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

Modeling Maxima in Financial Time Series with Dynamic Generalized Extreme Value Distribution
Zifeng Zhao, University of Wisconsin-Madison; Zhengjun Zhang, University of Wisconsin; Rong Chen, Rutgers University
2:05 PM

Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
Jianqing Fan, Princeton University; Donggyu Kim, Princeton University
4:05 PM

Wednesday, 08/02/2017

Knowing Factors or Factor Loadings, or Neither? Evaluating Estimators of Large Covariance Matrices with Noisy and Asynchronous Data
Kun Lu, Princeton University; Chaoxing Dai, Booth School of Business University of Chicago; Dacheng Xiu, University of Chicago
2:50 PM

Thursday, 08/03/2017

Efficient Portfolio Allocation with Sparse Volatility Estimation for High-Frequency Financial Data
Jian Zou, Worcester Polytechnic Institute
8:55 AM