JSM 2011 Online Program

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Activity Details


107 * ! Mon, 8/1/2011, 8:30 AM - 10:20 AM CC-D231/232
Quantile Regression, Time Series, and Extremes with Applications to Business Forecasting and Risk Management — Invited Papers
Business and Economic Statistics Section , International Indian Statistical Association , Section on Nonparametric Statistics , Section on Risk Analysis
Organizer(s): Katherine Bennett Ensor, Rice University
Chair(s): Katherine Bennett Ensor, Rice University
8:35 AM Recovering the Tail Shape Parameter of the Risk Neutral Density from Option Prices Kamal Hamidieh, Rice University
9:00 AM Sparse-Moving Maxima Models for Extreme Dependence in Multivariate Financial Time Series Zhengjun Zhang, University of Wisconsin
9:25 AM A Gini Autocovariance Function: Formulation, Properties, Estimation, and Applications Robert Serfling, The University of Texas at Dallas
9:50 AM Can Robust Quantile Regression Improve Valuation of Baseball Players? Jonathan Lane, Rice University ; David W. Scott, Rice University
10:15 AM Floor Discussion



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