Legend:
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
|
|
