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This is the preliminary program for the 2008 Joint Statistical
Meetings in Denver, Colorado.
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The views expressed here are those of the individual authors and not necessarily those of the ASA or its board, officers, or staff. Back to main JSM 2008 Program page |
= Applied Session,
= Theme Session,
= Presenter|
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| 196 | Mon, 8/4/08, 2:00 PM - 3:50 PM | CC-108 |
| Volatility - Contributed - Papers | ||
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Business and Economics Statistics Section, IMS |
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| Chair(s): Rebecca J. Sela, Stern School of Business/New York University | ||
| 2:05 PM |
Autoregressive Models with Missing Data and Dependent Innovations —  Natalia Bahamonde, Pontifica Universidad Católica de Valparaíso
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| 2:20 PM |
The Contribution of Jumps to Price Volatility in the Energy Futures Market — Johan Bjursell, George Mason University; James E. Gentle, George Mason University; George H K. Wang, George Mason University
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| 2:35 PM |
GARCH Model with Non-I.I.D. Rescaled Errors — Kazuhiko Shinki, University of Wisconsin-Madison
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| 2:50 PM |
Memory Structure in Stochastic Volatility Models — Wen Li, Iowa State University; Cindy Yu, Iowa State University; Alicia Carriquiry, Iowa State University; Wolfgang Kliemann, Iowa State University
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| 3:05 PM |
How Potent Are News Reversals? Evidence from the Futures Markets — Rohan A. Christie-David, University of Louisville; Arjun Chatrath, University of Portland; Kiseop Lee, University of Louisville
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| 3:20 PM | Floor Discussion | |
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JSM 2008
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. |