【讲座时间】：6月6日（周四）上午9:00-10:30
【讲座地点】：北京大学经济学院，302会议室
【讲座标题】：Estimation and Inference in Fractional Ornstein-Uhlenbeck Model with Discrete-Sampled Data
【摘要】：This paper proposes a two-stage method for estimating parameters in the fractional Ornstein-Uhlenbeck model based on discrete-sampled observations. In the first stage, two “diffusion” parameters (i.e. the Hurst parameter and the volatility parameter) are estimated based on the second order differences obtained at two different time scales. Their asymptotic theory is established under an in-fill asymptotic scheme. In the second stage, the two drift parameters are estimated based on the ergodic theorem. Their asymptotic theory is established under a double asymptotic scheme. Extensive simulation studies show that the proposed estimators perform well. Two empirical studies are carried out. The first empirical study, based on the daily VIX data over 2004-2017, shows that VIX is rough. The Hurst parameter is slightly but statistically significantly less than one half. It also shows that the persistence parameter is much larger than one divided by the time span, suggesting that a commonly adopted assumption in the literature can be too strong. The second empirical study, based on the daily realized volatility of S&P 500, DJIA and Nasdaq over 2011-2017, shows that the Hurst parameter is much less than one half and the persistence parameter is significantly larger than one divided by the time span.
【主讲人】：余俊（新加坡管理大学，教授）
【主讲人简介】：
Jun Yu is Lee Kong Chian Professor of Economics and Finance at Singapore Management University. His research interests are financial econometrics, econometric theory, empirical asset pricing, real estate economics and finance, and empirical macroeconomics. His research has been published in top journals, including Journal of Business and Economic Statistics, Review of Financial Studies, Journal of Econometrics, Journal of Banking and Finance, Journal of Economic Dynamics and Control, and International Economic Review. He is a member of Editorial Board of Empirical Economics, and a Associate Editor of Econometric Theory, Econometric Reviews, Journal of Financial Econometrics, and Asia-Pacific Financial Markets. Professor Yu is also a Research Fellow of National University of Singapore, University of Southern California, and Hong Kong Institute for Monetary Research.
