Sessions Were Renumbered as of May 19.
Legend:
CC-W = McCormick Place Convention Center, West Building,
CC-N = McCormick Place Convention Center, North Building
H = Hilton Chicago,
UC = Conference Chicago at University Center
* = applied session ! = JSM meeting theme
504
Wed, 8/3/2016,
8:30 AM -
10:20 AM
CC-W184a
Risk, Prediction, and Financial Econometrics — Contributed Papers
Business and Economic Statistics Section , Section on Physical and Engineering Sciences , Section on Risk Analysis
Chair(s): Lei Jin, Texas A&M University - Corpus Christi
8:35 AM
Confidence Intervals for Unknown Means of Both Skewed and Long-Range Dependent Populations
—
Kyungduk Ko, Boise State University
8:50 AM
Extracting Risk-Neutral Distributions Using CDS Spreads and Option Prices
—
Mohammad Jahan-Parvar, Federal Reserve Board ; Sirio Aramonte, Federal Reserve Board ; Sam Rosen, The University of North Carolina at Chapel Hill ; John Schindler, Federal Reserve Board
9:05 AM
Dynamic Modeling of Factor Risks in Multi-strategy Hedge Fund Investment Portfolios
—
Weiren Chang, JP Morgan
9:20 AM
Exchange Traded Funds with Variable Leverage
—
Valmira Hoxhaj, Oakland University ; Ravindra Khattree, Oakland University
9:35 AM
Asymptotic Expansion of One-Factor Merton Models with Non-Gaussian and Serially Correlated Innovations
—
Takayuki Shiohama, Tokyo University of Science
9:50 AM
Variable Selection for Corporate Bankruptcy Prediction: A Generalized Single-Index Approach
—
Shaobo Li, University of Cincinnati ; Yan Yu, University of Cincinnati
10:05 AM
Zero-Inflated Models vs. Hurdle Models in Modeling Auto Insurance Claims in an Emerging Market: A Case Study of Nigeria
—
Mary Akinyemi, University of Lagos ; Bisola Adijat Rufai, University of Lagos
