Program of FERM2014
Updated on June 23, 2014
(This is the last update. Any new updates will be distributed at the symposium)
(Chair’s name inside the parentheses)
Friday, June 27, 2014
Time:
Events and Locations:
08:00-08:30
Registration, 4th floor, Academic Hall
08:30-09:00
Opening Ceremony, Room 402, Academic Hall
Chair: Yang Liu
Opening remarks:
1) Junsheng Li, Vice President of Central University of Finance and Economics
2) Jianqing Fan, Princeton University
3) Rong Chen, CUFE and Rutgers University
Session names:
FM02-I01 Friday Morning Session 2nd Round Invited Session # 01
FA03-I08 Friday Afternoon Session 3nd Round Invited Session # 08
FA03-C01 Friday Afternoon Session 3nd Round contributed Session # 01
SM03-I17 Saturday Morning Session 3nd Round Invited Session # 17
SA05-I24 Saturday Afternoon Session 5th Round Invited Session #24
All other sessions are listed similarly.
Friday, June 27, 2014
Time:
Events and Locations:
09:00-09:45
Keynote Speech, Lars Hansen: Misspecified Recovery
Room 402, Academic Hall
Chair: Rong Chen
09:45-10:25
Coffee/Tea Break (6th and 7th floor)
10:30-12:00
Room 603
Room 604
Room 702
Room 706
Room 602
(I01, Li, F)
(I02, Kimmel, R.)
(I03, Ran, J.)
(I04, Wallentin, F.)
(C01, Chang, Y.)
Huang, Kanglin
Hafner, Christian.
Yang, Jian.
Zhou, Yahong
Wang, Huiying
Tang, Yi
Halin, Marc.
Wang, Chih-Wei
Zhu, Pingfang
Guo, Feng
Zhu, Zhongyan
Fan, Jianqing.
Zhu, Xiaoneng.
Zhu, Xi
Rivera-Mancia, E.
Jin, Shaobo
12:00-13:30
Lunch (Royal King Residence Hotel, Please bring your lunch coupon)
13:30-15:00
(I05, Fan, J.)
(I06, Ji, H. )
(I07, Tang, Y.)
(I08, Jiang, G.)
(C02, Peng, Z.)
Yao, Qiwei
Zhu, Ke
Chen, Songxi
Zhou, Guofu
Huang, Chunyan
Linton, Oliver
Li, Muyi
Flesaker, B.
Zhang, Hao
Sun, Bo
Xiao, Han
Chen, Min
Cao, Huining
Li, Feng
Qu, Leming
Overbeck, Ludger
(Henry)
15:00-15:15
Coffee/Tea Break (6th and 7th floor)
15:15-16:45
(I09, Wang, H.)
(I10, Peng, L.)
(I11, Wang, Y.)
(I12, Haerdle, W.)
(C03, Guo, F.)
Spokoiny, V.
Chen, Rong
Kimmel, Robert
Wang, Weining
Xue, Yushan
Keppo, Jussi
Chen, Ying
Peng, Zixiong
Li, Nan
Yang, Lijian
Pei, Pei
Belomestny, D.
Zhilova, M.
(Rutgers)
Davis, R.
Shi, Lei
Liu, Huihong
Ao, Mengmeng
th
th
16:45-17:00
Coffee/Tea Break (6 and 7 floor)
17:00-18:30
(I13, Xiao, H.)
(I14, Tang, Y.)
(I15, Chen, S X)
(I16, Zhou, Y.)
(C04,
Shia, Ben-Chang
Jing, Bingyi
Li, Yingying
Fu, Wenjiang
Rivera-Mancia, E.)
Wang, Hansheng
Li, Chenxu
Wang, Yazhen
Sun, Liuquan
Chang. Yiming
Zhang, Zhongyuan
Sun, Jian
Zou, Jian
Liu, Yutao
Li, Jie
Tong, Shenghui
Bauman, Evgeny
Lin, Mu
Dinner: 19:00 Royal King Residence Hotel (Please bring your dinner coupon).
Saturday, June 28, 2014
Time:
Events and Locations:
08:30-09:15
Keynote Speech, Jin-chuan Duan: Local-momentum autoregression and the
modeling of interest rate term structure
Room 402, Academic Hall
Chair: Zhengjun Zhang
09:15-10:00
Keynote Speech, Weiying Zhang: Policy uncertainty and entrepreneurship
Room 402, Academic Hall
Chair: Yangru Wu
10:00-10:30
Coffee/Tea Break (6th and 7th floor)
10:30-12:00
Room 603
Room 604
Room 702
(I17, Spokoiny, V.)
(I18, Ji, H. 中文)
(I19, Yang, J.)
Xiu, Dacheng
Dou, Changsheng
Zhao, Feng
Sit, Tony
Tao, Guiping
Liao, Yin
Fan, Yanqin
Ye, Fei
Wu, Yangru
Room 706
(I20, Mi, Z.中文)
Chen, Rong
Room 602
(C05, Ao, M. )
Ando, Tomohiro
(Xiamen)
Zhang, Li
Zhu, Zhongyi
Xiang, Ju
Han, Liyan
Liu, Yue
Fang, Yan
12:00-13:30
Lunch (Royal King Residence Hotel, Please bring your lunch coupon)
13:30-15:00
(I21, Wu, Y.)
(I22, Zhu, J.)
(I23, Li, Q.)
(I24, JI, H. 中文)
(C06, Ma, Y.)
Zhong, Rui
Cai, Zongwu
Wang, Christina
Liu, Jingquan
Li, Shijie
Zhu, Kevin X.
Wei, John
Wang, Fangfang
Ma, Jinyi
Liu, Hao
Jiang, George
Wu, Lan
Zheng, Xinghua
Zhang, Juan
Zheng, Andi
Wang, Huijuan
Hu, Di
th
th
15:00-15:15
Coffee/Tea Break (6 and 7 floor)
15:15-16:45
(I25, Guo, J.)
(I26, Tong, S.)
(I27, Sun, L.)
（I28, Yao, Q.)
(C07, Ma, J.中文)
Gao, Jiti
Wu, Weixing
Wallentin, Fan
Tu, Yundong
Ma, Yong
Zhou, Yong
Li, Dong
Wang, Zhaojun
Mammen, E.
Liu, Limin
Zhu, Jianping
Hu, Hao
Hu, Charlie
Zhang, Meijuan
Chen, Naihui
th
th
16:45-17:00
Coffee/Tea Break (6 and 7 floor)
17:00-18:30
(I29, Wang, Z.)
(I30, Davis, R.)
(I31, Han, L.中文） (I32, Tu, Y. 中文)
Hou, Jie
Haerdle, W.
Wang, Changyun
Guo, Jianhua
Li, Qi
Peng, Liang
Wang, Xiaojun
Lin, Lu
Xu, Haiqing
Zhang, Zhengjun
Su, Zhi
Sun, Zhimeng
Friday, June 27, 2014
8:00-8:30 Registration (4th floor of Academic Hall)
8:30-9:00 Opening (Room 402, Academic Hall)
Chair: Yang Liu
Opening remarks:
1) Junsheng Li, Vice President of Central University of Finance and Economics
2) Jianqing Fan, Princeton University
3) Rong Chen, CUFE and Rutgers University
9:00-9:45 Keynote Speech (Room 402, Academic Hall)
Speaker: Lars Hansen, Misspecified recovery
Chair: Rong Chen
09:45-10:30 Coffee/Tea Break
10:30-12:00 Session-FM02
Invited Session-FM02-I01, Room 603
Title: Financial Engineering and Statistical Modeling
Organizer: Rong Chen, Rutgers University
Chair: Feng Li, CUFE
•
•
•
Kanglin Huang, Financial engineering overview and risk management practices in China
Yi Tang, Introduction to enterprise-level derivatives modeling.
Zhongyan Zhu, Top financial institutions, net liquidity provision, and financial contagion.
Invited Session-FM02-I02, Room 604
Title: High Dimension Factor Pricing Models and Dynamic Volatilities
Organizer: Yang Liu, Central University of Finance and Economics
Chair: Robert Kimmel, National University of Singapore
• Christian Hafner, A new approach to high-dimensional volatility modelling.
• Marc Halin, General dynamic factors and volatilities.
• Jianqing Fan, Large panel test of factor pricing models.
Invited Session-FM02-I03, Room 702
Title: Risk and Regime Switching
Organizer: Jian Yang, University of Colorado Denver and Nankai University
Chair: Jimmy Ran, Lingnan University in Hong Kong
• Jian Yang, What makes safe-haven currencies? Evidence from conditional co-skewness.
• Chih-Wei Wang, Financial crises, financing sources, and default risks.
•
Xiaoneng Zhu, Regime shifts in bond allocation.
Invited Session-FM02-I04, Room 706
Title: Statistical Methods in Econometric Modeling
Organizer: Pingfang Zhu, Shanghai Academy of Social Sciences
Chair: Fan Wallentin, Uppsala University
• Yahong Zhou, Nonparametric identification and estimation of sample selection models under
symmetry.
•
•
Pingfang Zhu, Broadband and economic growth: Evidence from China.
Xi Zhu, Questioning moral hazard in agricultural insurance: Non-evidence from a quasi-natural
experiment on livestock insurance in China.
Contributed Session-FM02-C01, Room 602
Title: Nonparametric and Bayesian Inference in Econometric Models
Chair: Yiming Chang, Beihang University
• Huiying Wang, Optimal wavelet estimators for density derivative
•
Feng Guo, Estimate term structure of the U.S. treasury securities: An interpolation approach.
•
Elena Rivera-Mancia, Bayesian inference in Extreme Value Theory.
•
Shaobo Jin, Exploratory factor analysis via penalized maximum likelihood
12:00-13:30 Lunch ()
13:30-15:00 Session-FA03
Invited Session-FA03-I05, Room 603
Title: Advances in Multivariate Time Series Inferences
Organizer: Qiwei Yao, LSE
Chair: Jianqing Fan, Princeton University
•
•
•
Qiwei Yao, Segmenting multiple time series by a contemporaneous linear transformation.
Oliver Linton, Some approaches to nonparametric modelling of high dimensional time series.
Han Xiao, Generalized ARMA models with martingale difference errors.
Invited Session-FA03-I06, Room 604
Title: Financial Time Series Analysis
Organizer: Min Chen, AMSS, Sinica, Beijing
Chair: Hong Ji, Capital U. of Econ. and Busi.
• Ke Zhu, A bootstrapped spectral test for adequacy in weak ARMA models.
• Muyi Li, On mixture memory GARCH models.
• Min Chen, Weighted least absolute deviations estimation for ARFIMA time series with finite or
infinite variance.
Invited Session-FA03-I07, Room 702
Title: Derivatives Modeling: Selected Topics I
Organizer/Chair: Yi Tang, Morgan Stanley
•
•
•
Songxi Chen, Extracting short rate information and market price of risk from bond prices.
Bjorn Flesaker, Positive interest revisited: Interest rate modeling in low rate environments.
Huining (Henry) Cao, Speculative innovation.
Invited Session-FA03-I08, Room 706
Title: Modeling Financial Crashes and Covariate-contingent Correlation
Organizer: Zhengjun Zhang, University of Wisconsin
Chair: George Jiang, Washington State University
• Guofu Zhou, Taming momentum crashes: A simple stop-loss strategy.
• Hao Zhang, Modeling the magnitude and frequency of extreme event.
•
Feng Li, Modeling covariate-contingent correlation and tail-dependence with copulas.
Contributed Session-FA03-C02, Room 602
Title: Structural Modeling and Inferences
Chair: Zixiong Peng, CUFE
• Chunyan Huang, Analytic regularity for the derivative Ginzburg-Landau equation.
• Bo Sun, Multiple positive solutions for a Sturm-Liouville-like boundary value problem.
•
Leming Qu, High dimensional copula density estimation by Archimedean copula mixture model.
•
Ludger Overbeck, Heterogeneous Archimedean copula and t-copula with application in credit
portfolio modeling.
15:00-15:15 Coffee/Tea Break ( )
15:15-16:45 Session-FA04
Invited Session-FA04-I09, Room 603
Title: Statistical Methods in Financial Engineering
Organizer: Vladimir Spokoiny, Weierstrass Institute and Humboldt University Berlin
Chair: Hansheng Wang, Peking University
• Vladimir Spokoiny, Bernstein - von Mises Theorem for a quasi-posterior.
• Denis Belomestny, Regression with errors in variables: Penalized maximum-likelihood
approach.
•
Mayya Zhilova, Uniform confidence bands for generalized regression via multiplier bootstrap.
Invited Session-FA04-I10, Room 604
Title: Functional and Non-causal Time Series
Organizer: Zhengjun Zhang, University of Wisconsin
Chair: Liang Peng, Fudan University and Georgia State University
• Rong Chen, Convolutional autoregressive models for functional time series.
• Richard Davis, Noncausal vector AR processes with application to economic time series.
• Lei Shi, Comparison and selection of perturbation schemes in local influence for financial time
series models.
Invited Session-FA04-I11, Room 702
Title: Asset pricing and Macroeconomic Factors
Organizer: Robert Kimmel, National University of Singapore
Chair: Yazhen Wang, University of Wisconsin
• Robert Kimmel, Estimation and testing of asset pricing models---asking the right question.
• Jussi Keppo, The impact of Volcker rule on bank profits and default probabilities.
• Nan Li, Measuring intangible capital with uncertainty.
Invited Session-FA04-I12, Room 706
Title: Dynamic Tail Event Management in Very High Dimensions
Organizer/Chair: Wolfgang Haerdle, Humboldt-Universitat zu Berlin
• Weining Wang, Dynamics of natural rate of unemployment: A structural forward looking
approach.
• Ying Chen, Adaptive functional autoregressive modeling for stationary and non-stationary
functional data.
•
Lijian Yang, Oracally efficient estimation of autoregressive error distribution with simultaneous
confidence band.
Contributed Session-FA04-C03, Room 602
Title: Optimal Portfolio Models
Chair: Feng Guo, CUFE
• Yushan Xue, Innovative research of financial risk soliton prediction and control methods
based on financial soliton theory and big data ideation.
• Zixiong Peng, An optimization model of loan portfolio selection for commercial bank based
on default risk under uncertain random environment.
•
Pei Pei, Backtesting portfolio value-at-risk with estimated portfolio weights.
•
Huihong Liu, Optimal composed investment strategies with sub-accounts for the social security
fund.
•
Mengmeng Ao, Solving the Markowitz optimization problem: A tale of sparse solutions
16:45-17:00 Coffee/Tea Break ( )
17:00-18:30 Session-FA05
Invited Session-FA05-I13, Room 603
Title: Cloud Computing and Network Studies
Organizer: Yang Liu, Central University of Finance and Economics
Chair: Han Xiao, Rutgers University
• Ben-Chang Shia, The ERA of big data statistics: data mining in the cloud computing ERA.
•
Hansheng Wang, Estimating social intercorrelation with sampled network data.
•
Zhongyuan Zhang, Overlapping community detection in complex networks using symmetric binary
matrix.
Invited Session-FA05-I14, Room 604
Title: Derivatives Modeling: Selected topics II
Organizer/Chair: Yi Tang, Morgan Stanley
• Bingyi Jing, Modeling high-frequency financial data by pure jump processes
• Chenxu Li, Estimating jump-diffusions using closed-form likelihood expansions.
• Jian Sun, Implied remaining variances in derivative pricing.
Invited Session-FA05-I15, Room 702
Title: High Dimensional Volatility Matrix Estimation and Inference
Organizer: Yazhen Wang, University of Wisconsin
Chair: Song Xi Chen, Peking University and Iowa State University
•
Yingying Li, Statistical properties of microstructure noise and estimation of the integrated
volatility.
•
Yazhen Wang, Asymptotic theory for large volatility matrix estimation based on
high-frequency financial data.
Jian Zou, Statistical methods for large portfolio risk management.
•
Invited Session-FA05-I16, Room 706
Title: Advanced Models for Health Risk and Censored Data
Organizer: Rong Chen, Rutgers University and CUFE
Chair: Yong Zhou, Shanghai University of Finance and Economics
• Wenjiang Fu, Why using standard population in age-standardization is a bad strategy - an
illustration using us life insurance policy sales data and cancer mortality data.
•
•
Liuquan Sun, An additive-multiplicative means model for marker data contingent on
recurrent event with an informative terminal event.
Yutao Liu, Nonparametric estimator of quantile residual lifetime for right censored data.
Contributed Session-FA05-C04, Room 602
Title: Operational Risk and CVaR
Chair: Elena Rivera-Mancia, McGill University
•
Yiming Chang, Research on identification of motor insurance frauds based on SVM.
•
Jie Li, Can complete sterilization sterilize completely?.
•
Shenghui Tong, How do powerful CEOs view dividends and stock repurchases? Evidence from
the CEO pay slice (CPS).
•
•
Evgeny Bauman, CVaR and downside risk parity.
Mu Lin, Ruling out the uncertainty of fractal dimension estimated by box-counting method for
river networks.
Saturday, June 28, 2014
08:30-09:15 Keynote Speech (Room 402, Academic Hall)
Speaker: Jin-chuan Duan, Local-momentum autoregression and the modeling of interest
rate term structure
Chair: Zhengjun Zhang
09:15-10:45 Keynote Speech (Room 402, Academic Hall)
Speaker: Weiying Zhang, Policy uncertainty and entrepreneurship
Chair: Yangru Wu
09:45-10:30 Coffee/Tea Break
10:30-12:00 Session-SM03
Invited Session-SM03-I17, Room 603
Title: Statistical Inference for High Frequency Volatilities and Option Pricing
Organizer: Ruey Tsay, University of Chicago
Chair: Vladimir Spokoiny, Weierstrass Institute and Humboldt University Berlin
•
•
•
Dacheng Xiu, The idiosyncratic volatility puzzle: A reassessment at high frequency.
Tony Sit, Combining returns and option prices in empirical likelihood.
Yanqin Fan, Inference for subsets of partially identified parameters with an application to
option pricing.
Invited Session-SM03-I18, Room 604
Title: Statistical Models and Estimation (in Chinese)
Organizer/Chair: Hong Ji, Captial U. of Econ. and Busi.
• Changsheng Dou, Low Mach number limit to solutions of compressible Navier-Stokes
equations in bounded domain.
• Guiping Tao, The robust decision models study under Knightian uncertainty.
• Fei Ye, General relative error criterion and M-estimation.
Invited Session-SM03-I19, Room 702
Title: Empirical Asset Pricing
Organizer: Yangru Wu, Rutgers University and Central University of Finance and Economics
Chair: Jian Yang, University of Colorado Denver and Nankai University
• Feng Zhao, Cautious risk-takers: Investor preferences and demand for active management.
• Yin Liao, Structural credit risk model with stochastic volatility: A particle-filter approach.
• Yangru Wu, Exploiting closed-end fund discounts: The market may be much more inefficient than
you thought?
Invited Session-SM03-I20, Room 706
Title: Statistical Modeling for Volatility and Asset Allocation (in Chinese)
Organizer: Qiwei Yao, LSE
Chair: Zichuan Mi, Shanxi University of Finance and Economics
•
Rong Chen, Implied Hurst exponent and fractional implied volatility: A variance term structure
model .
•
•
Zhongyi Zhu, Functional single-index model for volatility.
Liyan Han, International assets allocation via multi-stage stochastic programming.
Contributed Session-SM03-C05, Room 602
Title: Market Structure and Dynamic Study
Chair: Mengmeng Ao, Hong Kong University of Science and Technology
•
Tomohiro Ando, Multifactor asset pricing with a large number of observable risk factors and
unobservable common and group-specific factors.
•
Li Zhang, Research on quantifying interest rate risk in the term structure perspective.
•
Ju Xiang, How credit default swaps increase credit risk via creditor’s safety covenant and debtor’s
strategic debt service.
•
Yue Liu, Optimal stopping for selling a derivative based on a generalized Black-Scholes' model
•
Yan Fang, The dynamic correlation between China's and U.S. stock market.
with regime-switching.
12:00-13:30 Lunch ()
13:30-15:00 Session-SA04
Invited Session-SA04-I21, Room 603
Title: Information Uncertainty and Market Risk
Organizer: George Jiang, Washington State University
Chair: Yangru Wu, Rutgers University and CUFE
•
•
•
Rui Zhong, Rollover risk and volatility risk in credit spread models: A unified approach.
Kevin X. Zhu, Information shocks and short-term market underreaction
George Jiang, Uncertainty creation and resolution: Evidence from the changes of VIX from
“close-to-open” and “open-to-close”.
Invited Session-SA04-I22, Room 604
Title: Statistical Modeling and Inference for Financial Time Series I
Organizer: Rong Chen, Rutgers University and CUFE
Chair: Jianping Zhu, Xiamen University
• Zongwu Cai, Testing instability of predictability of asset returns.
•
John Wei, The profitability premium: Macroeconomic risks or expectation errors?.
•
Lan Wu, Statistical models for financial investment strategy.
Invited Session-SA04-I23, Room 702
Title: Statistics of High Frequency Financial Data
Organizer: Per Mykland, University of Chicago
Chair: Qi Li, Texas A&M, Capital U. of Econ. and Busi.
• Christina Wang, Estimation of the leverage effect in jump processes.
•
Fangfang Wang, Realized periodogram-based estimation of integrated volatility in the presence of
microstructure noise.
•
Xinghua Zheng, Efficient estimation of integrated volatility incorporating trading information.
Invited Session-SA04-I24, Room 706
Title: Statistics and Applications (in Chinese)
Organizer/Chair: Hong Ji, Captial U. of Econ. and Busi.
•
•
•
Jingquan Liu, Identification of recession avoidance preferences and inflation avoidance
preferences in central bank.
Jingyi Ma, A more efficient algorithm for regularization path of generalized linear models
with group lasso penalties.
Juan Zhang, The application of generalized semi-parametric additive credit score model
based on Group-LASSO method.
Contributed Session-SA04-C06, Room 602
Title: Financial Crisis, Inflation, Risk and Indexes
Chair: Yong Ma, Hunan University
• Shijie Li, Financial crisis’ impacts on transactions of financial derivatives——A measurement
based on grey forecast model.
•
Hao Liu, Modelling risk return relation using high frequency data: A new prospective from realized
garch-nln model.
•
Andi Zheng, A comparison of the implicit cycles of gold and US dollar index.
•
Huijuan Wang, Human capital: net exporter or net importer?——study on analyzing of
employment embodied in China’s international trade.
Di Hu, Inflation targeting applicable for China? --Study on emerging economies with synthetic
control methods.
•
15:00-15:15 Coffee/Tea Break ( )
15:15-16:45 Session-SA05
Invited Session-SA05-I25, Room 603
Title: Advanced Modeling of Nonlinear Financial Risks
Organizer: Yang Liu, CUFE
Chair: Jianhua Guo, Northeast Normal University
• Jiti Gao, Nonlinear predictive model and co-integration.
• Yong Zhou, Some statistical models and inferences in measurement of financial risk and their
applications.
•
Jianping Zhu, The research path to financial high-frequency data mining: An analysis and
exploration based on statistics
Invited Session-SA05-I26, Room 604
Title: Statistical Modeling and Inference of Financial Time Series II
Organizer: Rong Chen, Rutgers University and CUFE
Chair: Shenghui Tong, CUFE
•
•
Weixing Wu, Short- and long-run business conditions and expected returns.
Dong Li, Least absolute deviations estimation of double autoregressive models without strict
stationarity constraints.
•
Hao Hu, Behavioral pattern modeling of a-share investors -- A big data and cloud computing
approach based on WQUANT.
Invited Session-SA05-I27, Room 702
Title: Statistical Inference in High Dimension
Organizer: Hong Ji, Capital U. of Econ. and Busi.
Chair: Liuquan Sun, Academy of Mathematics and System Sciences
•
Fan Wallentin, Asymptotic efficiency of the pseudo-maximum likelihood estimator in
multi-group factor models with pooled data.
•
Zhaojun Wang, Outlier detection for high dimensional data.
Invited Session-SA05-I28, Room 706
Title: Nonlinear Time Series and Inferences
Organizer/Chair: Qiwei Yao, LSE
• Yundong Tu, Functional moving average model.
• Enno Mammen, Asymptotics for stochastic volatility models with application to the
parametric GARCH-in-mean model.
• Charlie Hu, Nonparametric eigenvalue-regularized precision or covariance matrix estimator".
Contributed Session-SA05-C07, Room 602
Title: Regressions, Transform, and Structures (in Chinese)
Chair: Jingyi Ma, CUFE
•
Yong Ma, Pricing synthetic CDO with MGB2 distribution
•
Limin Liu, The generalized Riesz transform.
•
Meijuan Zhang, Branching structure for the transient random walk in random environment on a
strip.
•
Naihui Chen, Black-Scholes partial differential equation in Asia type with arithmetic mean .
16:45-17:00 Coffee/Tea Break ( )
17:00-18:30 Session-SA06
Invited Session-SA06-I29, Room 603
Title: Robust Methods in Estimating Financial Econometric Models
Organizer: Qi Li, Texas A&M, Capital U. of Econ. and Busi.
Chair: Zhaojun Wang, Nankai University
•
Jie Hou, Modified local Whittle estimator for long memory processes in the presence of low
frequency (and other) contaminations.
•
•
Qi Li, Varying coefficient single-index models with endogeneity: theory and application.
Haiqing Xu, Identication and estimation of strategic credit rating.
Invited Session-SA06-I30, Room 604
Title: Tail Events and Their Financial/Economic/Social Impacts
Organizer: Zhengjun Zhang, University of Wisconsin
Chair: Richard Davis, Columbia University
•
•
•
Wolfgang Haerdle, TENET - Tail Event driven NETwork risk.
Liang Peng, Tail dependence via conditional Kendall's tau.
Zhengjun Zhang, Nested Asymptotic (In)dependent Extreme Value Copulas in Max-stable
Processes with Application to High-Frequency Financial Data.
Invited Session-SA06-I31, Room 702
Title: Studies on China Financial Market (in Chinese)
Organizer: Yang Liu, Central University of Finance and Economics
Chair: Liyan Han, Beihang University
• Changyun Wang, Are Chinese warrants the option-type derivatives?
• Xiaojun Wang, China's pension deficit：Scale and the uncertainty
• Zhi Su, The quantified estimates of international impact by introducing RMB into the SDR
basket
Invited Session-SA06-I32, Room 706
Title: Statistical Methodology in Regression and Classification (in Chinese)
Organizer: Feng Li, Central University of Finance and Economics
Chair: Yundong Tu, Peking University
•
Jianhua Guo, Extensions of naive Bayes model with applications to Chinese document
classification
•
•
Lu Lin, Penalized maximum-least-squares estimation for sublinear expectation linear regression.
Zhimeng Sun, Frequentist model averaging estimator of quantile partial linear regression
model with censored response.