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CC = Colorado Convention Center   H = Hyatt Regency Denver at Colorado Convention Center
* = applied session       ! = JSM meeting theme

Activity Details

508 Wed, 7/31/2019, 10:30 AM - 12:20 PM CC-101
Forecasting and Modeling Financial Volatility — Contributed Papers
Business and Economic Statistics Section
Chair(s): Tucker McElroy, US Census Bureau
10:35 AM Estimation of Model-Free Implied Variance
Shuang Zhang, Peking University; Song Xi Chen, Peking University; Lei Lu, University of Manitoba
10:50 AM Inference for Volatility Functionals of Ito Semimartingales Observed with Noise
Richard Chen, University of Chicago
11:05 AM Long-Horizon Return Predictability with Realized Volatility from Pure Jump Point Process

Meng-Chen Hsieh, Rider University; Clifford Hurvich, New York University
11:20 AM Creating Stock Portfolios Using Hidden Markov Models

Qing Ji, University of Maryland, Baltimore County; Nagaraj Neerchal, University of Maryland, Baltimore County
11:35 AM Business Cycle Downturn Patterns across Texas

Aaron Nazarian, Border Region Modeling Project; Thomas Fullerton, UTEP
11:50 AM Modeling and Forecasting Financial Volatility Using Composite CARR Models

Isuru Ratnayake, Missouri University of Science and Technology; V A Samaranayake, Missouri University of Science and Technology
12:05 PM Floor Discussion