Parameter estimation for mixed fractional stochastic volatility model
报告人：Weilin Xiao (Zhejiang University)
时间：2022-11-17 15:10 - 17:00
地点：Tencent Meeting ID（935-3935-7603; Passcode: 123456）
Abstract: During the last two decade, the memory phenomenon have received increasing popularity for modelling market behaviour for both the return and the volatility of financial assets. Based on discrete-sampled observations, this paper considers the statistic inference of all the unknown parameters in a special stochastic processes with the memory phenomenon, namely, mixed fractional stochastic volatility model. The usual asymptotic properties, including strong consistency and asymptotic normality, are established under the long-span asymptotics, when the sampling interval is fixed and the sample size increases as the time span increases. The extension, when the volatility process has measurement errors, is also discussed. Monte Carlo experiments are performed to demonstrate the feasibility and effectiveness of the proposed method.
About the Speaker:
肖炜麟，华南理工大学工商管理学院博士，浙江大学管理学院副教授、博士生导师，浙江大学资本市场研究中心副主任。主要研究领域为金融风险管理、金融计量、碳金融和机器学习等，在《Journal of Econometrics》、《Journal of Business and Economics Statistics》、《Econometric Theory》、《Science China: Mathematics》、《中国科学: 数学》、《管理科学学报》、《系统工程理论与实践》等期刊上发表多篇学术论文。
Tencent Meeting（ ID: 935-3935-7603; Passcode:123456 ）
Meeting Link: https://meeting.tencent.com/dm/6xILDn3HGWeV
