Online Program Home
  My Program

All Times EDT

* = applied session       ! = JSM meeting theme

Activity Details

92 Mon, 8/9/2021, 10:00 AM - 11:50 AM Virtual
Time Series and Finance — Contributed Speed
Business and Economic Statistics Section, Text Analysis Interest Group
Chair(s): David S Matteson, Cornell University
10:05 AM Short-Term Forecasting with a Computationally Efficient Nonparametric Transfer Function Model
Jun M. Liu, Georgia Southern University
10:10 AM Community Network Auto-Regression for High-Dimensional Time Series
Elynn Y. Chen, University of California, Berkeley; Jianqing Fan , Princeton University; Xuening Zhu, Fudan University
10:15 AM The Hyperbolic Conditional Autoregressive Range (HYCARR) Model
Isuru Ratnayake, Kansas University Medical Center; V A Samaranayake, Missouri University of Science and Technology
10:20 AM Why Are Lumber Prices So High?
Matthew Arvanitis, USDA Forest Products Laboratory; Delton Alderman, USDA Forest Products Laboratory
10:25 AM Mutual Information, Granger Causality, and Point Processes
Victor Solo, UNSW, Sydney; Ahmed Pasha, Air University
10:30 AM Directional Accuracy of MMS Survey of Inflation-Output Forecasts: A ROC Analysis
yasemin ulu, SVSU
10:35 AM Uncovering Dynamic Relationships of FAANG+M Stock Prices
Yang Xue, North Carolina A&T State University; Seong-Tae Kim, North Carolina A&T State University
10:40 AM An Asymmetric Hyperbolic Generalized Autoregressive Conditional Heteroscedastic Model
K.C.M.R. Anjana Yatawara, Missouri University of Science and Technology; V A Samaranayake, Missouri University of Science and Technology
10:45 AM Information Content of Time Durations in the Limit Order Book
Zheting Zhu, University of Manitoba; Julieta Frank, University of Manitoba
10:50 AM The Specific Indirect Effect of Correspondence Audits: Moving from Research to Operational Application
Leigh Nicholl, The MITRE Corporation; Lucia Lykke, The MITRE Corporation; Max McGill, The MITRE Corporation; Alan Plumley, Internal Revenue Services
11:00 AM On a Quantile Autoregressive Conditional Duration Model Applied to High-Frequency Financial Data
Helton Saulo, University of Brasilia; Narayanaswamy Balakrishnan, McMaster University; Roberto Vila, University of Brasilia
11:05 AM Estimating Inequality Process Parameters from Corporate Market Capitalizations
John Angle, The Inequality Process Institute, LLC
11:10 AM COVID-19 and Auto Loan Origination Trends
Jose J Canals-Cerda, Federal Reserve
11:15 AM The 2020 Global Stock Market Crash: Endogenous or Exogenous?
Min Shu, University of Wisconsin Stout; Ruiqiang Song, Michigan Technological University; Wei Zhu, Stony Brook University
11:20 AM Improving Hedging Portfolios Using Machine Learning via Gaussian Process Hyperparameter Tuning
Zihao Chen, Iowa State University; Cindy Yu, Iowa State University
11:25 AM Mode Prediction and Hedging Portfolio Construction Based on Quantile Regression Through Machine Learning Methods
Guoliang Ma, Iowa State University; Cindy Yu, Iowa State University
11:30 AM Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements
Taeyoung Doh, Federal Reserve Bank of Kansas City
11:35 AM Estimating Factors in Dynamic Equicorrelation Model
Raja Velu, Syracuse University; Zhaoque Zhou , Syracuse University
11:40 AM Option Pricing with Higher-order Stochastic Volatility Models
Md. Nazmul Ahsan, Concordia University; Jean-Marie Dufour, McGill University
11:45 AM Granger Causality Test in Predictive Conditional Modal Regression
Tae-Hwy Lee, University of California, Riverside; Yaojue Xu, University of California, Riverside