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344 ! Wed, 8/5/2020, 10:00 AM - 2:00 PM Virtual
Methods in Financial Econometrics — Contributed Papers
Business and Economic Statistics Section
Chair(s): Taeyoung Doh, Federal Reserve Bank of Kansas City
A Generalized Asymmetric Conditional Autoregressive Range Model
Isuru Ratnayake, Missouri University of Science and Technology; V A A. Samaranayake, Missouri University of Science and Technology
Bootstrap Prediction Intervals for FIGARCH Models
Rukman Ekanayake; V A A. Samaranayake, Missouri University of Science and Technology
Data Driven Individualized Portfolio Recommendation
Duyeol Lee, University of North Carolina at Chapel Hill; Emily Butler, GSK; Eric B. Laber, North Carolina State University; Michael R. Kosorok, University of North Carolina at Chapel Hill
A Two-Pass Penalized Cross-Sectional Regression Framework for Conditional Linear Factor Models in Large Equity Data Sets
Gaetan Bakalli, University of Geneva; Olivier Scaillet, University of Geneva; St├ęphane Guerrier, University of Geneva
Enhanced Modeling and Parameter Estimation for Long-Horizon Return Predictability in Pure Jump Point Processes
Meng-Chen Hsieh, Rider University; Clifford Hurvich, New York University
Realized Measures and Statistical Inference for Stochastic Volatility Models
Md. Nazmul Ahsan, McGill University