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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
407
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Wed, 8/1/07, 10:30 AM - 12:20 PM | CC-250 A |
| Seasonality and Statistics in Finance - Topic Contributed - Papers | ||
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Business and Economics Statistics Section |
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| Organizer(s): Tucker S. McElroy, U.S. Census Bureau, Rituparna Sen, University of California, Davis | ||
| Chair(s): Tucker S. McElroy, U.S. Census Bureau | ||
| 10:35 AM |
Seasonal Heteroscedasticity in Time Series: Modeling, Estimation, and Testing —  William R. Bell, U.S. Census Bureau; Thomas M. Trimbur, Federal Reserve Board
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| 10:55 AM |
A Local Goodness-of-Fit Diagnostic Based on the Log Determinant of the Sample Covariance Matrix — Tucker S. McElroy, U.S. Census Bureau; Scott Holan, University of Missouri-Columbia
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| 11:15 AM |
Are Volatility Estimators Robust with Respect to Modeling Assumptions? — Yingying Li, The University of Chicago; Per A. Mykland, The University of Chicago
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| 11:35 AM |
Covariance Estimation for Nonsynchronous High-Frequency Data with Microstructure Noise — Qiuyan Xu, University of California, Davis; Rituparna Sen, University of California, Davis
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| 11:55 AM |
On Diagnostic Checking for Mixture Autoregressive Time Series — Qin Shao, University of Toledo
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| 12:15 PM | 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. |