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精算论坛讲座第179期--Ruipeng Liu(11月27日)

发布时间:2020-11-19 16:46    浏览次数:[]

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精算论坛讲座 第179

(20201127)

报告题目:Volatility forecasting with bivariate multifractal models

 

报告人:Ruipeng Liu (澳大利亚迪肯大学)

Dr Ruipeng Liu是德国基尔大学博士毕业,现任澳大利亚迪肯大学副教授。Dr Ruipeng Liu的研究领域包括数量金融、金融市场、能量市场、市场有效性、风险的度量与管理。Dr Ruipeng LiuEuropean Journal of FinancePhysica AJournal of Forecasting等国际期刊上发表论文多篇。  

 

摘要:

This paper examines volatility linkages and forecasting for stock and foreign exchange markets from a novel perspective by utilizing a bivariate Markov-switching multifractal model that accounts for possible interactions between stock and foreign exchange markets. Examining daily data from major advanced and emerging nations, we show that generalized autoregressive conditional heteroskedasticity models generally offer superior volatility forecasts for short horizons,particularly for foreign exchange returns in advanced markets. Multifractal models, on the other hand, offer significant improvements for longer horizons,consistently across most markets. Finally, the bivariate multifractal model provides superior forecasts compared to the univariate alternative in most advanced markets and more consistently for currency returns, while its benefits are limited in the case of emerging markets.

 

报告时间:20201127 10:00--11:30

 

报告地点:腾讯会议(会议ID224 961 198

 

邀请人:郑敏

 

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