动态金融网络的半参数建模
（Semiparametric Modeling for Dynamic Financial Networks）
主讲人：
蔡宗武（美国堪萨斯大学经济系经济学教授）
主持老师：
孙振庭（北大国发院）
参与老师：
（北大经院）王一鸣、王熙、刘蕴霆、王法
（北大国发院）沈艳、黄卓、张俊妮
（北大新结构经济学研究院）胡博
时间：
2021年6月4日（周五）
10：00-11：30
地点（线上）：
加入 Zoom 会议
https://zoom.com.cn/j/66333715453?pwd=TDlNRnM2Z20wRXV2bGpBRk5oaVBLZz09
会议号：663 3371 5453
密码：1234
主讲人简介：
蔡宗武，美国堪萨斯大学经济系经济学教授，计量经济学查尔斯奥斯瓦尔德教授。他的研究兴趣包括计量经济学、定量金融、风险管理、数据分析建模、非线性和非平稳时间序列及其应用等。他的主要研究集中在发展和证明计量经济学方法和应用在经济和金融。他的工作已在专业期刊上广泛发表，包括领先的计量经济学和统计期刊:《计量经济学杂志》、《计量经济学理论》、《美国统计协会杂志》等。
Dr. Zongwu Cai is the Charles Oswald Professor of Econometrics and a Professor of Economics at Department of Economics, The University of Kansas. His research interests include econometrics, quantitative finance, risk management, data-analytic modeling, nonlinear and nonstationary time series, and their applications, and among others. His primary research focuses on developing and justifying econometric methodology and applications in economics and finance. His work has been published extensively in professional journals, including both leading econometrics and statistics journals: Journal of Econometrics, Econometric Theory, The Journal of American Statistical Association, and more.
摘要：
The degree of interdependences among holdings of financial sectors and its varying patterns are key in forming systemic risks within a financial system. In this article, we propose a VAR model of conditional quantiles with functional coefficients to construct a novel class of dynamic network system, of which the interdependences among tail risks such as Value-at-Risk are allowed to vary with a variable of general economy. Methodologically, we develop an easy-to-implement two-stage procedure to estimate functionals in the dynamic network system by the local linear smoothing technique. We establish the consistency and the asymptotic normality of the proposed estimator under time series settings. The simulation studies are conducted to show that our new methods work fairly well. The potential of the proposed estimation procedures is demonstrated by an empirical study of constructing and estimating a new type of dynamic financial network. This is a joint work with Mr. Xiyuan Liu and it can be downloaded at the RePec web site at https://econpapers.repec.org/paper/kanwpaper/202017.htm.
