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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



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