學術演講--113/2/20 劉念麟教授(日本東京理科大學)

https://www.math.tku.edu.tw/

主講人：劉念麟 教授(日本東京理科大學) 題 目：Spot covariance estimation with synchronous high-frequency finance data 日 期：113年2月20日（星期二） 時 間：下午14:10開始 地 點：科學館S433 摘要Abstract: Empirical studies have pointed out the importance of considering different temporal variations in correlations between asset prices. Currently, high-frequency profiles sampled asynchronously across different assets have mainly applied for integrated covariance estimation but less so for spot covariance estimation. Based on the seminal works of Malliavin and Mancino [1,2] in conjunction with the principle component analysis approach, in this talk, we try to propose a novel spot covariance estimation with synchronous high-frequency finance data. We will point out which kind of high-frequency data we are interested in and briefly explain why we apply the Malliavin-Mancino method to these data. References [1] P. Malliavin and M. E. Mancino. Fourier series method for measurement of multivariate volatilities. Finance Stoch., 6(1):49–61, 2002. [2] P. Malliavin and M. E. Mancino. A Fourier transform method for nonparametric estimation of multivariate volatility. Ann. Statist., 37(4):1983–2010, 2009.