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通知通告

通知通告

商务统计与经济计量系系列讲座(2015-17)

宣布时间: 2015-12-03

Topic:Econometric Analysis of Continuous Time Asset Pricing Models

Speaker:Yoosoon Chang, Indiana University

Time:Wednesday, 9th December, 14:00-15:30

Location:Room 217, Guanghua Building 2

Abstract:

We develop an econometric theory and methodology for general continuous time asset pricing regression models derived under no arbitrage condition. To allow for general stochastic volatilities in these regressions, considered are two estimation approaches, one based on the random sampling scheme using a volatility time and the other relying on the direct correction for heteroskedasticity by generalized least squares. Both of them are asymptotically equivalent to the continuous time maximum likelihood estimator. However, they have nonstandard limit distributions, and render the conventional tests to be invalid, if the regressors are persistent and not strictly exogenous. To deal with this problem, we introduce an additional procedure for endogeneity correction, which provides fully efficient inference with standard Gaussian limit theory. Some empirical illustrations as well as simulation results are also presented.

Your participation is warmly welcomed!

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