JSM 2017 Online Program

Legend:
CC = Baltimore Convention Center, H = Hilton Baltimore
* = applied session ! = JSM meeting theme

Keyword Search Criteria: GARCH returned 7 record(s)

Monday, 07/31/2017

Regime Switching Asymmetric-GARCH Models for Estimating Financial Risk in the Nigerian Stock Index
Mary Akinyemi, University of Lagos; Georgi Boshnakov, University of Manchester
12:05 PM

Tuesday, 08/01/2017

Wild Bootstrap Ljung-Box Test for Cross Correlations of Multivariate Time Series
Tae Wook Lee, Hankuk University of Foreign Studies

Testing for Causality Between Two Time Series Using a Parametric Bootstrap
Thomas Fisher, Miami University; Zequn Sun, Medical University of South Carolina
11:50 AM

Wednesday, 08/02/2017

An Investigation of Conditional Heteroscedasticity Structural Change in S&P 500 Returns
Jinyu Du; V A Samaranayake, Missouri University of Science and Technology

A GARCH Type Poisson Model for Time Series of Counts with Cyclically Varying Zero Inflation
Isuru Ratnayake, Missouri University of Science and Technology; V A Samaranayake, Missouri University of Science and Technology

Estimation of GARCH Process by Empirical Likelihood
Kenichiro Tamaki, Waseda University
12:05 PM

A Moment Estimator for the GARCH-DCC Model: An Algorithm for Estimating Dynamic Functional Connectivity in High-Dimensional fMRI Data
Yuting Xu, Johns Hopkins Bloomberg SPH; Martin Lindquist, Johns Hopkins University
2:05 PM