This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Activity Details

31 ! Sun, 8/1/2010, 2:00 PM - 3:50 PM CC-15 (East)
Long Memory — Contributed Papers
Business and Economic Statistics Section
Chair(s): Ignacio Lobato, ITAM
2:05 PM Asymptotics of Self-Normalized Linear Processes with Long Memory Hailin Sang, National Institute of Statistical Sciences ; Magda Peligrad, University of Cincinnati
2:20 PM A Vector Autoregressive Approximation for an Infinite-Order Autoregressive Long Memory Process Chafik Bouhaddioui, United Arab Emirates University
2:35 PM Asymptotic Theory for Fractionally Integrated Asymmetric Power ARCH Models Kazuhiko Shinki, Wayne State University ; Henry Zhengjun Zhang, University of Wisconsin-Madison
2:50 PM Predicting Long-Horizon Returns Using Historical Volatility: Statistical Significance and Modeling Natalia Sizova, Rice University
3:05 PM Penalized Order Selection Procedure for AR Process Xiaodong Lin, Rutgers University
3:20 PM Floor Discussion

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