In this work we propose the combination of P-splines with traditional spatial econometric models in such a way that it allows for their representation as a mixed model. The advantages of combining these models include: (i) dealing with complex non-linear and non-separable trends, (ii) estimating...

This paper analyzes whether web search queries predict stock market activity in a sample of the largest European stocks. We provide evidence that i) an increase in web searches for stocks on Google engine is followed by a temporary increase in volatility and volume and a drop in cumulative...

Functional Regression has been an active subject of research in the last two decades but still lacks a secure variable selection methodology. Lasso is a well known effective technique for parameters shrinkage and variable selection in regression problems. In this work we generalize the Lasso...

This paper presents a general notion of Mahalanobis distance for functional data that extends the classical multivariate concept to situations where the observed data are points belonging to curves generated by a stochastic process. More precisely, a new semi-distance for functional observations...

The objective of this paper is to model and forecast all the components of a macro orbusiness variable. Our contribution concerns cases with a large number (hundreds) ofcomponents where multivariate approaches are not feasible. We extend in several directions the pairwise approach originally...

Financial returns often present a complex relation with previous observations, along with a slight skewness and high kurtosis. As a consequence, we must pursue the use of flexible models that are able to seize these special features: a financial process that can expose the intertemporal relation...

We carry out an analytical investigation on the optimal portfolio policy for a multiperiod mean-variance investor facing multiple risky assets. We consider the case with proportional, market impact, and quadratic transaction costs. For proportional transaction costs, we find that a buy-and-hold...

In this paper we explore, analyse and apply the change-points detection and location procedures to conditional heteroskedastic processes. We focus on processes that have constant conditional mean, but present a dynamic behavior in the conditional variance and which can also be affected by...

The identification of asymmetric conditional heteroscedasticity is often based on samplecross-correlations between past and squared observations. In this paper we analyse theeffects of outliers on these cross-correlations and, consequently, on the identification ofasymmetric volatilities. We...

OCDE publications in the early 1990s on Science-Technology-Economy alerted several member countries on the prediction of a future shortage of skilled researchers and its possible impact on the economy. Consequently, on the decade 1998-2009 the number of doctorates handed out in all OECD...