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

Keyword Search

Keyword Search Criteria: market microstructure returned 3 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


Thursday, 08/05/2010
Quasi-Maximum Likelihood Estimation of Volatility with High-Frequency Data
Dacheng Xiu, Princeton University
9:25 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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