Sessions Were Renumbered as of May 19.
Legend:
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
