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

Activity Details

174 ! Mon, 8/2/2010, 10:30 AM - 12:20 PM CC-302/303 (West)
Finance-Empirical — Contributed Papers
Business and Economic Statistics Section
Chair(s): Hedibert Freitas Lopes, The University of Chicago Booth School of Business
10:35 AM Modeling Bond-Trading Behavior Using a Zero-Inflated Multivariate Poisson Bonnie Kathryn Ray, IBM T.J. Watson Research Center ; Sarah Thomas, Rice University ; Katherine Bennett Ensor, Rice University
10:50 AM Dependence Evolution in International Equity Markets Tatsuyoshi Okimoto, Hitotsubashi University
11:05 AM Dynamic Correlation Structures in Factor Multivariate Stochastic Volatility Models Yu-Cheng Ku, North Carolina State University ; Peter Bloomfield, North Carolina State University
11:20 AM Determination of Cointegration Rank in High-Dimensional Systems: Evidence from the World's Major Stock Markets Alireza Tahai, Mississippi State University
11:35 AM First Significant Digit Distributions in the Credit Crisis Paul Hofmarcher, WU Wien ; Florian Löcker, Institute for Statistics and Mathematics
11:50 AM Credit Rating Dynamics in the Presence of Structural Breaks — Haipeng Xing, State University of New York at Stony Brook ; Ning Sun, State University of New York at Stony Brook ; Ying Chen, MEAG New York
12:05 PM Floor Discussion

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