JSM 2011 Online Program

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551 !	Wed, 8/3/2011, 2:00 PM - 3:50 PM	CC-D231/232
Emerging Statistical Problems in Finance — Invited Papers
IMS , International Chinese Statistical Association
Organizer(s): Jianqing Fan, Princeton University
Chair(s): Jianqing Fan, Princeton University
2:05 PM	Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets — Olivier Scaillet, University of Geneva/Swiss Finance Institute ; Patrick Gagliardini, University of Lugano/Swiss Finance Institute ; Elisa Ossola, University of Lugano
2:35 PM	Between Data Cleaning and Inference: Pre-Averaging and Robust Estimators of the Efficient Price — Per Mykland, The University of Chicago ; Lan Zhang, University of Illinois at Chicago
3:05 PM	Modeling Dependence Structure via Spatial Parameter and Variable Selection — Chunrong Ai , University of Florida ; Meixia Meng, Shanghai University of Finance and Economics
3:35 PM	Floor Discussion

2011 JSM Online Program Home

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