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

Keyword Search

Keyword Search Criteria: Realized Volatility returned 5 record(s)
Wednesday, 08/04/2010
Empirical Study of Intra-Day Stock Return Volatility
Jian Su, University of Illinois at Chicago; Lan Zhang, Oxford-Man Institute of Quantitative Finance; Hsing-Chien Kao, University of Illinois at Chicago; Heshan Liu, Mayo Clinic


What Does Realized Volatility Tell Us About Macroeconomic Fluctuations?
Zeynep Senyuz, University of New Hampshire; Marcelle Chauvet, University of California, Riverside; Emre Yoldas, Bentley University
10:50 AM

Thursday, 08/05/2010
Realized Volatility When Sampling Times Can Be Endogenous
Yingying Li, Hong Kong University of Science and Technology ; Per Mykland, The University of Chicago; Eric Renault, The University of North Carolina at Chapel Hill; Lan Zhang, University of Illinois at Chicago; Xinghua Zheng, Hong Kong University of Science and Technology
8:35 AM

Localized Realized Volatility Modeling
Ying Chen, National University of Singapore; Wolfgang Haerdle, Humboldt University in Berlin; Uta Pigorsch, Universitaet Mannheim
9:00 AM

Studying the Leverage Effect Based on High-Frequency Data
Yacine Ait-Sahalia, Princeton University; Jianqing Fan, Princeton University; Yingying Li, Hong Kong University of Science and Technology
9:50 AM




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