Organizers:

Ming Chien Lo, St. Cloud State University

Session Chairs:

Ming Chien Lo, St. Cloud State University

Papers:

"A Nonparametric VAR Model With Local Conditional Orthogonalized Impulse Response Functions"
Marcelle Chauvet, University of California - Riverside
Heather Tierney, College of Charleston (Contact Author)

"Volatility Forecasting and Microstructure Noise"
Eric Ghysels, University of North Carolina - Chapel Hill
Arthur Sinko, University of North Carolina - Chapel Hill (Contact Author)

"Do Commodity Prices and Volatility Jump?"
Stanislav Radchenko, University of North Carolina at Charlotte (Contact Author)

"International Evidence on the Efficacy of New-Keynesian Models of Inflation Persistence"
Oleg Korenok, Virginia Commonwealth University (Contact Author)
Stanislav Radchenko, University of North Carolina at Charlotte
Norman R. Swanson, Rutgers University

Discussants:

Stanislav Radchenko, University of North Carolina at Charlotte
Oleg Korenok, Virginia Commonwealth University
Arthur Sinko, University of North Carolina - Chapel Hill
Heather Tierney, College of Charleston

Organizers:

Ming Chien Lo, St. Cloud State University

Session Chairs:

Ming Chien Lo, St. Cloud State University

Papers:

"Forecasting the Real Exchange Rates Behavior: An Investigation of Nonlinear Competing Models"
Ruxandra Prodan, University of Alabama
Yu Liu, University of Alabama (Contact Author)

"Volatility Persistence, Long Memory and Time Varying Unconditional Mean: Evidence From Ten Equity Markets"
Isabel Ruiz, Sam Houston State University
David McMillan, University of St. Andrews (Contact Author)

"Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life"
Ming Chien Lo, St. Cloud State University (Contact Author)

Discussants:

Isabel Ruiz, Sam Houston State University
Ming Chien Lo, St. Cloud State University
Yu Liu, University of Alabama