JSM 2012 Online Program

The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.

Online Program Home


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

For information, contact jsm@amstat.org or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.