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Sessions Were Renumbered as of May 19.

Legend:
CC-W = McCormick Place Convention Center, West Building,   CC-N = McCormick Place Convention Center, North Building
H = Hilton Chicago,   UC= Conference Chicago at University Center
* = applied session       ! = JSM meeting theme

Keyword Search Criteria: Volatility returned 10 record(s)
Monday, 08/01/2016
Convolutional Functional Autoregressive Models: Model Building, Asymptotics, and Empirical Results
Xialu Liu, San Diego State University


Volatility Inference Using High-Frequency Financial Data and Efficient Computations
Jian Zou, Worcester Polytechnic Institute
8:35 AM

Convolutional Functional Autoregressive Models: Model Building, Asymptotics, and Empirical Results
Xialu Liu, San Diego State University
9:15 AM

A Flexible Joint Longitudinal-Survival Model for Quantifying the Association Between Serum Biomarkers and Mortality
Daniel Gillen, University of California at Irvine; Sepehr Arkhavan, University of California at Irvine; Babak Shahbaba, University of California at Irvine
9:25 AM

Tuesday, 08/02/2016
A New Approach to Dimensional Reduction for Volatility of a Stationary Multivariate Time Series
Chung Eun Lee, University of Illinois at Urbana-Champaign; Xiaofeng Shao, University of Illinois at Urbana-Champaign


Decouple/Recouple: Dynamic Graphical Modeling and Time Series Forecasting
Mike West, Duke University; Lutz Gruber, QuantCo
8:35 AM

A New Approach to Dimensional Reduction for Volatility of a Stationary Multivariate Time Series
Chung Eun Lee, University of Illinois at Urbana-Champaign; Xiaofeng Shao, University of Illinois at Urbana-Champaign
10:45 AM

Wednesday, 08/03/2016
Estimation of Geometric Brownian Motion Model with T-Distribution-Based Particle Filter
Edesiri Nkemnole, University of Lagos; Olaide Bridget Abass, University of Lagos


Thursday, 08/04/2016
Bayesian Dynamic Linear Models for Strategic Asset Allocation
Jared Fisher, The University of Texas McCombs School of Business; Carlos Carvalho, The University of Texas; Davide Pettenuzzo, Brandeis University
8:50 AM

Bayesian Modeling of High-Frequency Crude Oil Prices
Jonathan Stroud, Georgetown University; Michael Johannes, Columbia University; Norman Seeger, VU University
11:25 AM

 
 
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