TUESDAY 17 AUGUST 2010 09:00 - 10:45 PAIRED ... - netease.com

A DISCONTINUITY TEST OF ENDOGENEITY
Maria Carolina Caetano, University of California, Berkeley
RANK ESTIMATION WITH CONTROL VARIABLES
Koen Jochmans, CORE
GENERALIZED JACKKNIFE ESTIMATORS OF WEIGHTED
AVERAGE DERIVATIVES
Michael Jansson, UC Berkeley
Co-Authors: Matias Cattaneo, University of Michigan and Richard Crump,
Federal Reserve Bank of New York
14:15 - 16:15 VOLATILITY (ECO)
Chairperson: Werner Ploberger, Washington
University in St. Louis
REALIZED GARCH: A COMPLETE MODEL OF RETURNS AND
REALIZED MEASURES OF VOLATILITY
Peter Reinhard Hansen, Stanford University, department of Economics
Co-Authors: Zhuo Huang, Stanford University and Howard Howan Shek,
Stanford University
GOOD VOLATILITY, BAD VOLATILITY:SIGNED JUMPS AND THE
PERSISTENCE OF VOLATILITY
Kevin Sheppard, University of Oxford
Co-Author: Andrew Patton, Duke University
STOCHASTIC COVARIANCE MODELS
Manabu Asai, Soka University
Co-Author: Mike So, The Hong Kong University of Science and
Technology
AN IMPROVED ESTIMATOR FOR THE INTEGRATED VOLATILITY
Werner Ploberger, Washington University in St. Louis
Co-Author: Taesuk Lee, University of Rochester
14:15 - 16:15 FRACTIONAL INTEGRATION (ECO)
Chairperson: Richard Baillie, Michigan State
University
THE GENERALIZED COCHRANE-ORCUTT TRANSFORMATION
ESTIMATION FOR SPURIOUS AND FRACTIONAL SPURIOUS
REGRESSIONS
Shin-Huei Wang,
Co-Author: Cheng Hsiao, University of Southern California
MAXIMUM LIKELIHOOD ESTIMATION OF FRACTIONALLY
COINTEGRATED SYSTEMS
Katarzyna Lasak, CREATES, Aarhus University
TESTING THE ORDER OF FRACTIONAL INTEGRATION IN PANEL
DATA MODELS
Fredrik Andersson, Lund University
CONFIDENCE INTERVALS FOR IMPULSE RESPONSE WEIGHTS
FROM STRONGLY DEPENDENT PROCESSES
Richard Baillie, Michigan State University
Co-Author: George Kapetanios, Queen Mary University of London
Room 5I
Room 5J