Contributed Papers

Advances in Time Series and Financial Econometrics

Tue, Aug 5, 8:30 AM - 10:20 AM Room CC-201B Music City Center

Business and Economic Statistics Section

6 Presentations

Frequency identification in Singular Spectrum Analysis

8:35 AM - 8:50 AM

Co-authors: Pilar Poncela (Universidad Autónoma de Madrid), Pilar Poncela (Universidad Autónoma de Madrid), Diego Fresoli (Universidad Autónoma de Madrid), Gabriel Martos-Venturini (Universidad Torcuato Di Tella)

signal extraction time series singular spectrum analysis cycles frequency identification eigenvalues

Efficient Dimension Reduction for Multivariate Time Series Using Partial Envelopes

8:50 AM - 9:05 AM

Co-authors: H.M. Wiranthe Herath (Drake University), S. Yaser Samadi (Southern Illinois University-Carbondale), H.M. Wiranthe Herath (Drake University)

VAR Dimension reduction Envelopes

Determining Generalized Threshold Structures in Threshold Autoregressive Models

9:05 AM - 9:20 AM

Co-authors: Nan-Jung Hsu (Institute of Statistics and Data Science, National Tsing Hua University), Pei-Ching Ho (National Tsing Hua University), Nan-Jung Hsu (Institute of Statistics and Data Science, National Tsing Hua University), Lai-Heng Sim (National Tsing Hua University)

Bayesian optimization High-dimensional AIC Threshold autoregression

Estimation and Inference for the Joint Autoregressive Quantile-Expected Shortfall Models

9:20 AM - 9:35 AM

Co-authors: Peiyao Cai (University of Michigan, Ann Arbor), Kean Ming Tan, Peiyao Cai (University of Michigan, Ann Arbor), Xuming He (Washington University in St. Louis)

Expected Shortfall Time Series Financial Risk Management Neyman Orthogonality Quantile Regression

Bootstrap specification tests for multivariate GARCH processes

9:35 AM - 9:50 AM

Co-authors: Indeewara Perera (University of Sheffield), Kanchana Nadarajah (University of Sheffield), Indeewara Perera (University of Sheffield)

Bootstrap Multivariate GARCH Specification test

Diagnostic For Volatility And Local Influence Analysis For The Vasicek Model

9:50 AM - 10:05 AM

Co-authors: Manuel Galea (Pontificia Universidad Catolica de Chile), Alonso Molina (Pontificia Universidad Catolica de Chile), Isabelle Beaudry, Isabelle Beaudry

Ornstein-Uhlenbeck processes Local influence diagnostics Stochastic interest rate models Likelihood inference Gradient test