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Sessions Were Renumbered as of May 19.

CC-W = McCormick Place Convention Center, West Building,   CC-N = McCormick Place Convention Center, North Building
H = Hilton Chicago,   UC= Conference Chicago at University Center
* = applied session       ! = JSM meeting theme

Activity Details

504 Wed, 8/3/2016, 8:30 AM - 10:20 AM CC-W184a
Risk, Prediction, and Financial Econometrics — Contributed Papers
Business and Economic Statistics Section , Section on Physical and Engineering Sciences , Section on Risk Analysis
Chair(s): Lei Jin, Texas A&M University - Corpus Christi
8:35 AM Confidence Intervals for Unknown Means of Both Skewed and Long-Range Dependent Populations Kyungduk Ko, Boise State University
8:50 AM Extracting Risk-Neutral Distributions Using CDS Spreads and Option Prices Mohammad Jahan-Parvar, Federal Reserve Board ; Sirio Aramonte, Federal Reserve Board ; Sam Rosen, The University of North Carolina at Chapel Hill ; John Schindler, Federal Reserve Board
9:05 AM Dynamic Modeling of Factor Risks in Multi-strategy Hedge Fund Investment Portfolios Weiren Chang, JP Morgan
9:20 AM Exchange Traded Funds with Variable Leverage Valmira Hoxhaj, Oakland University ; Ravindra Khattree, Oakland University
9:35 AM Asymptotic Expansion of One-Factor Merton Models with Non-Gaussian and Serially Correlated Innovations Takayuki Shiohama, Tokyo University of Science
9:50 AM Variable Selection for Corporate Bankruptcy Prediction: A Generalized Single-Index Approach Shaobo Li, University of Cincinnati ; Yan Yu, University of Cincinnati
10:05 AM Zero-Inflated Models vs. Hurdle Models in Modeling Auto Insurance Claims in an Emerging Market: A Case Study of Nigeria Mary Akinyemi, University of Lagos ; Bisola Adijat Rufai, University of Lagos
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