太阳成集团学术活动信息：刘志助理教授学术报告2014.06.20

报 告 人： 刘志  助理教授

              澳门大学

报告题目：Measuring the realized skewness at high frequency

报告时间：2014年6月20日（周五）下午2:30

报告地点：静远楼1506学术报告厅

主办单位：太阳成集团、科技处

报告摘要： We propose a reliable new measure for realized skewness, which is robust to microstructure noise at an ultra-high frequency level. Asymptotic theory for the  new estimator has been derived and simulation studies verify its superior performance. We apply the new estimator to tick data of  the S&P 500 index to forecast the equity premium in the U.S. market from 1990 to 2011 and find that it has significant forecastability, both in sample and out-of-sample. We also show that the new skewness measure plus the variance risk premium provides the right decomposition for the skewness risk. We thus provide evidence that the realized skewness is linked to the conditional market premium.

刘志助理教授简介：

澳门大学数学系助理教授，主要研究兴趣为高频数据统计，时间序列等。在国际顶级杂志Ann. Stat., JASA, JOE, JBES, JBF等发表多篇高水平论文。