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92
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Mon, 8/9/2021,
10:00 AM -
11:50 AM
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Virtual
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Time Series and Finance — Contributed Speed
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Business and Economic Statistics Section, Text Analysis Interest Group
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Chair(s): David S Matteson, Cornell University
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10:05 AM
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Short-Term Forecasting with a Computationally Efficient Nonparametric Transfer Function Model
Jun M. Liu, Georgia Southern University
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10:10 AM
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Community Network Auto-Regression for High-Dimensional Time Series
Elynn Y. Chen, University of California, Berkeley; Jianqing Fan , Princeton University; Xuening Zhu, Fudan University
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10:15 AM
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The Hyperbolic Conditional Autoregressive Range (HYCARR) Model
Isuru Ratnayake, Kansas University Medical Center; V A Samaranayake, Missouri University of Science and Technology
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10:20 AM
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Why Are Lumber Prices So High?
Matthew Arvanitis, USDA Forest Products Laboratory; Delton Alderman, USDA Forest Products Laboratory
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10:25 AM
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Mutual Information, Granger Causality, and Point Processes
Victor Solo, UNSW, Sydney; Ahmed Pasha, Air University
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10:30 AM
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Directional Accuracy of MMS Survey of Inflation-Output Forecasts: A ROC Analysis
yasemin ulu, SVSU
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10:35 AM
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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
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10:40 AM
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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
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10:45 AM
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Information Content of Time Durations in the Limit Order Book
Zheting Zhu, University of Manitoba; Julieta Frank, University of Manitoba
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10:50 AM
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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
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11:00 AM
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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
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11:05 AM
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Estimating Inequality Process Parameters from Corporate Market Capitalizations
John Angle, The Inequality Process Institute, LLC
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11:10 AM
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COVID-19 and Auto Loan Origination Trends
Jose J Canals-Cerda, Federal Reserve
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11:15 AM
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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
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11:20 AM
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Improving Hedging Portfolios Using Machine Learning via Gaussian Process Hyperparameter Tuning
Zihao Chen, Iowa State University; Cindy Yu, Iowa State University
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11:25 AM
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Mode Prediction and Hedging Portfolio Construction Based on Quantile Regression Through Machine Learning Methods
Guoliang Ma, Iowa State University; Cindy Yu, Iowa State University
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11:30 AM
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Deciphering Federal Reserve Communication via Text Analysis of Alternative FOMC Statements
Taeyoung Doh, Federal Reserve Bank of Kansas City
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11:35 AM
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Estimating Factors in Dynamic Equicorrelation Model
Raja Velu, Syracuse University; Zhaoque Zhou , Syracuse University
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11:40 AM
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Option Pricing with Higher-order Stochastic Volatility Models
Md. Nazmul Ahsan, Concordia University; Jean-Marie Dufour, McGill University
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11:45 AM
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Granger Causality Test in Predictive Conditional Modal Regression
Tae-Hwy Lee, University of California, Riverside; Yaojue Xu, University of California, Riverside
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