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    【人文社科大講堂】(2021-27)——金融工程與風險管理學科學術報告

    發布者:賀琳發布時間:2021-09-03瀏覽次數:429


    報告人:尚玉皇(西南財經大學,教授、博士生導師)

    時間:202199日(周四)上午900

    騰訊會議ID685 735 395

    主辦單位:中國礦業大學經濟管理學院


    報告題目-1Macroeconomics and Volatility Forecasts: Evidence from Mixed-Frequency SV Models

          ABSTRACT: This paper develops a stochastic volatility-mixed frequency data sampling (SV-MIDAS) model with low frequency macro variables. We further extend an asymmetric SV-MIDAS model—the ASV-MIDAS model—by including a leverage effect. This paper executes the empirical applications in both Chinese and U.S. stock markets. First, we find that the SV-MIDAS model can identify the macroeconomic volatility source of stock volatility. And this macroeconomic volatility source helps SV-MIDAS model outperforms the traditional SV model for in-sample fitting. Second, we also show that out-of-sample forecast performances of SV-MIDAS model are significantly superior to that of traditional SV model. Moreover, among the macroeconomic variables, the Composite Leading Indicator has the best forecast performance. Finally, the ASV-MIDAS model suggests that there are significant leverage effects in both stock markets. However, the leverage effect is weaker in China. In addition, the ASV-MIDAS model only outperforms the corresponding benchmark model for the in-sample fitting.

    告題目-2高質量期刊論文發表心得體會與經驗交流

    報告人簡介:

    尚玉皇,男, 西南財經大學中國金融中心教授、博士生導師,金融科技研究所所長,西南財經大學光華學者百人計劃。主要從事混頻數據方法、金融計量學、宏觀金融、金融科技等領域的研究。尚玉皇教授在混頻數據建模、宏觀經濟預測、貨幣政策分析、金融風險測度及其應用、利率期限結構研究等領域取得了豐碩研究成果。以第一作者在《經濟研究》、《世界經濟》、《金融研究》、Economic Modeling、Applied Economics等國內外高質量學術期刊發表論文數十篇。主持完成國家自然科學基金項目、教育部人文社會基金項目、四川省社科重點項目、國家社科重大項目《地方政府債務與金融穩定性研究》子課題等縱向科研項目多項。多次獲得西南財經大學優秀科研成果獎、優秀論文指導老師等。


    破一群丫头的处

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