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崔文昊:综合波动率的拉普拉斯估计

发布时间: 2018/12/14 17:51:40     点击次数:次   打印本页

北航经商院 • 经济学双周论坛 第23期

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“北航经商院 • 经济学双周论坛”将在下周一迎来第23期讨论,具体安排如下:

时间:下周一(12月17日)中午12:00-14:00

地点:新主楼A1148

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题目:综合波动率的拉普拉斯估计

TitleLaplace Estimator of Integrated Volatility When Sampling Times Are Endogenous

主讲人:崔文昊

Presenter:Wenhao Cui

Abstract

本文提出了一个新的基于拉普拉斯变换的非参数波动率度量,它具有对于微观结构噪声和观察时间内生性的稳健性。本文给出了大样本下的拉普拉斯估计的中心极限定理。当时间内生性存在时,拉普拉斯估计利用时间内生性的信息内容,可以构建更窄的置信区间。本文通过蒙特卡罗模拟研究拉普拉斯估计的有限样本属性。通过用高频数据进行预测,本文将拉普拉斯估计与其他常用的估计进行了比较。我们得出结论,在预测股权收益波动率方面,拉普拉斯估计比大多数估计表现更好。

We introduce a new nonparametric volatility measure based on the Laplace transform, which is robust to the presence of both microstructure noise and the endogeneity of observation times. Asymptotic properties and feasible central limit theorems are established. Given the presence of time endogeneity, our bias-corrected version Laplace estimator allows taking advantage of the informational content of time endogeneity, which leads to an efficiency gain and narrower confidence bounds. The finite sample properties of the estimator are studied through Monte Carlo simulations. The performance of the Laplace estimator is compared with other commonly used estimators through forecasting exercises by employing high frequency data. We conclude that the naive and bias-corrected Laplace estimator perform better than most estimators in terms of forecasting equity return volatility.

主讲人简介(Introduction):

崔文昊,北卡罗来纳州立大学经济系博士,本科就读于复旦大学国际金融系。他的主要研究领域包括金融计量,时间序列分析,计量经济学理论等。

Wenhao Cui, Ph.D. in economics at North Carolina State University. He obtained his bachelor’s degree in finance from Fudan University. His research focuses on Financial Econometrics, Time Series Econometrics, Econometrics.

经济与商学研究院

2018年12月13日