JSM 2011 Online Program

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Activity Details

308 Tue, 8/2/2011, 8:30 AM - 10:20 AM CC-B114
Robust Methods and Methods for Heavy Tails — Contributed Papers
Business and Economic Statistics Section
Chair(s): Kamal Hamidieh, Rice University
8:35 AM GEL Estimation for Semi-Strong Nonlinear GARCH with Robust Empirical Likelihood Inference Jonathan Hill, The University of North Carolina ; Artem Prokhorov, Concordia University
8:50 AM Partially Linear Modeling for Conditional Quantile Chaojiang Wu, University of Cincinnati ; Yan Yu, University of Cincinnati
9:05 AM Quantile Autocorrelation Function and Quantile Partial Autocorrelation Function Yang Li, University of Hong Kong
9:20 AM Inference in Predictive Quantile Regressions Alex Maynard, University of Guelph ; Katsumi Shimotsu, Hitotsubashi University ; Yini Wang, Queen's University
9:35 AM Least Squares Estimation and Order Selection for Heavy-Tailed ARMA Time Series with GARCH Innovations Huanhuan Wang, Northwestern University ; Beth Andrews, Northwestern University
9:50 AM Assessing Extremal Dependence in Equity Markets Jose Faias, Universidade Catolica Portuguesa ; Miguel de Carvalho, Ecole Polytechnique Fédérale de Lausanne, Swiss Federal Institute of Technology ; António Rua, Banco de Portugal
10:05 AM Systematic Risk Under Extremely Adverse Market Conditions Chen Zhou, Erasmus University ; Maarten van Oordt, De Nederlandsche Bank

2011 JSM Online Program Home

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