This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Activity Details

604 * ! Thu, 8/5/2010, 8:30 AM - 10:20 AM CC-110 (West)
Frontiers of Financial Statistics — Invited Papers
Business and Economic Statistics Section , IMS
Organizer(s): Yingying Li, Hong Kong University of Science and Technology
Chair(s): Yazhen Wang, University of Wisconsin-Madison
8:35 AM Realized Volatility When Sampling Times Can Be Endogenous — Yingying Li, Hong Kong University of Science and Technology ; Per Mykland, The University of Chicago ; Eric Renault, The University of North Carolina at Chapel Hill ; Lan Zhang, University of Illinois at Chicago ; Xinghua Zheng, Hong Kong University of Science and Technology
9:00 AM Localized Realized Volatility Modeling Ying Chen, National University of Singapore ; Wolfgang Haerdle, Humboldt University in Berlin ; Uta Pigorsch, Universitaet Mannheim
9:25 AM Quasi-Maximum Likelihood Estimation of Volatility with High-Frequency Data Dacheng Xiu, Princeton University
9:50 AM Studying the Leverage Effect Based on High-Frequency Data — Yacine Ait-Sahalia, Princeton University ; Jianqing Fan, Princeton University ; Yingying Li, Hong Kong University of Science and Technology
10:15 AM Floor Discussion



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