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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

180 Mon, 8/1/2016, 10:30 AM - 12:20 PM CC-W195
High-Frequency and Other Financial Econometric Topics — Contributed Papers
Business and Economic Statistics Section
Chair(s): Xiaohui Chang, Oregon State University
10:35 AM Quantile Regression for Location-Scale Time Series Models with Conditional Heteroscedasticity Jungsik Noh, The University of Texas Southwestern Medical Center ; Sangyeol Lee, Seoul National University
10:50 AM Order-Averaged Cholesky-GARCH Models: Comparison of Asset Ordination Methods Xiaoning Kang, Virginia Tech ; Xinwei Deng, Virginia Tech ; Kam Tsui, University of Wisconsin - Madison ; Mohsen Pourahmadi, Texas A&M University
11:05 AM On the Inference of the Spikes for the High-Dimensional Covariance Matrix Based on High-Frequency Data Keren Shen ; JIANFENG YAO, The University of Hong Kong ; Wai Keung Li, The University of Hong Kong
11:20 AM Modified QMLEs for Location and Zero-Augmented Multiplicative Error Models: Order of (1,1) Qian Li, University of Kansas Medical Center
11:35 AM Network System Identification for Point Processes Victor Solo, University of New South Wales
11:50 AM Spline Estimation of a Semiparametric GARCH Model Rong Liu, University of Toledo ; Lijian Yang, Soochow University
12:05 PM Intermittency of Superpositions of Ornstein-Uhlenbeck (OU)--Type Processes Irena Tesnjak, Michigan State University ; Danijel Grahovac, J.J. Strossmayer University of Osijek ; Alla Sikorskii, Michigan State University ; Nikolai Leonenko, Cardiff University
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