JSM Activity #84This is the preliminary program for the 2004 Joint Statistical Meetings in Toronto, Canada. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2004); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions. To View the Program: You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time. |
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Legend: = Applied Session,
= Theme Session,
= Presenter FRY = Fairmont Royal York, ICH = InterContinental Hotel, TCC = Metro Toronto Convention Center |
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84 | Mon, 8/9/04, 8:30 AM - 10:20 AM | TCC-803 B |
Statistical Methods in Finance - Contributed - Papers | ||
Business and Economics Statistics Section | ||
Chair(s): Yan Yu, University of Cincinnati | ||
8:35 AM | Inference for Stochastic Volatility Models with Semi-Markov Regime Switching — Zhaohui Liu, University of Connecticut; Nalini Ravishanker, University of Connecticut | |
8:50 AM | MCMC Estimation of Multiscale Stochastic Volatility Models — German Molina, Credit Suisse-First Boston; Chuan-Hsiang Han, University of Minnesota; Jean-Pierre Fouque, North Carolina State University | |
9:05 AM | MCMC Estimation of Multifactor Affine Term-Structure Models — He Hu, University of California, Los Angeles | |
9:20 AM | Statistical Estimation Error and Risk Aversion in Portfolio Formation — Andrew F. Siegel, University of Washington | |
9:35 AM | Modeling Market Returns with a Speculative Bubble — Leonard C. MacLean, Dalhousie University | |
9:50 AM | On Examining Asymmetric Behavior of Price Limit Moves — Ping-Hung Hsieh, Oregon State University; J. Jimmy Yang, Oregon State University | |
10:05 AM | Scenario-based Conditional Nonlinear Hedge Fund Model — Bernard Lee, Imperial College, London; Youngju Lee, Allianz Hedge Fund Partners | |
JSM 2004
For information, contact jsm@amstat.org
or phone (888) 231-3473. If you have questions about the Continuing Education program,
please contact the Education Department. |