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Legend: Palais des congrès de Montréal = CC, Le Westin Montréal = W, Intercontinental Montréal = I
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Activity Details

356 * Tue, 8/6/2013, 10:30 AM - 12:20 PM CC-524b
Financial Time Series Analysis — Contributed Papers
Business and Economic Statistics Section , International Chinese Statistical Association
Chair(s): Alan L. Montgomery, Carnegie Mellon University
10:35 AM A Review of Tests for Randomness in Time Series Data Boris Iglewicz, Temple University ; Alicia Graziosi Strandberg, Temple University
10:50 AM Statistical Inference in Infinite-Order Cointegrated Vector Autoregressive Processes Under Uncorrelated but Dependent Errors Chafik Bouhaddioui, United Arab Emirates University
11:05 AM Forecasting Multivariate Realized Stock Market Volatility: PCA or MFA? Xiaohang Wang, The University of Hong Kong ; Jianhua Zhao, Yunnan University of Finance and Economics ; Philip L.H. Yu, The University of Hong Kong
11:20 AM Prior Specification in Multivariate Regime-Switching Lognormal Models Brian Hartman, University of Connecticut ; David Engler, Department of Statistics, Brigham Young University
11:35 AM Testing the Economic Value of Asset Return Predictability Michael McCracken, Federal Reserve Bank St. Louis
11:50 AM Bootstrap Prediction Intervals for Conditional Heteroskedastic Models with Cyclically Varying Unconditional Variance Malaka Thilakaratne, Missouri University of Science & Technology ; V A Samaranayake, Missouri University of Science and Technology
12:05 PM Fitting Heavy-Tailed Nonlinear (Pareto) Autoregressive Time-Series Models Marcel Carcea ; Robert Serfling, The University of Texas at Dallas

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