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This is the preliminary program for the 2007 Joint Statistical
Meetings in Salt Lake City, Utah.
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The views expressed here are those of the individual authors and not necessarily those of the ASA or its board, officers, or staff. Back to main JSM 2007 Program page |
= Applied Session,
= Theme Session,
= Presenter
247
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Tue, 7/31/07, 8:30 AM - 10:20 AM | CC-155 B |
| Volatility and Risk - Contributed - Papers | ||
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Business and Economics Statistics Section |
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| Chair(s): Roger Berger, Arizona State University | ||
| 8:35 AM |
Optimal House Tenure and Portfolio Choice with Housing as a Hedging Asset —  Yu Zhang, Columbia Business School
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| 8:50 AM |
Comparing Portfolio Credit Risk Methods on Diversification Effect — Ming-Chin Hung, Soochow University; Yi-Ping Chang, Soochow University; Huimei Liu, National Chengchi University
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| 9:05 AM |
An Approximation Scheme for Option Pricing for Stochastic Volatility Models — Jungyeon Yoon, The University of North Carolina at Chapel Hill; Chuanshu Ji, The University of North Carolina at Chapel Hill; Eric Renault, The University of North Carolina at Chapel Hill
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| 9:20 AM |
Empirical Analysis of Volatility Dynamics in High-Frequency Returns with a Time-Varying Component Model — Ka Sing Man, Western Illinois University; Chunchi Wu, Singapore Management School
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| 9:35 AM |
A Multivariate Stochastic Volatility Model and Its Inference — Peng Liu, North Carolina State University; Peter Bloomfield, North Carolina State University
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| 9:50 AM |
High-Dimensional Volatility Models — David S. Matteson, The University of Chicago; Ruey S. Tsay, The University of Chicago Graduate School of Business
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| 10:05 AM | Floor Discussion | |
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JSM 2007
For information, contact jsm@amstat.org
or phone (888) 231-3473. If you have questions about the Continuing Education program,
please contact the Education Department. |