JSM 2012 Home

JSM 2012 Online Program

The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.

Online Program Home

Activity Details

385 * Tue, 7/31/2012, 2:00 PM - 3:50 PM CC-Room 29B
Dynamic Factor and Volatility Modeling of Multivariate Economic and Financial Time Series — Topic Contributed Papers
Business and Economic Statistics Section
Organizer(s): Peter Zadrozny, Bureau of Labor Statistics
Chair(s): Peter Zadrozny, Bureau of Labor Statistics
2:05 PM One-Sided Representations of Generalized Dynamic Factor Models Marco Lippi, Universita' di Roma "La Sapienza" ; Mario Forni, Università degli Studi di Modena e Reggio Emilia ; Marc Hallin, ECARES ; Paolo Zaffaroni, Imperial College London
2:25 PM Reduced-Rank Time-Series Models Victor Solo, University of New South Wales
2:45 PM Generalized Linear Dynamic Factor Models: The Single and the Mixed Frequency Case Manfred Deistler, Vienna University of Technology ; Brian D.O. Anderson, Australian National University ; Elisabeth Felsenstein, Vienna University of Technology ; Alexander Filler, Uniqa ; Bernd Funovits, University of Vienna ; Mohsen Zamani, Australian National University
3:05 PM Cholesky Factorization Method for VARMA Modeling of Residual Volatilities of Single- and Mixed-Frequency Data — Peter Zadrozny, Bureau of Labor Statistics ; Klaus Wohlrabe, Ifo Institut ; Stefan Mittnik, Ludwig-Maxilians-Universität München
3:25 PM Multivariate Stochastic Volatility Models Based on Non-Gaussian Ornstein-Uhlenbeck Processes: A Quasi-Likelihood Approach Arvid Raknerud ; Øivind Skare, University of Oslo
3:45 PM Floor Discussion

2012 JSM Online Program Home

For information, contact jsm@amstat.org or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.