Browse
Recent Submissions
Now showing 1 - 13 of 13
Publication Proportional switching in FIFO networks(2015-09-01) Bramson, Maury; D'Auria, Bernardo; Walton, Neil;We consider a family of discrete time multihop switched queueing networks where each packet movesalong a xed route. In this setting, BackPressure is the canonical choice of scheduling policy; this policy hasthe virtues of possessing a maximal stability region and not requiring explicit knowledge of tra c arrival rates.BackPressure has certain structural weaknesses because implementation requires information about each route,and queueing delays can grow super-linearly with route length. For large networks, where packets over manyroutes are processed by a queue, or where packets over a route are processed by many queues, these limitationscan be prohibitive.In this article, we introduce a scheduling policy for FIFO networks, the Proportional Scheduler, which isbased on the proportional fairness criterion. We show that, like BackPressure, the Proportional Scheduler hasa maximal stability region and does not require explicit knowledge of tra c arrival rates. The ProportionalScheduler has the advantage that information about the network's route structure is not required for scheduling,which substantially improves the policy's performance for large networks. For instance, packets can be routedwith only next-hop information and new nodes can be added to the network with only knowledge of thescheduling constraintsPublication Spurious and hidden volatility(2004) Carnero, María Ángeles; Peña, Daniel; Ruiz Ortega, Esther; Instituto Valenciano de Investigaciones EconómicasThis paper analyzes the effects caused by outliers on the identification and estimation of GARCH models. We show that outliers can lead to detect spurious conditional heteroscedasticity and can also hide genuine ARCH effects. First, we derive the asymptotic biases caused by outliers on the sample autocorrelations of squared observations and their effects on some homoscedasticity tests. Then, we obtain the asymptotic biases of the OLS estimates of ARCH(p) models and analyze their finite sample behaviour by means of extensive Monte Carlo experiments. The finite sample results are extended to GLS and ML estimates ARCH(p) and GARCH(1,1) models.Publication Detecting level shifts in the presence of conditional heteroscedasticity(2004) Carnero, María Ángeles; Peña, Daniel; Ruiz Ortega, Esther; Instituto Valenciano de Investigaciones EconómicasThe objective of this paper is to analyze the finite sample performance of two variants of the likelihood ratio test for detecting a level shift in uncorrelated conditionally heteroscedastic time series. We show that the behavior of the likelihood ratio test is not appropriate in this context whereas if the test statistic is appropriately standardized, it works better. We also compare two alternative procedures for testing for several level shifts. The results are illustrated by analyzing daily returns of exchange rates.Publication Estimating and forecasting garch volatility in the presence of outiers(2008) Carnero, María Ángeles; Peña, Daniel; Ruiz Ortega, Esther; Instituto Valenciano de Investigaciones EconómicasThe main goal when fitting GARCH models to conditionally heteroscedastic time series is to estimate the underlying volatilities. It is well known that outliers affect the estimation of the GARCH parameters. However, little is known about their effects when estimating volatilities. In this paper, we show that when estimating the volatility by using Maximum Likelihood estimates of the parameters, the biases incurred can be very large even if estimated parameters have small biases. Consequently, we propose to use robust procedures. In particular, a simple robust estimator of the parameters is proposed and shown that its properties are comparable with other more complicated ones available in the literature. The properties of the estimated and predicted volatilities obtained by using robust filters based on robust parameter estimates are analyzed. All the results are illustrated using daily S&P500 and IBEX35 returns.Publication Testing for conditional heteroscedasticity in the components of inflation(2008) Broto, Carmen; Ruiz Ortega, Esther; Banco de EspañaIn this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with QGARCH disturbances. This model distinguishes whether the long-run or short-run components are heteroscedastic. Furthermore, the uncertainty associated with these components may increase with the level of inflation as postulated by Friedman. We propose to use the differences between the autocorrelations of squares and the squared autocorrelations of the auxiliary residuals to identify heteroscedastic components. We show that conditional heteroscedasticity truly present in the data can be rejected when looking at the correlations of standardized residuals while the autocorrelations of auxiliary residuals have more power to detect conditional heteroscedasticity. Furthermore, the proposed statistics can help to decide which component is heteroscedastic. Their finite sample performance is compared with that of a Lagrange Multiplier test by means of Monte Carlo experiments. Finally, we use auxiliary residuals to detect conditional heteroscedasticity in monthly inflation series of eight OECD countries.Publication Comments on “Band-limited stochastic processes in discrete and continuous time”(2007) Ruiz Ortega, Esther; ISIPublication Métodos cuantitativos para el análisis de la actividad industrial española(1989) Espasa, Antoni; Morales, E; Rojo, M.L; Servicio de Estudios del Banco de EspañaPublication El perfil de crecimiento de un fenómeno económico(1988) Espasa, Antoni; Servicio de Estudios del Banco de EspañaPublication Interpolación y predicción en series económicas con anomalías y cambios estructurales: los depósitos en las cooperativas de crédito(1984-09) Sastre, T.; Espasa, Antoni; Servicio de Estudios del Banco de EspañaPublication Deterministic and stochastic seasonality: an univariate study of the spanish industrial production index(1983) Espasa, Antoni; Banco de EspañaPublication Un Modelo diario para la serie de depósitos en la Banca: primeros resultados y estimación de los efectos de las huelgas de febrero de 1979(1979) Espasa, Antoni; Banco de EspañaPublication Arima models, the steady state of economc varibles and their estimation(Servicio de Estudios del Banco de España, 1990) Espasa, Antoni; Peña, DanielPublication Parsimony and omitted factors: the airline model and the Census X-11 assumptions(Servicio de Estudios del Banco de España, 1985) Espasa, Antoni; Galián, R.