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

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

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Tatsushi Oka, Boston University<br />

QUANTILE REGRESSION ANALYSIS WITH MISSING RESPONSE,<br />

WITH APPLICATIONS TO INEQUALITY MEASURES AND DATA<br />

COMBINATION<br />

Jungmo Yoon, Claremont McKenna College<br />

WHICH QUANTILE IS THE MOST INFORMATIVE? MAXIMUM<br />

ENTROPY QUANTILE REGRESSION<br />

Anil Bera, University of Illinois at Urbana-Champaign<br />

11:15 - 12:<strong>45</strong> GARCH MODELS II (ECO)<br />

Chairperson: Jean-michel Zakoian, CREST and<br />

University Lille 3<br />

OPTIMAL PREDICTIONS OF POWERS OF CONDITIONALLY<br />

HETEROSKEDASTIC PROCESSES<br />

Christian Francq, University Lille 3<br />

Co-Author: Jean-michel Zakoian, CREST and University Lille 3<br />

A ROBUST ESTIMATOR OF CONDITIONAL VOLATILITY<br />

Chi Wan, Carleton Univer4sity<br />

Co-Author: Zhijie Xiao, Boston College<br />

STRICT STATIONARITY TESTING AND ESTIMATION OF EXPLOSIVE<br />

ARCH MODELS<br />

Jean-michel Zakoian, CREST and University Lille 3<br />

11:15 - 12:<strong>45</strong> STRUCTURAL CHANGE II (ECO)<br />

Chairperson: Leandro Magnusson, Tulane<br />

University<br />

DATING THE TIMELINE OF FINANCIAL BUBBLES DURING THE<br />

SUBPRIME CRISIS<br />

Jun Yu, Singapore Management University<br />

Co-Author: Peter Phillips, Yale University<br />

TESTING STRUCTURAL CHANGE IN CONDITIONAL<br />

DISTRIBUTIONS VIA QUANTILE REGRESSIONS<br />

Liangjun Su, Singaproe Management University<br />

Co-Author: Zhijie Xiao, Boston College<br />

IDENTIFICATION USING STABILITY RESTRICTIONS<br />

Leandro Magnusson, Tulane University<br />

Co-Author: Sophocles Mavroeidis, Brown University<br />

11:15 - 12:<strong>45</strong> NONSTATIONARY TIME SERIES (ECO)<br />

Chairperson: Offer Lieberman, University of Haifa<br />

EXPONENTIALS OF UNIT ROOT PROCESSES<br />

Robert de Jong, Ohio State University<br />

LINEAR TRENDS AND INITIAL CONDITIONS IN LONG MEMORY<br />

TIME SERIES<br />

Heiko Rachinger, Universidad Carlos III<br />

A SIMILARITY-BASED APPROACH TO TIME-VARYING<br />

COEFFICIENT NONSTATIONARY AUTOREGRESSION<br />

Room 5E<br />

Room 5I<br />

Room 5J

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