Research

Working papers

Publications (articles)

  1. Nascimento, M. G. L., Abanto-Valle, C. A. and Mendoça, M. J. (2018). "Multivariate Spatial IV Regression". Brazilian Review of Econometrics, 38, 357-333.
  2. Abanto-Valle, C. A., Langrock, R., Chen, M.-H. and Cardoso, M. V. (2017). "Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions". Applied Stochastic Models in Business and Industry, 33, 394-408.
  3. Leão, W. L., Abanto-Valle, C. A. and Chen, M.-H. (2017). "Stochastic volatility in mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew student's t distribution". Statistics and its Interface, 10, 529-541.
  4. Abanto-Valle, C. A., Dey, D. K. and Xun, J. (2015). "Binary state space mixed models with flexible link functions: a case study on deep brain stimulation on attention reaction time". Statistics and its Interface, 8, 187-194.
  5. Lachos, V. H., Chen, M.-H., Abanto-Valle, C. A. and Azevedo, C. L. N. (2015). "Quantile regression for censored mixed-effects models with applications to HIV studies". Statistics and its Interface, 8, 203-2015.
  6. Abanto-Valle, C. A., Lachos, V. H. and Dey, D. K. (2015). "Bayesian estimation of a skew-Student-t stochastic volatility model". Methodology and Computing in Applied Probability, 17, 721-738.
  7. Abanto-Valle, Carlos A., Wang. C., Wang. X., Wang,F.-X. and Chen, M.-H. (2014). "Bayesian inference for stochastic volatility models using the generalized skew-t distribution with applications to the Shenzhen Stock Exchange returns. Statistics and its Interface, 7, 487-502.
  8. Abanto-Valle, C. A. and Dey, D. K. (2014). "State space mixed models for binary responses with scale mixture of normal distributions links". Computational Statistics & Data Analysis, 71, 274-287.
  9. Lachos, V.H. , Cabral, C. R. B. and Abanto-Valle, C.A. (2012). "A non-iterative sampling Bayesian method for mixed models with normal independent distributions". Journal of Applied Statistics, 39, 531-549.
  10. Abanto-Valle, Carlos A. , Migon, H. S. and Lachos, V. H. (2012). "Stochastic volatility in mean models with heavy-tailed distributions". Brazilian Journal of Probability and Statistics, 26, 402-422.
  11. Abanto-Valle, C. A., Lachos, V. H. and Ghosh, P. (2012). "A Bayesian approach to term structure modeling using heavy-tailed distributions". Applied Stochastic Models in Business and Industry, 28, 430-447.
  12. Abanto-Valle, C. A., Migon, H.S. and Lachos, V.H. (2011). "Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: A Bayesian approach". Journal of Statistical Planning and Inference, 141, 1875-1887.
  13. Garay, A. M., Lachos, V.H. and Abanto-Valle, C.A. (2011). "Nonlinear regression models based on scale mixtures of skew-normal distributions". Journal of the Korean Statistical Society, 40, 115-124.
  14. Lachos, V.H., Angolini, T. and Abanto-Valle, C. A. (2011). "On estimation and local influence analysis for measurement errors models under heavy-tailed distributions". Statistical Papers, 52, 567-590.
  15. Abanto-Valle, C.A., Bandyopadhyay, Lachos, V. H. and Enriquez, I. (2010) . "Robust Bayesian Analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions". Computational Statistics & Data Analysis, 54, 2883-2898.
  16. Abanto-Valle, C.A. , Migon, H.S. and Lopes, H. F. (2010). "Bayesian modeling of financial returns: A relationship between volatility and trading volume". Applied Stochastic Models in Business and Industry, 26, 172-193.
  17. Bandyopadhyay, D. , Lachos, V.H., Abanto-Valle, C.A. and Ghosh, P. (2010) . "Linear mixed models for skew-normal/independent bivariate responses with an application to periodontal disease". Statistics in Medicine, 29, 2643-2655.

Publications (contributions in books)

    1. Gamerman, D. Abanto-Valle, C. A., Silva, R. S. and Martins, T. G. (2016). "Dynamic models for discrete-valued time series". In Handbook of discrete-valued time series, eds. Richard A. Davis, Robert Lund and Nalini Ravishanker, N.Y: CRC, pp. 165-18