JSM 2011 Online Program

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Activity Details


669 Thu, 8/4/2011, 10:30 AM - 12:20 PM CC-D234
Volatility Modeling — Contributed Papers
Business and Economic Statistics Section
Chair(s): Russell Zaretzki, The University of Tennessee at Knoxville
10:35 AM Identication Problem in the Multivariate Stochastic Volatility Model with Dynamic Correlations Ye Liu, North Carolina State University
10:50 AM Forecasting Volatility: A Continuous Time Model Versus Discrete Time Models Carles Breto, Universidad Carlos III de Madrid ; Helena Veiga, Universidad Carlos III de Madrid
11:05 AM Adaptive Estimation of VAR models with Time-Varying Variance: Application to Testing the VAR Order Valentin Patilea, CREST-ENSAI ; Hamdi Raissi, IRMAR-INSA
11:35 AM Floor Discussion



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