江蘇省應用數學（中國礦業大學）中心系列學術報告
報告題目：Limiting theorem of realized covariance when zero returns are present
報告人：劉志副教授
報告時間：2023/12/19 （周二）14:30-15:30
報告地點：伟德bvA310
報告摘要：Considering the presence of bivariate price staleness, we study the problem of estimating the covariation of two semimartingales. We propose a consistent estimator and establish a unified limiting theory for the realized covariation under price staleness, which includes the existing results as special cases. Our results demonstrate that idiosyncratic price staleness can induce a bias in the realized covariation but the systematic price staleness does not affect the limit of the realized covariation. Moreover, the bias induced by price staleness makes the realized covariation closer to zero than that without the presence of price staleness, hence this explains the well-known Epps effect appropriately. We conduct Monte Carlo studies to assess the finite sample performance of the proposed theory, and some empirical applications to real high-frequency data are considered to illustrate our theory. This is a joint work with Haibin Zhu.
報告人簡介：劉志, 澳門大學科技學院副教授，主要研究方向為統計學及其交叉方向。研究興趣包括随機過程統計，金融統計，機器學習在生物信息和醫學數據方面的應用。其工作的主要貢獻為發展了連續時間模型的模型檢驗以及波動率在不同場景下的估計理論，建立了澳門本地慢性腎病病人腎小球濾過率的預測模型。論文發表于統計學及其交叉學科優秀期刊，如統計學期刊Annals of Statistics, Journal of American Statistical Association, Journal of Business and Economic Statistics, 計量經濟學期刊Journal of Econometrics, Quantitative Economics, Econometric Theory, Econometrics Journal, 金融學期刊Journal of Banking and Finance, Finance and Stochastics, 生物信息學期刊Bioinformatics, 以及機器學習會議AAAI, 等. 主持完成國家自然科學基金和澳門政府基金10餘項。