JSM Activity #19

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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Legend: = Applied Session, = Theme Session, = Presenter
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19 Theme Session Sun, 8/3/03, 2:00 PM - 3:50 PM H-Union Square 17 & 18
Time Series: Garch - Contributed - Papers
Business & Economics Statistics Section
Chair(s): Yue Fang, University of Oregon
     2:05 PM   Flexible Multivariate GARCH Modeling — Michael Wolf, Universitat Pompeu Fabra; Pedro Santa-Clara, Anderson School UCLA; Olivier Ledoit, Credit Suisse First Boston
     2:20 PM   Specification Testing of Multivariate GARCH Models: A Monte Carlo Study — Sonila Beliu, Western Michigan University; Matthew L. Higgins, Western Michigan University
     2:35 PM   Volatility Forecasting with GARCH Models when the Fourth Moment Does Not Exist — Yasemin Bardakci, Western Michigan University; Matthew L. Higgins, Western Michigan University
     2:50 PM   Flexible Parametric Distributions for Financial Data — James B. McDonald, Brigham Young University; Christian K. Hansen, Eastern Washington University; Panayiotis Theodossiou, Rutgers University
     3:05 PM   Residual-Based Finite-Sample Misspecification Tests in Multivariate Regressions with Applications to Asset Pricing Models — Lynda Khalaf, Universite Laval; Jean-Marie Dufour, Universite De Montreal; Marie-Claude Beaulieu, Universite Laval
     3:20 PM   Modeling the Effect of Securities Transaction Tax on Liquidity and Volatility Using GARCH and ACD Models — Yu-Jane Liu, National Chengchi University
     3:35 PM   Floor Discussion
 

JSM 2003 For information, contact meetings@amstat.org or phone (703) 684-1221. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2003