主题：Modeling
and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial
Decisions（建模和预测（不）可靠已实现协方差，以求更为可靠的金融决策）
主讲人：Tim Bollerslev，杜克大学Juanita
and Clifton Kreps经济学讲席教授
日期：2017年6月16日（周五）
时间：上午10:00-11:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
We
propose a new framework for modeling and forecasting common financial risks
based on (un)reliable realized covariance measures constructed from high-frequency
intraday data. Our new approach explicitly incorporates the effect of
measurement errors and time-varying attenuation biases into the covariance
forecasts, by allowing the ex-ante predictions to respond more (less) aggressively
to changes in the ex-post realized covariance measures when they are more
(less) reliable. Applying the new procedures in the construction of minimum
variance and minimum tracking error portfolios results in reduced turnover and
statistically superior positions compared to existing procedures. Translating
these statistical improvements into economic gains, we find that under
empirically realistic assumptions a risk-averse investor would be willing to
pay up to 170 basis points per year to shift to using the new class of
forecasting models.
主讲人简介:
Tim
Bollerslev is the first Juanita and Clifton Kreps Distinguished Professor of
Economics at Duke University, Professor of Finance at the Fuqua School of
Business, and Research Director for the Duke Financial Economics Center
(DFE). He is an elected fellow of the
Econometric Society and the American Statistical Association, a longtime
Research Associate at the National Bureau of Economic Research (NBER), and an
International Research Fellow at the Center for Research in Time Series
Econometrics (CREATES) at the University of Aarhus, Denmark. Prior to joining Duke, Dr. Bollerslev has
held positions as the Sharpe Distinguished Professor of Finance at the Kellogg
Graduate School of Management at Northwestern University, and the Commonwealth
Professor of Economics at the University of Virginia.
Much
of Dr. Bollerslev’s research has focused on measuring, modeling and forecasting
financial market volatility. Many of the
ideas developed by Dr. Bollerslev are now routinely used by economists and
finance practitioners all over the world. He has published extensively in all of the leading academic journals in
the field, and lectured at numerous international conferences, universities,
and other institutions. He is the author
of two of the three most cited papers in the Journal of Econometrics, and routinely ranked among the most cited
economists in the world.
A
native of Denmark, Dr. Bollerslev received his M.S. degree in Economics and
Mathematics from the University of Aarhus, Denmark, and his Ph.D. degree in
Economics from the University of California, San Diego.
