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近日，我院刘广应教授的论文《Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps》，被Journal of Econometrics杂志录用，目前可以在线查阅。此论文研究金融高频数据波动率的波动率，主要估计波动率自身的波动率，检验分析波动率过程特征，并将理论结果应用在...
This paper provides an overview of control function (CF) methods for solving the problem of endogenous explanatory variables (EEVs) in linear and nonlinear models. CF methods often can be justified in...
北京大学光华管理学院商务统计与经济计量系博士生郭斌文章被国际知名期刊Journal of Econometrics接收（图）
商务统计 经济计量 博士生 知名期刊 Journal of Econometrics
2014/9/23
在时间序列分析中，多维时间序列的建模和预测是一个非常重要的问题。随着科学技术的快速发展，高维时间序列的数据在金融、气候以及通信等领域随处可见。另一方面，运用现有的多维时间序列模型拟合高维时间序列数据时会遇到过度参数化以及模型不可识别等一系列问题。这使得高维时间序列建模在应用与理论两方面均有重要意义。日前，光华管理学院商务统计与经济计量系博士生郭斌及其合作者撰写的论文High Dimensional...
State-Observation Sampling and the Econometrics of Learning Models
Hidden Markov model particle filter state-observation sampling learning indirect inference forecasting state space model value at risk
2011/6/20
In nonlinear state-space models, sequential learning about the hidden state can proceed
by particle filtering when the density of the observation conditional on the state is available
analytically (...
Parametric and nonparametric models and methods in financial econometrics
Diffusion model hidden Markov model jump diffusionmodel Markov chain model validation nonlinear time series nonparametric density estimate nonparametric curve estimate stochastic differential equation stochastic volatility
2009/2/11
Financial econometrics has become an increasingly popular research field. In this paper we review a few parametric and nonparametric models and methods used in this area. After introducing several wid...