JSM 2017 Online Program

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

Keyword Search Criteria: high frequency data returned 4 record(s)

Sunday, 07/30/2017

Extracting Latent States from High Frequency Option Prices
Jean-Francois Begin, Simon Fraser University; Diego Amaya, Wilfred Laurier University; Genevieve Gauthier, HEC Montréal
2:20 PM

Wednesday, 08/02/2017

Seasonal Adjustment of Daily Data with JDemetra+
Dominique Ladiray, INSEE
8:55 AM

A Comparative Analysis of Alternative Approaches for the Seasonal Adjustment of Daily and Weekly Data
Gian Luigi Mazzi, Gopa Luxembourg; Dominique Ladiray, INSEE; Jean Palate, National Bank of Belgium ; Tommaso Proietti, University of Rome II
9:15 AM

Thursday, 08/03/2017

Efficient Asymptotic Variance Reduction When Estimating Volatility in High Frequency Data
Yoann Potiron, Keio University Faculty of Business and Commerce; Simon Clinet, The University of Tokyo
11:35 AM