Legend:
CC = Vancouver Convention Centre
F = Fairmont Waterfront Vancouver
* = applied session ! = JSM meeting theme
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109 *
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Mon, 7/30/2018,
8:30 AM -
10:20 AM
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CC-West 304/305
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Time Series and Forecasting — Topic Contributed Papers
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Business and Economic Statistics Section, International Statistical Institute
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Organizer(s): Sumanta Basu, Cornell University
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Chair(s): David Matteson, Cornell University
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8:35 AM
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Goodness of Fit Statistics Based on Quantile Periodogram for Time Series with Nonlinear Dynamic Volatility
Ta-Hsin Li, IBM T. J. Watson Research Center
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8:55 AM
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Monotonic Effects of Characteristics on Returns
Jared Fisher, University of Texas McCombs School of Business; Carlos Carvalho, University of Texas
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9:15 AM
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New Methods for Threshold Variable Identification and Estimation in Threshold Dynamic Factor Models
Xialu Liu, San Diego State University; Rong Chen, Rutgers University
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9:35 AM
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New Approach to Dimention Reduction for Volatility of Stationary Multivariate Time Series"
Chung Eun Lee, University of Tennessee, Knoxville; Xiaofeng Shao, University of Illinois at Urbana-Champaign
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9:55 AM
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Regularized Estimation of High-Dimensional Spectral Density
Sumanta Basu, Cornell University
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10:15 AM
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Floor Discussion
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