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CC = Baltimore Convention Center,    H = Hilton Baltimore
* = applied session       ! = JSM meeting theme

Activity Details

604 * ! Thu, 8/3/2017, 8:30 AM - 10:20 AM CC-317
Recent Advances in High-Frequency and High-Dimensional Time Series — Topic Contributed Papers
Business and Economic Statistics Section , Section on Risk Analysis , International Indian Statistical Association
Organizer(s): Scott H. Holan, University of Missouri
Chair(s): Jiaxun Chen, University of Missouri-Columbia
8:35 AM Modeling Financial Durations Using Estimating Functions Nalini Ravishanker, University of Connecticut ; Yaohua Zhang, University of Connecticut ; Jian Zou, Worcester Polytechnic Institute ; Aerambamoorthy Thavaneswaran, University of Manitoba
8:55 AM Efficient Portfolio Allocation with Sparse Volatility Estimation for High-Frequency Financial Data Jian Zou, Worcester Polytechnic Institute
9:35 AM Sparse Mean-Variance Portfolios: a Penalized Utility Approach David Walker Puelz, University of Texas
9:55 AM Multivariate Models of Realized Beta and Stochastic Volatility Katherine Ensor, Rice University
10:15 AM Floor Discussion
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