JSM 2011 Online Program
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Activity Details
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669 | Thu, 8/4/2011, 10:30 AM - 12:20 PM | CC-D234 | |
Volatility Modeling — Contributed Papers | |||
Business and Economic Statistics Section | |||
Chair(s): Russell Zaretzki, The University of Tennessee at Knoxville | |||
10:35 AM | Identication Problem in the Multivariate Stochastic Volatility Model with Dynamic Correlations — Ye Liu, North Carolina State University | ||
10:50 AM | Forecasting Volatility: A Continuous Time Model Versus Discrete Time Models — Carles Breto, Universidad Carlos III de Madrid ; Helena Veiga, Universidad Carlos III de Madrid | ||
11:05 AM | Adaptive Estimation of VAR models with Time-Varying Variance: Application to Testing the VAR Order — Valentin Patilea, CREST-ENSAI ; Hamdi Raissi, IRMAR-INSA | ||
11:35 AM | Floor Discussion |
2011 JSM Online Program Home
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