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【经济学系列论坛】暨南大学朱海斌助理教授讲座通知

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报告题目Estimation of volatility functionals with time-varying price staleness

报告人: 朱海斌,暨南大学助理教授

时间:10.09 星期三(16:00 – 17:00)

地点:新主楼 A1048

讲座系列: 经 济

摘要:

It is widely observed that zero returns frequently occur in the real financial market, especially for high-frequency data. Such a phenomenon is known as price staleness. In this paper, we are interested in investigating the effects of price staleness on the estimation of volatility functionals. Some specific quantities include integrated volatility, covariance, beta, correlation, and many others, all of which play critical roles in financial econometrics. We first estimate the spot covariance by the empirical realized estimator, and our analyses show that price staleness brings in bias. After correcting the bias, we propose a global estimator of volatility functionals by applying the plug-in technique. Under suitable conditions, consistency and central limit theorem results are established for the estimator. Moreover, the estimation under the further presence of jumps and microstructure noise is also discussed. We conduct extensive simulation studies to assess the finite sample performance of our estimator and verify our theoretical results. As an empirical application, by using some real high-frequency data, we demonstrate that our staleness-corrected estimator of beta is more suitable for evaluating intraday ETF tracking performance than the traditional one without considering the price staleness.

汇报人简介:

朱海斌,暨南大学经济学院统计与数据科学系助理教授。博士毕业于澳门大学数学系,研究方向为高频金融计量、金融时间序列、金融机器学习等,论文发表在Journal of Business & Economic Statistics、Journal of Empirical Finance等期刊。