JSM 2017 Online Program

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

Keyword Search Criteria: volatility returned 11 record(s)

Sunday, 07/30/2017

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

Monday, 07/31/2017

Antarctic Subglacial Lake Detection Via a Discrete State-Switching Stochastic Volatility Model
Alyssa Jones, The University of Texas at Austin; Wesley Tansey, University of Texas at Austin; James Scott, The University of Texas at Austin; Jamin Greenbaum, The University of Texas at Austin

Tuesday, 08/01/2017

Multivariate Stochastic Volatility Modeling via the Spectral Decomposition
Victor Solo, University of New South Wales
2:20 PM

Modeling of Stock Indices with HMM-SV Models
John Wulu, DHS/ICE & HSI; Edesiri B Nkemnole, Department of Mathematics, University of Lagos; John T Wulu, University of Maryland University College
2:20 PM

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

Volatility Forecasting with Empirical Similarity: Japanese Stock Market Case
Yoshinori Kawasaki, Institute of Statistical Mathematics; Takayuki Morimoto, Kwansei Gakuin University

Betting on Low Volatility
Zhaogang Song, Johns Hopkins University; Lai Xu, Syracuse Univeristy; Nicola Fusari, Johns Hopkins University
9:50 AM

Thursday, 08/03/2017

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

Multivariate Models of Realized Beta and Stochastic Volatility
Katherine Ensor, Rice University
9:55 AM

Trends and Volatility of Stock Prices Following Occurrence of Specific Technical Patterns
James Shine, US Army (retired); James Gentle, George Mason University; Charles Perry, USDA retired
11:35 AM

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

JSM 2017 Online Program

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