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Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets
(2011-06)
Statistical studies that consider multiscale relationships among several variables use wavelet correlations and cross-correlations between pairs of variables. This procedure needs to calculate and compare a large number ...
Stochastic Surface Models for Commodity Futures: A 2D Kalman Filter Approach
(2011-09)
We propose a two-dimensional Kalman filter approach that, additional to the information contained in futures prices evolution over time, makes use of information contained in the term structure of commodity futures along ...
Cuban inmigrants in the United States: what determines their earnings distribution?
(Universidad de Medellín, 2016-12)
In this paper the conditional earnings distribution of Cuban immigrants in the U.S. using OLS and Quantile Regression is analyzed. The data used in the study come from the 2011 American Com munity Survey (ACS) in the U.S. ...
La emigración cubana a Estados Unidos desde una perspectiva econométrica
(2017-05-31)
Se estima que cerca de 244 millones de personas, en el año 2015, vivían en un país diferente al que les vio nacer. Dentro de este flujo migratorio creciente, han estado presentes, desde los años 30 del siglo pasado, los ...
A Note on Wavelet Correlation and Cointegration
(2013-11)
In a recent paper Leong-Huang:2010 {Journal of Applied Statistics 37, 215–233} proposed a wavelet-correlation-based approach to test for cointegration between two time series.
However, correlation and cointegration are ...
Seasonal Stability Tests in gretl. An Application to International Tourism Data
(2013-09)
The seasonal stability tests of Canova & Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distribution of the CH tests are unknown in small ...
Scenario Cluster Lagrangian Decomposition in two stage stochastic mixed 0-1 optimization
(2012)
In this paper we introduce four scenario Cluster based Lagrangian Decomposition (CLD) procedures for obtaining strong lower bounds to the
(optimal) solution value of two-stage stochastic mixed 0-1 problems. At each iteration ...
Lagrangean decomposition for large-scale two-stage stochastic mixed 0-1 problems
(2010-07)
In this paper we study solution methods for solving the dual problem corresponding to the Lagrangean Decomposition of two stage stochastic mixed 0-1 models. We represent the two stage stochastic mixed 0-1 problem by a ...
Preferences, actions and voting rules
(Springer, 2012-03)
In this paper we address several issues related to collective dichotomous decision-making by means of quaternary voting rules, i.e., when voters may choose between four actions: voting yes, voting no, abstaining and not ...
Some experiments on solving multistage stochastic mixed 0-1 programs with time stochastic dominance constraints
(2015)
In this work we extend to the multistage case two recent risk averse measures for two-stage stochastic
programs based on first- and second-order stochastic dominance constraints induced by mixed-integer linear
recourse. ...