报 告 人：刘志 助理教授（澳门大学）
报告题目：TESTING FOR PRESENCE OF LEVERAGE EFFECT
报告时间：2015年12月17日上午9:10
报告地点：静远楼1506学术报告厅
摘要：In this paper, we propose a test for deciding whether the correlation of a discretely-observed semi-martingale and its quadratic variation (refers to the leverage effect in the financial econometric) equals to zero. The asymptotic setting is based on observations within a long time interval with mesh of the observation grid shrinking tozero. The test is based on forming a sequence of studentized statistics whose distributions are asymptotically normal locally over blocks of shrinking time span, and the collecting the sequence based on the whole data set. The asymptotic behaviour of the local studentized statistics is obtained from a similar result in a global setting using the third power variation of the underlying process. We derive the asymptotic distribution of the proposed test statistic under the null hypothesis of zero leverage effect and show that the test has asymptotic power of one against fixed alternatives of processes with non-zero leverage effect. Finally, simulation study verifies the finite sample performance of the test.
报告人简介：刘志, 2011年博士毕业于香港科技大学，2011年8月---2012年8月任厦门大学王亚南经济研究院与经济学院双聘助理教授，2012年8月起澳门大学数学系助理教授。IMS, AFA, Econometric Society会员。主要研究方向有：金融高频数据分析、金融风险管理、随机过程统计推断，生物信息等。主要研究成果发表在AoS，Jasa，JoE，Jbes，Bioinformatics，ET等相关研究方向的权威期刊上。