JSM 2012 Online Program
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Online Program HomeActivity Details
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133 * ! | Mon, 7/30/2012, 8:30 AM - 10:20 AM | CC-Room 29C | |
Volatility and ARCH/GARCH — Contributed Papers | |||
Business and Economic Statistics Section | |||
Chair(s): Ginger Koev, Hewlett-Packard | |||
8:35 AM | The Estimation of Leverage Effect with High-Frequency Data — Dan Wang, The University of Chicago | ||
8:50 AM | Weekly Crude Oil Spot Price Forecasting Using Oil Inventories and Stock Market Indexes — Myung Suk Kim, Sogang University | ||
9:05 AM | Exploratory Data Analysis of Stock Returns — Kimihiro Noguchi, University of California at Davis ; Alexander Aue, University of California at Davis ; Prabir Burman, University of California at Davis | ||
9:20 AM | Is the TAR Model Useful for Analyzing Financial Time Series? — Fabio H. Nieto, Universidad Nacional de Colombia ; Edna Carolina Moreno, Universidad Santo Tomás | ||
9:35 AM | GARCH Models Estimation with Missing Observations Using State Space Representation — Natalia Bahamonde, Pontificia Universidad Católica de Valparaiso ; Sebastián Ossandón, Pontificia Universidad Católica de Valparaíso | ||
9:50 AM | Constrained Regression for Interval-Valued Data: The Daily Low/High Interval of SP500 Returns — Wei Lin, University of California at Riverside ; Gloria González-Rivera, University of California at Riverside | ||
10:05 AM | Regularized Realized Covariance Estimator Under Market Microstructure Noise — Changgee Chang, The University of Chicago |
2012 JSM Online Program Home
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