GARCH models include most of the stylized facts of financial time series and they have been largely used to analyze discrete financial time series. In the last years, continuous time models based on discrete GARCH models have been also proposed to deal with non-equally spaced observations, as...

Bacterial growth models are commonly used for the prediction of microbial safety and the shelf life of perishable foods. Growth is affected by several environmental factors such as temperature, acidity level and salt concentration. In this study, we develop two models to describe bacterial...

Some groups of countries are connected not only economically, but also social and even demographically. This last fact can be exploited when trying to forecast the death rates of their populations. In this paper we propose a hierarchical specification of the Lee-Carter model and we assume that...

Poverty maps are an important source of information on the regional distribution of poverty and are currently used to support regional policy making and to allocate funds to local jurisdictions. But obtaining accurate poverty maps at low levels of disaggregation is not straightforward because of...

This paper estimates the causal impact of investment in information andcommunication technologies (ICT) on student performances in mathematics asmeasured in the Program for International Student Assessment (PISA) 2012 for Spain.To do this we apply a new methodology in this context known as...

The comparison of the means of two independent samples is one of the most popular problems in real-world data analysis. In the multivariate context, two-sample Hotelling's T² frequently used to test the equality of means of two independent Gaussian random samples assuming either the same or a...

In the context of Dynamic Factor Models (DFM), we compare point and interval estimates of the underlying unobserved factors extracted using small and big-data procedures. Our paper differs from previous works in the related literature in several ways. First, we focus on factor extraction rather...

In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability alfa, the 100alfa% VaR is defined as a threshold loss value, such that the probability that the...

In the context of functional data analysis, we propose a new method to test the homogeneity of families of functions. Based on some well-known depth measures, we construct four different statistics in order to measure distance between the two families. A simulation study is performed to check...

We estimate a stochastic frontier model with random inefficiency parameters, which allows us not only to identify the role of bank risk-taking on driving cost and profit inefficiency, but also to recognize heterogeneous effects of risk exposure on banks with different characteristics. We account...