JSM 2003 Online Program

Abstract #300360

This is the preliminary program for the 2003 Joint Statistical Meetings in San Francisco, California. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 2-5, 2003); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

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Activity Number:	270
Type:	Invited
Date/Time:	Tuesday, August 5, 2003 : 2:00 PM to 3:50 PM
Sponsor:	IMS
Abstract - #300360
Title:	Nonparametric Estimation of Conditional Variance and Quantiles
Author(s):	Ruey-Shiong Tsay*+
Companies:	University of Chicago
Address:	Graduate School of Business, Chicago, IL, 60637-1511,
Keywords:	derivative pricing ; dynamic factor model ; Value at Risk ; volatility
Abstract:	Conditional variance and quantitles have many important applications in finance. Estimation of these statistics quickly becomes complicated in the multivariate case as the dimension increases. Parametric models often employ many parameters unless assumptions are made a priori about the underlying structure, e.g., dynamic factor models. In this talk, we discuss nonparametric methods to this estimation problem. In particular, we investigate statistical methods to dimension reduction using nonparametric procedures. We also study properties of the procedures used.

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