JSM 2011 Online Program
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Activity Details
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636 * ! | Thu, 8/4/2011, 10:30 AM - 12:20 PM | CC-D231/232 | |
Sparsity, Nonstationarity, and Dimension Reduction in Financial Statistics — Invited Papers | |||
Business and Economic Statistics Section , International Chinese Statistical Association | |||
Organizer(s): Piotr Fryzlewicz, London School of Economics | |||
Chair(s): Hernando Ombao, Brown University | |||
10:35 AM | Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches — Yazhen Wang, University of Wisconsin at Madison ; Minjing Tao, University of Wisconsin at Madison ; Qiwei Yao, London School of Economics | ||
11:00 AM | Haar-Fisz Methodology for Interpretable Estimation of Large, Sparse, Time-Varying Volatility Matrices — Piotr Fryzlewicz, London School of Economics | ||
11:25 AM | Factor Modeling for High-Dimensional Time Series — Clifford Lam, London School of Economics ; Qiwei Yao, London School of Economics | ||
11:50 AM | Common Volatility in Evolutionary Panels — Giovanni Motta, Maastricht University ; Matteo Barigozzi, London School of Economics and Political Science | ||
12:15 PM | Floor Discussion |
2011 JSM Online Program Home
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