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Activity Details


347 Tue, 8/6/2013, 10:30 AM - 12:20 PM CC-524a
Recent Advances in Financial and Economic Statistics — Topic Contributed Papers
Business and Economic Statistics Section , Scientific and Public Affairs Advisory Committee
Organizer(s): Jian Zou, Indiana University-Purdue University Indianapolis
Chair(s): Xia Wang, University of Cincinnati
10:35 AM Optimal Sparse Volatility Matrix Estimation for High-Dimensional Ito Processes with Measurement Errors Minjing Tao, Department of Statistics, University of Wisconsin-Madison ; Yazhen Wang, University of Wisconsin-Madison ; Harrison Zhou, Yale University
10:55 AM Large Portfolio Allocation Using High-Frequency Financial Data Jian Zou, Indiana University-Purdue University Indianapolis ; Yichao Wu, NC State University
11:15 AM What's Beneath the Surface? Option Pricing with Multifrequency Latent States Laurent Calvet, HEC Paris ; Marcus Fearnley, HEC Paris ; Adlai Fisher, University of British Columbia ; Markus Leippold, University of Zurich
11:35 AM Ensemble Subsampling for Imbalanced Multivariate Two-Sample Tests Lisha Chen, Yale University, Statistics Department ; Wei Dou, MIT ; Zhihua Qiao, JPMorgan Chase
11:55 AM Floor Discussion



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