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JSM 2012 Online Program

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Activity Details

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

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