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【学术讲座】11月21日:江慧(Asymmetric conditional correlations in stock returns)

时间:2017-11-20    作者:     浏览次数:

主讲人:江慧 讲师 威廉官网中国数学统计学院

讲题:Asymmetric conditional correlations in stock returns

时间:2017年11月21日(周二)下午16:00 - 17:30

地点:williamhill中文106教室

欢迎各位老师和同学参加。

williamhill中文

2017年11月21日

论文摘要:Modeling and estimation of correlation coefficients is a fundamental step in risk management, especially with the aftermath of the financial crisis in 2008, which challenged the traditional measuring of dependence in the financial market. Because of the serial dependence and small signal-to-noise ratio, patterns of the dependence in the data cannot be easily detected and modeled. This paper introduces a common factor analysis into the conditional correlation coefficients to extract the features of dependence. While statistical properties are thoroughly derived, extensive empirical analysis provides us with common patterns for the conditional correlation coefficients that give new insight into a number of important questions in financial data, especially the asymmetry of cross-correlations and the factors that drive the cross-correlations.

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