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Activity Details

15 ! Sun, 8/3/2014, 2:00 PM - 3:50 PM CC-104C
Advanced Statistical Models for Risk Analysis in Insurance and Financial Markets — Topic Contributed Papers
Business and Economic Statistics Section
Organizer(s): Zhengjun Zhang, University of Wisconsin-Madison
Chair(s): David Scott Matteson, Cornell University   
2:05 PM An Unbiased Measure of Integrated Volatility in the Frequency Domain Fangfang Wang, University of Illinois at Chicago
2:25 PM Nested Asymptotic (In)Dependent Extreme Value Copulas in Max-Stable Processes with Application to High-Frequency Financial Data Zhengjun Zhang, University of Wisconsin-Madison ; Bin Zhu, University of Wisconsin
2:45 PM Realized Kernel Estimation of Quadratic Volatility with Irregular Sampling Times Michael Levine, Purdue University ; Jian Zou, Indiana University-Purdue University Indianapolis ; Xiaoguang Wang, Purdue University
3:05 PM Convolutional Autoregressive Models for Functional Time Series Rong Chen, Rutgers University ; Xialu Liu, Rutgers University
3:25 PM Robust Bayesian Portfolio Choice Airu Cheng, Northern Illinois University ; Evan Anderson, Northern Illinois University
3:45 PM Floor Discussion

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