JSM 2005 - Toronto

JSM Activity #267

This is the preliminary program for the 2005 Joint Statistical Meetings in Minneapolis, Minnesota. 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, 2005); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

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The Program has labeled the meeting rooms with "letters" preceding the name of the room, designating in which facility the room is located:

Minneapolis Convention Center = “MCC” Hilton Minneapolis Hotel = “H” Hyatt Regency Minneapolis = “HY”

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267 Tue, 8/9/05, 10:30 AM - 12:20 PM MCC-103 B
Financial Time Series Models - Contributed - Papers
Business and Economics Statistics Section
Chair(s): Lawrence Marsh, University of Notre Dame
     10:35 AM   Semiparametric Estimation of a Multivariate Distribution Using Copulas when Each Variable Satisfies a Regression Model — Mervyn Silvapulle, Monash University; Gunky Kim, Monash University; Paramsothy Silvapulle, Monash University
     10:50 AM   Nonparametric Estimation of Volatility Models with Serially Dependent Innovations — Michael Levine, Purdue University; Christian M. Dahl, Purdue University
     11:05 AM   Gaussian Approximations of Option Prices in Stochastic Volatility Models — Yichao Wu, University of North Carolina, Chapel Hill; Chuanshu Ji, University of North Carolina, Chapel Hill
     11:20 AM   The Dynamics of the London Gold Fix Volatility: An APARCH Analysis — Stephen Pollard, California State University, Los Angeles; Giorgio Canarella, California State University, Los Angeles
     11:35 AM   Option Pricing and Hedging for Stock Prices with Discrete Jumps and Stochastic Intensity Rate — Rituparna Sen, University of California, Davis
     11:50 AM   Modeling the Dynamic Dependence Structure in Multivariate Financial Time Series — Mihaela Serban, Carnegie Mellon University; John Lehoczky, Carnegie Mellon University; Anthony E. Brockwell, Carnegie Mellon University; Sanjay Srivastava, Carnegie Mellon University
     12:05 PM   Floor Discussion
 

JSM 2005 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.
Revised March 2005