JSM 2011 Online Program
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Activity Details
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308 | Tue, 8/2/2011, 8:30 AM - 10:20 AM | CC-B114 | |
Robust Methods and Methods for Heavy Tails — Contributed Papers | |||
Business and Economic Statistics Section | |||
Chair(s): Kamal Hamidieh, Rice University | |||
8:35 AM | GEL Estimation for Semi-Strong Nonlinear GARCH with Robust Empirical Likelihood Inference — Jonathan Hill, The University of North Carolina ; Artem Prokhorov, Concordia University | ||
8:50 AM | Partially Linear Modeling for Conditional Quantile — Chaojiang Wu, University of Cincinnati ; Yan Yu, University of Cincinnati | ||
9:05 AM | Quantile Autocorrelation Function and Quantile Partial Autocorrelation Function — Yang Li, University of Hong Kong | ||
9:20 AM | Inference in Predictive Quantile Regressions — Alex Maynard, University of Guelph ; Katsumi Shimotsu, Hitotsubashi University ; Yini Wang, Queen's University | ||
9:35 AM | Least Squares Estimation and Order Selection for Heavy-Tailed ARMA Time Series with GARCH Innovations — Huanhuan Wang, Northwestern University ; Beth Andrews, Northwestern University | ||
9:50 AM | Assessing Extremal Dependence in Equity Markets — Jose Faias, Universidade Catolica Portuguesa ; Miguel de Carvalho, Ecole Polytechnique Fédérale de Lausanne, Swiss Federal Institute of Technology ; António Rua, Banco de Portugal | ||
10:05 AM | Systematic Risk Under Extremely Adverse Market Conditions — Chen Zhou, Erasmus University ; Maarten van Oordt, De Nederlandsche Bank |
2011 JSM Online Program Home
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