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Activity Details

39 Sun, 7/30/2017, 2:00 PM - 3:50 PM CC-347
Methods in Financial Risk Assessment — Contributed Papers
Section on Risk Analysis
Chair(s): Yishi Wang, University of North Carolina Wilmington
2:05 PM Modeling Maxima in Financial Time Series with Dynamic Generalized Extreme Value Distribution Zifeng Zhao, University of Wisconsin-Madison ; Zhengjun Zhang, University of Wisconsin ; Rong Chen, Rutgers University
2:20 PM Extracting Latent States from High Frequency Option Prices Jean-Francois Begin, Simon Fraser University ; Diego Amaya, Wilfred Laurier University ; Genevieve Gauthier, HEC Montréal
2:35 PM Using an Automated News Sentiment Analysis as an Additional Trading Rule for High Frequency Trading Engine Brahim Brahim, BDV Big Data Visualizations Inc
2:50 PM Multivariate Ordinal Regression Models: An Analysis of Corporate Credit Ratings Rainer Hirk, WU Vienna University of Economics and Business ; Laura Vana, WU Vienna University of Economics and Business ; Kurt Hornik, WU Vienna University of Economics and Business
3:05 PM Classification Using Ensemble Learning Under Weighted Misclassification Loss Yizhen Xu, Brown University ; Tao Liu, Brown University, Dept of Biostatistics ; Rami Kantor , Brown Univeresity School of Medicine ; Ann Mwangi, Moi University ; Michael J Daniels, University of Texas at Austin ; Joseph Hogan, Brown University, Dept of Biostatistics
3:20 PM Beyond P-Values: Hypothesis Testing Based on the BIC Model Selection Criterion Stanley Sclove, Univ of Illinois At Chicago ; Robert F Bordley, Booz Allen Hamilton
3:35 PM A Simple Extension of the FGM Copula for Negative Association Kahadawala Cooray, Central Michigan University
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