Estimating and Forecasting Volatility using Leverage Effect
报告人： Christina Dan Wang, NYU Shanghai
时间：2019-11-28 2:00-3:00pm
地点：Room 217, Guanghua Building No. 2
Abstract:
This research provides a theoretical foundation for our previous empirical finding that leverage effect has a role in estimating and forecasting volatility. This empirics is also related to earlier econometric studies of news impact curves (Engle and Ng, Chen and Ghysels). Our new theoretical development is based on the concept of projection on stable subspaces of semimartingales. We show that this projection provides a framework for forecasting (across time periods) that is internally consistent with the semi-martingale model which is used for the intra-day high frequency asymptotics. The paper shows that the approach provides improved estimation and forecasting both theoretically, in simulation, and in data.
About the Speaker:
Christina Dan Wang is Assistant Professor of Finance, NYU Shanghai; Global Network Assistant Professor, NYU. Prior to joining NYU Shanghai, Wang was an Assistant Professor in the Department of Statistics at Columbia University and a Postdoctoral Researcher in the Operations Research and Financial Engineering department and at the Bendheim Center for Finance at Princeton University.
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