JSM Activity #310

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Activity ID:  310
! Time Series Methods for Finance and Macroeconomics I
Date / Time / Room Sponsor Type
10:30 AM - 12:20 PM
Room: S-New York Ballroom B
Business & Economics Statistics Section*, SSC Contributed
Organizer: n/a
Chair: Edward Melnick, New York University
Floor Discussion 12:05 PM

Two papers discuss tests for financial data. Other papers deal with forecasting, detection of turning points, and estimation, with several macroeconomic applications.
  300470  By:  Pierre  Duchesne 10:35 AM 08/14/2002
Detecting Duration Clustering and Adequacy of Autoregressive Conditional Duration Models Using Wavelets

  301229  By:  Zeynep I. Kalaylioglu 10:50 AM 08/14/2002
Bayesian Unit Root Tests in Stochastic Volatility Models

  301181  By:  B. D. McCullough 11:05 AM 08/14/2002
Benchmarks for Least Squares ARMA Models

  301460  By:  Denis  Pelletier 11:20 AM 08/14/2002
Linear Estimation of Weak VARMA Models with a Macroeconomic Application

  301015  By:  Eva  Andersson 11:35 AM 08/14/2002
On-line Detection of Turning Points in Business Cycles

  301820  By:  Dimitrios  Thomakos 11:50 AM 08/14/2002
Flexible Semiparametric Forecasting

JSM 2002

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Revised March 2002