JSM 2011 Online Program

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*636 !**	Thu, 8/4/2011, 10:30 AM - 12:20 PM	CC-D231/232
Sparsity, Nonstationarity, and Dimension Reduction in Financial Statistics — Invited Papers
Business and Economic Statistics Section , International Chinese Statistical Association
Organizer(s): Piotr Fryzlewicz, London School of Economics
Chair(s): Hernando Ombao, Brown University
10:35 AM	Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches — Yazhen Wang, University of Wisconsin at Madison ; Minjing Tao, University of Wisconsin at Madison ; Qiwei Yao, London School of Economics
11:00 AM	Haar-Fisz Methodology for Interpretable Estimation of Large, Sparse, Time-Varying Volatility Matrices — Piotr Fryzlewicz, London School of Economics
11:25 AM	Factor Modeling for High-Dimensional Time Series — Clifford Lam, London School of Economics ; Qiwei Yao, London School of Economics
11:50 AM	Common Volatility in Evolutionary Panels — Giovanni Motta, Maastricht University ; Matteo Barigozzi, London School of Economics and Political Science
12:15 PM	Floor Discussion

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