学术报告
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第六十五讲:澳门大学刘志副教授
作者:   时间:2019-12-23   点击数:

20191220日下午,应广州大学经济与统计学院和岭南统计科学研究中心的邀请,在行政东楼前座412,澳门大学刘志副教授作了题为“Bootstrapping the Realized Laplace Transform of volatility and related quantities”的学术报告——暨“羊城讲坛”第六十五讲,旨在进一步提高年轻学者及研究生对相关研究的理解。此次讲座由胡建明老师主持,相关专业的师生参加了此次讲座。

 

刘志, 2011年博士毕业于香港科技大学,20118---20128月任厦门大学王亚南经济研究院与经济学院双聘助理教授,20128月起先后任澳门大学数学系助理教授,副教授。IMS, AFA, Econometric Society会员。主要研究方向有:金融高频数据分析、金融风险管理、随机过程统计推断,生物信息等。已在AoSJasaJoEJbesBioinformaticsET等相关研究方向的权威期刊发表论文40多篇。

报告的主要内容:We develop bootstrap procedures for the realized Laplace transform of volatility and associated statistics. First, we demonstrate that a naive wild bootstrap fails for the realized Laplace transform of volatility. Next, we propose a modified wild- as well as a local Gaussian bootstrap and established their first-order asymptotic validity. Motivated by the superior performance of the local Gaussian bootstrap procedure in finite samples, we use Edgeworth expansions to compare its theoretical accuracy with existing first-order feasible asymptotic theory. Our cumulants expansions demonstrate that the local Gaussian bootstrap is able to mimic the higher-order bias of the studentized test statistic, for which second-order asymptotic refinements are obtained. Not surprisingly, our Monte Carlo simulation study shows that the local Gaussian bootstrap outperforms the modified wild bootstrap and existing (first-order) feasible inference theory in finite sample.

 

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