JSM Activity #268

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Activity ID:  268
Title
! Modelling Volatility with High and Higher Frequency Data
Date / Time / Room Sponsor Type
08/14/2002
8:30 AM - 10:20 AM
Room: H-Mercury Ballroom 		Business & Economics Statistics Section* Invited
Organizer: Robert Engle, Stern School of Business, New York University
Chair: Robert Engle, Stern School of Business, New York University
Discussant:  
Floor Discussion 10:10 AM
Description

Financial Time Series
  300253  By:  Torben  Andersen 8:35 AM 08/14/2002
Modelling and Forecasting Realized Volatility

  300254  By:  Rohit  Deo 9:00 AM 08/14/2002
On Estimation and Prediction for Long Memory Stochastic Volatility Models

  300255  By:  Giampiero M. Gallo 9:25 AM 08/14/2002
A Model for Intra-Daily Volatility with Multiple Indicators

  300256  By:  Jeffrey  Russell 9:50 AM 08/14/2002
Effects of Non-normality and Dependence on the Precision of Variance Estimates Using High Freqeuncy Data

JSM 2002

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Revised March 2002