This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

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Keyword Search Criteria: GARCH returned 10 record(s)
Sunday, 08/01/2010
Asymptotic Theory for Fractionally Integrated Asymmetric Power ARCH Models
Kazuhiko Shinki, Wayne State University; Henry Zhengjun Zhang, University of Wisconsin-Madison
2:35 PM

Monday, 08/02/2010
Dependence Evolution in International Equity Markets
Tatsuyoshi Okimoto, Hitotsubashi University
10:50 AM

On Estimating the Parameters in Conditional Heteroskedasticity Models by Empirical Likelihood Estimation
Tsung-Lin Cheng, National Changhua University of Education
11:35 AM

Tuesday, 08/03/2010
Risky Business: The 'Failures' of Risk Management
Christine Wu, North Carolina State University; John Ryland Pigg, North Carolina State University


Seasonal Volatility Models
Ankit Doshi, University of Manitoba; Julieta Frank, University of Manitoba; Aerambamoorthy Thavaneswaran, University of Manitoba


Autocontour-Based Evaluation of Out-of-Sample Density Forecasts
Emre Yoldas, Bentley University; Gloria Gonzalez-Rivera, University of California, Riverside
8:50 AM

Outliers in GARCH Models and the Estimation of Risk Measures
Helena Veiga, Universidad Carlos III de Madrid; Aurea Grané, Universidad Carlos III de Madrid
9:20 AM

Wednesday, 08/04/2010
WITHDRAWN: ARCH Models Application on Istanbul Stock Market Data
Atilla Aslanargun, Anadolu University; Berna Yazici, Anadolu University; Betül Kan, Anadolu University; Zeynep Ozgun, Anadolu University


Regularization for Stationary Multivariate Time Series
Yan Sun, University of Cincinnati; Xiaodong Lin, Rutgers University
9:05 AM

The Nonparametric Maximum Likelihood Estimation for Gaussian Mixture Innovations of GARCH Model
Taewook Lee, Hankuk University of Foreign Studies; Byungtae Seo, Texas Tech University
9:35 AM




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