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