【人文社科大讲堂】(2021-27)——金融工程与风险管理学科学术报告

发布者:贺琳发布时间:2021-09-03浏览次数:10


报告人:尚玉皇(西南财经大学,教授、博士生导师)

时间:202199日(周四)上午900

腾讯会议ID685 735 395

主办单位:中国矿业大学经济管理学院


报告题目-1Macroeconomics and Volatility Forecasts: Evidence from Mixed-Frequency SV Models

      ABSTRACT: This paper develops a stochastic volatility-mixed frequency data sampling (SV-MIDAS) model with low frequency macro variables. We further extend an asymmetric SV-MIDAS model—the ASV-MIDAS model—by including a leverage effect. This paper executes the empirical applications in both Chinese and U.S. stock markets. First, we find that the SV-MIDAS model can identify the macroeconomic volatility source of stock volatility. And this macroeconomic volatility source helps SV-MIDAS model outperforms the traditional SV model for in-sample fitting. Second, we also show that out-of-sample forecast performances of SV-MIDAS model are significantly superior to that of traditional SV model. Moreover, among the macroeconomic variables, the Composite Leading Indicator has the best forecast performance. Finally, the ASV-MIDAS model suggests that there are significant leverage effects in both stock markets. However, the leverage effect is weaker in China. In addition, the ASV-MIDAS model only outperforms the corresponding benchmark model for the in-sample fitting.

告题目-2高质量期刊论文发表心得体会与经验交流

报告人简介:

尚玉皇,男, 西南财经大学中国金融中心教授、博士生导师,金融科技研究所所长,西南财经大学光华学者百人计划。主要从事混频数据方法、金融计量学、宏观金融、金融科技等领域的研究。尚玉皇教授在混频数据建模、宏观经济预测、货币政策分析、金融风险测度及其应用、利率期限结构研究等领域取得了丰硕研究成果。以第一作者在《经济研究》、《世界经济》、《金融研究》、Economic ModelingApplied Economics等国内外高质量学术期刊发表论文数十篇。主持完成国家自然科学基金项目、教育部人文社会基金项目、四川省社科重点项目、国家社科重大项目《地方政府债务与金融稳定性研究》子课题等纵向科研项目多项。多次获得西南财经大学优秀科研成果奖、优秀论文指导老师等。