主 题：Contributions to integrated covariance estimation: Robustness to jumps, non-synchronicity and microstructure noise
主讲人：比利时布鲁塞尔自由大学 Kris Boudt教授
主持人：统计学院副院长 鲁万波教授
时 间：2015年3月24日(星期二) 上午10:00
地 点：柳林校区通博楼 B212
主办单位：统计学院 科研处
主要内容：An estimator of the ex-post covariation of log-prices under asynchronicity and microstructure noise is proposed. It uses the Cholesky factorization on the covariance matrix in order to exploit the heterogeneity in trading intensity to estimate the different parameters sequentially with as many observations as possible. The estimator is guaranteed positive semidefinite. We derive asymptotic results andMonte Carlosimulations confirm good finite sample properties. In the application we forecast portfolio Value-at-Risk and sector risk exposures for a portfolio of 52 stocks. We find that forecasts obtained from dynamic models utilizing the proposed high-frequency estimator provide statistically and economically superior forecasts.
主讲人简介：Kris Boudt is Professor in Finance at Vrije Universiteit Brussel (VUB) and part-time at the Econometrics and Finance Department of the VU University of Amsterdam. He is a research partner of Finvex Group and affiliated researcher at KU Leuven. By training he has a MSc degree in economics from theUniversityofNamurand a PhD from the KU Leuven (2008). Previously he was Assistant Professor at the KU Leuven (2009-2012) and guest lecturer at theUniversityofIllinoisatChicago. The research of Kris Boudt aims at developing econometric methodology for analyzing financial markets and optimizing portfolio risk. His research results were used to create several innovative financial products, such as the NYSE/Euronext CAC low risk index. Kris Boudt has published in leading international finance and statistics journals including the International Journal of Forecasting, Journal of Empirical Finance, Journal of Financial Econometrics, Journal of Financial Markets, Journal of Risk, and Statistics and Computing, among others. Kris Boudt is in the editorial board of quantitative finance letters and is a coauthor of the highfrequency and PortfolioAnalytics packages.
