JSM Activity #94

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Activity ID:  94
Title
! Nonlinear Models and Forecasting
Date / Time / Room Sponsor Type
08/12/2002
10:30 AM - 12:20 PM
Room: H-New York Suite 		Business & Economics Statistics Section* Topic Contributed
Organizer: Tae-Hwy Lee, University of California, Riverside
Chair: Tae-Hwy Lee, University of California, Riverside
Discussant:  
Floor Discussion 12:15 PM
Description

The session consists of five papers on recent developments in nonlinear time series (modelling, testing, and forecasting) and their applications to finance and economics (stock price dynamics, asset pricing, term structure of interest rates, density forecast evaluations, and structural change).
  300771  By:  George E. Tauchen 10:35 AM 08/12/2002
Alternative Models for Stock Price Dynamics

  300957  By:  Yongmiao  Hong 10:55 AM 08/12/2002
Testing Dynamic Asset Pricing Models via the Stochastic Discount Factor: A Generalized Spectral Approach

  300475  By:  Canlin  Li 11:15 AM 08/12/2002
Modeling and Forecasting the Term Structure of Government Bond Yields

  301369  By:  Aurobindo  Ghosh 11:35 AM 08/12/2002
Density Forecast Evaluation with Applications in Economics and Finance

  300672  By:  Michael W. McCracken 11:55 AM 08/12/2002
Consistent Testing for Structural Change at the Ends of the Sample

JSM 2002

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Revised March 2002