JSM 2012 Online Program

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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

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