JSM 2012 Online Program
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Online Program HomeActivity Details
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514 | Wed, 8/1/2012, 10:30 AM - 12:20 PM | CC-Room 29A | |
Heavy Tails and Long Memory — Contributed Papers | |||
Business and Economic Statistics Section | |||
Chair(s): Myung Suk Kim, Sogang University | |||
10:35 AM | Robust Fitting of Heavy-Tailed Autoregressive Models Using Gini Autocovariance Functions — Marcel Carcea ; Robert Serfling, The University of Texas at Dallas | ||
10:50 AM | Are the Tails Different from the Body? An International Approach to Stock Returns' Tail Dependence — Jose Faias, Catolica Lisbon SBE | ||
11:05 AM | Goodness-of-Fit Testing for Non-Causal Autoregressive Time Series with Stable Noise — Yunwei Cui, University of Houston-Downtown ; Thomas Fisher, University of Missouri-Kansas City ; Rongning Wu, Baruch College | ||
11:20 AM | A Goodness-of-Fit Test for Identifying the Maximum Domain of Attraction — Tatsuyoshi Okimoto, Hitotsubashi University ; Hiroaki Kaido, Boston University | ||
11:35 AM | A New Portmanteau Test for Short Memory in Long Memory Processes — Timothy Hughes, PacificSource ; Jaechoul Lee, Boise State University | ||
11:50 AM | Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability — Natalia Sizova, Rice University | ||
12:05 PM | Floor Discussion |
2012 JSM Online Program Home
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