應(yīng)yl7703永利官網(wǎng)邀請，香港大學(xué)張寧寧博士將于2023年12月14日-17日訪問蘭州大學(xué)，并于15日舉辦專題學(xué)術(shù)報告，歡迎諸位老師、研究生參加。
報告題目:QUANTILED CONDITIONAL VARIANCE, SKEWNESS, AND KURTOSIS BY CORNISH-FISHER EXPANSION.
時 間：2023年 12月15日（星期五）16：50
地 點：理工樓631
報告摘要：The conditional variance, skewness, and kurtosis play a central role in time series analysis. These three conditional moments (CMs)are often studied by some parametric models but with two big issues: the risk of model mis-specification and the instability of model estimation.To avoid the above two issues, this paper proposes a novel method to estimate these three CMs by the so-called quantiled CMs (QCMs).The QCM method first adopts the idea of Cornish-Fisher expansion to construct a linear regression model, based on n different estimated conditional quantiles. Next, it computes the QCMs simply and simultaneously by using the ordinary least squares estimator ofthis regression model, without any prior estimation of the conditional mean.Under certain conditions, the QCMs are shown to be consistent. Simulation studies indicate that, in the presence of Cornish-Fisher expansion errors and quantile estimation errors caused by the conditional autoregressive value at risk (CAViaR) models, the QCMs perform well under different scenarios.In the application, the study of QCMs for three exchange rates demonstratesthe effectiveness of financial rescue plans during the COVID-19 pandemic outbreak, and suggests that the existing “news impact curve” functions for the conditional skewness and kurtosis may not be suitable. In addition, the backtesting analysis on the value at risk (VaR) indicates that the modified VaR (mVaR) by the QCMs performs better than other two classical VaR models.
歡迎廣大師生光臨!
報告人簡介
張寧寧博士本科畢業(yè)于北京交通大學(xué)理學(xué)院，之后繼續(xù)在北京交通大學(xué)取得統(tǒng)計學(xué)專業(yè)的碩士學(xué)位，目前在香港大學(xué)朱柯教授時間序列課題組攻讀博士學(xué)位。主要致力于金融時間序列分析和因果推斷，目前已在Communications in Nonlinear Science and Numerical Simulation, Physica A: Statistical Mechanics and its Applications, Journal of Business & Economic Statistics, Journal of Agricultural, Biological, and Environmental Statistics等雜志發(fā)表多篇文章。
甘肅應(yīng)用數(shù)學(xué)中心
yl7703永利官網(wǎng)
萃英學(xué)院
2023年 12月13日
