JSM 2015 Preliminary Program

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Legend: Washington State Convention Center = CC, Sheraton Seattle = S, Grand Hyatt = GH and The Conference Center = TCC
* = applied session       ! = JSM meeting theme

Activity Details
683 Thu, 8/13/2015, 10:30 AM - 12:20 PM CC-211
Financial Econometrics — Contributed Papers
Business and Economic Statistics Section
Chair(s): Beatriz Etchegaray Garcia, IBM Research
10:35 AM Information Content of Credit Rating Changes: Evidence from Trading Volume Using a New Nonparametric Test — Andrew Siegel, University of Washington ; Jonathan Brogaard, University of Washington ; Jennifer L. Koski, University of Washington
10:50 AM Empirical Issues with Level III Limit Order Book Data — Raja Velu, Syracuse University ; Krzysztof Herman, Syracuse University
11:05 AM Bridging Joint and Grouped Sufficient Dimension Reduction: Application in Forecasting the Equity Risk Premium — Haileab Hilafu, University of Tennessee
11:20 AM Evaluating Interest Rate Derivatives with Discretely Observed Non-Gaussian Hull-White Models — Takayuki Shiohama, Tokyo University of Science
11:35 AM Determining the Number of Factors in Affine Term Structure Models — Tao Zou, Peking University ; Song Xi Chen, Peking University/Iowa State Univeristy
11:50 AM Floor Discussion




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