Paper Series, No. 255, revised 2007.
  • M. Gilli, I. Roko (2007), “Using economic and financial information for stock selection”, Computational Management Science (in print, DOI: 10.1007/s10287-007-0056-x).
  • M. Gilli, P. Winker (2007), “Editorial - 2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems”, Computational Statistics and Data Analysis, 52, 1, 2-3.
  • N. Gulpinar, P. Harrison, B. Rustem, L. F. Pau, T. Field, U. Harder (2007), “Performance Optimization of a Tandem M/GI/1 Router Network with Batch Arrivals”, Journal of Cluster Computing, 10, 203-216.
  • N. Gulpinar, M. Osorio, B. Rustem (2007), “A mixed-integer programming model for multistage mean-variance post-tax optimization”, European Journal of Operations Research, (forthcoming).
  • N. Gulpinar, B. Rustem (2007), “Optimal Decisions and Robust Methods for Forecast Errors”, Computational Statistics & Data Analysis, 51, 7, 3595-3611.
  • N. Gulpinar, B. Rustem (2007), “Worst-case robust decisions for multi-period mean-variance optimization”, European Journal of Operations Research, (forthcoming).
  • N. Gulpinar, B. Rustem, S. Zakovic (2007), “Stochastic Optimization and Worst-case Decisions”, in:D. Grundel, R. Murphey, P. Pardalos, O. Prokopyev (Eds.), Cooperative Systems Control and Optimization, Lecture Notes in Economics and Mathematical Systems, Vol. 588.
  • M. Gilli, P. Winker (2007), “Editorial - 2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems”, Computational Statistics and Data Analysis.
  • A. Hall, N. Hautsch (2007), “Modelling the Buy and Sell Intensity in a Limit Order Book Market”, Journal of Financial Markets, 10, 3, 249-286.
  • N. Hautsch, D. Hess (2007), “Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery”, Journal of Financial and Quantitative Analysis, 42(1), p. 189-208.
  • W. Härdle, Z. Hlavka (2007), “Multivariate Statistics: Exercises and Solutions, Springer, Heidelberg.
  • W. Härdle, L. Simar (2007), “Applied Multivariate Statistical Analysis, (2. extended Ed.), Springer, Heidelberg.
  • M. Hofmann, C. Gatu, E. J. Kontoghiorghes (2007), „Efficient algorithms for computing the best subset regression models for large-scale problems”, Computational Statistics & Data Analysis, 52 (1), 16-29.
  • M. Kalkbrener, A. Kennedy, M. Popp (2007), „Efficient Calculation of Expected Shortfall Contributions in Large Credit Portfolios”, Journal of Computational Finance (forthcoming).
  • A. Kirman, S. Markose, S. Giasante, P. Pin (2007), “Marginal contribution, reciprocity and equity in segregated groups: Bounded rationality and self-organization In Social networks“, Journal of Dynamics and Control (forthcoming).
  • E. Kontoghiorghes, C. Gatu (Eds.) (2007), “Optimisation, Econometric and Financial Analysis”, Series: Advances in Computational Management Science, Vol. 9, X, 272 p.
  • E. J. Kontoghiorghes, B. Philippe (2007), „2nd Special issue on Numerical Algorithms, Parallelism and Applications”, Applied Numerical Mathematics, Volume 57(11-12), 1163.
  • J. Krishnakumar (2007), “Going beyond Functionings to Capabilities: an Econometric Model to Explain and Estimate Capabilities”, Journal of Human Development, Vol. 8, No.1, 39-63.
  • J. Krishnakumar (2007), “Multidimensional Measures of Poverty and Well-Being Based on Latent Variable Models”, Chapter 7, in Quantitative Approaches To Multidimensional Poverty Measurement, to be published by Palgrave Macmillan.
  • J. Krishnakumar (2007), “Challenges facing Econometrics in the 21st Century”, Contemporary Issues and Ideas in Social Sciences, Vol. 3, No.1.
  • J. Krishnakumar, P. Ballon (2007), “Estimating Basic Capabilities: A Structural Equation Model Approach Applied to Bolivian Data”, forthcoming in World Development.
  • J. Krishnakumar, A. L. Nagar (2007), “On Exact Statistical Properties of Multidimensional Indices based on Principal Components, Factor Analysis, MIMIC and Structural Equation Models”, forthcoming in Social Indicators Research.
  • J. Krishnakumar, D. Neto (2007), “Testing Uncovered Interest Rate Parity and Term Structure using Multivariate Threshold Cointegration”, forthcoming in Computational Methods in Financial Engineering, edited by EJ Konthoghiorghes, B. Rustem and P. Winker, Springer Verlag.
  • D. Maringer, M. Meyer (2007), “Smooth Transition Autoregressive Models - New Approaches to the Model Selection Problem”, Studies in Nonlinear Dynamics and Econometrics (forthcoming).
  • S. Markose, A. Alentorn, D. Koesrindartoto, P. Allen, P. Blythe, S. Grosso (2007), “A smart market for passenger road transport (SMPRT) congestion: an application of computational mechanism design”, Journal of Dynamics and Control, (forthcoming).
  • S. Markose, S. Sunder (Eds.) (2007), “Humans, Automaton and Markets: On Computational Microstructure Design, Cambridge University Press, (forthcoming.)
  • R. Neck (2007), “The Contribution of Control Theory to the Analysis of Economic Policy”, (under review).
  • R. Neck, G. Haber (2007), “The SGP Fiscal Rule in the Case of Sluggish Growth: Some Alternative Simulations”.
  • R. Neck, G. Haber (2007), “On the Macroeconomics of Euro Area Enlargement”, Journal of Financial Transformation, 19, 112–120.
  • R. Neck, G. Haber, K. Weyerstrass (2007), “Optimal Exchange Rate and Fiscal Policies for Slovenia”, An Application of the OPTCON Algorithm, (under review).
  • M. Paolella, L. Taschini (2007), “An Econometric Analysis of Emission Trading Allowances”, Journal of Banking and Finance, (forthcoming).
  • P. Parpas, B. Rustem (2007), “Decomposition algorithms for the solution of multistage mean-variance optimization problems”, Invited article in the Encyclopedia of Optimization, 2nd ed, (forthcoming).
  • P. Parpas, B. Rustem (2007), “Duality gaps in non-convex optimization problems”, Invited article in the Encyclopedia of Optimization, 2nd ed, (forthcoming).
  • P. Parpas, B. Rustem (2007), “Global optimization algorithms for financial planning problems”, Invited article in the Encyclopedia of Optimization, 2nd ed, (forthcoming).
  • P. Parpas, B. Rustem (2007), “The Laplace method and applications to optimization problems”, Invited article in the Encyclopedia of Optimization, 2nd ed, (forthcoming).
  • P. Parpas, B. Rustem (2007), Algorithms for minimax and expected value optimization, invited book chapter in the Handbook of Computational Econometrics, North-Holland.
  • P. Parpas, B. Rustem (2007), “Maximum entropy and game theory”, Invited
  • article in the Encyclopedia of Optimization, 2nd ed, (forthcoming).
  • P. Parpas, B.Rustem (2007), “Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems”, INFORMS Journal on Computing, V. 19, N.2.
  • P. Parpas, B. Rustem, S. Zakovic (2007), “Mean Variance Optimization of Non-Linear Systems and Worst--case Analysis”, Computational Optimization and Applications, (forthcoming).
  • E. Pistikopoulos, N. Faisca, P. Saraiva, B. Rustem (2007), “A bilevel programming framework for enterprise-wide process networks under uncertainty”, Invited article in the Encyclopedia of Optimization, 2nd ed, in: C. Floudas and P. Pardalos (Eds.) 2nd ed, New York: Kluwer Academic Publishers.
  • F. Rendl, G. Rinaldi, A. Wiegele (2007), “A Branch and Bound Algorithm for Max-Cut Based on Combining Semidefinite and Polyhedral Relaxations”, Lecture Notes in Computer Science, Vol. 4513, Integer Programming and Combinatorial Optimization, p. 295-309.
  • B. Rustem, P. Parpas, S. Zakovic (2007), “Convergence of an interior point algorithm for continuous minimax”, Journal of Optimization Theory & Applications.
  • A. Staszewska (2007), “Representing uncertainty about response paths: the use of heuristic optimization methods”, Computational Statistics and Data Analysis, 52, 1, 121-132.
  • E. Stavrou, C. Charalambous, S. Spiliotis (2007), “Human resource management and performance: A neural network analysis”, European Journal of Operational Research 181(1), p. 453-467.
  • K. Weyerstrass, R. Neck (2007), “SLOPOL6: A Macroeconometric Model for Slovenia”, International Business and Economics Research Journal, 6 (11), 81–94.
  • P. Winker, D. Maringer (2007), “The Hidden Risks of Optimizing Bond Portfolios under VaR”, Journal of Risk 9,4. 1-17.
  • P. Winker, D. Maringer (2007), “The Threshold Accepting Optimization Algorithm in Economics and Statistics,”, in: Kontoghiorges, E.J., Gatu, Chr. (Eds.), Optimisation, Econometric and Financial Analysis, Springer, Berlin, 107-125.
  • P. Winker, M. Gilli, V. Jeleskovic (2007), “An Objective Function for Simulation Based Inference on Exchange Rate Data”, Journal of Economic Interaction and Coordination, (forthcoming).
  • P. Winker (2007), „Empirische Wirtschaftsforschung und Ökonometrie“, Springer, Heidelberg (2. Ed.).
  • P. Winker, M. Gilli, V. Jeleskovic (2007), “An Objective Function for Simulation Based Inference on Exchange Rate Data”, Journal of Economic Interaction and Coordination.
  • P. Winker, V. Jeleskovic (2007), “Dependence of - and Long Memory in - Exchange Rate Returns: Statistics, Robustness, Time Aggregation”, CCFEA Working Paper Series, WP011-07, University of Essex, Colchester.
  • P. I. Yanev, E. J. Kontoghiorghes (2007), „Parallel algorithms for downdating the QR decomposition”, Parallel Computing, (forthcoming).
  • P. I. Yanev, E. J. Kontoghiorghes (2007), „Computationally efficient methods for estimating the updated-observations SUR models”, Applied Numerical Mathematics, 57(11-12), 1245-1258.

‹ COMISEF Working Papers SeriesupPublications for 2008 ›