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 |
2010 JSM Online Program Home
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