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時間：2025年3月28日12：30-14:00

地點：明德主樓734

匯報人：王曉虎，復旦大學經濟學院教授

主題：Exploiting the errors and jumps: A time-varying rough volatility model for improved forecasts

講座內容：This paper introduces a time-varying rough volatility model to mitigate the adverse impacts of measurement errors and jumps in forecasting. The specification is a discretized fractional Ornstein-Uhlenbeck (fOU) process with a time-varying persistency depending on realized quadraticity. Under the in-fill asymptotic scheme, the process has a stochastic-unit-root specification, with the error term being a fractional Gaussian noise. So the fractional integration is possible. Methods are proposed to estimate parameters in the model. The asymptotic theory is developed for the estimators. Empirical estimates from RV of 110 cryptocurrencies suggest strong evidence of time-varying persistency and roughness. When using the proposed model to forecast the RV of 110 cryptocurrencies, we find evidence of superior forecasting performance of the proposed model relative to other popular models in the literature.

個人簡介：王曉虎，復旦大學經濟學院教授，博士生導師。主要研究方向為金融計量學和實證資產定價。研究成果發表在Journal of Econometrics, Econometrics Journal, Econometric Reviews, Journal of International Money and Finance, Quantitative Finance, Advances in Econometrics, Economics Letters, Econometrics 等國際權威期刊上。主持國家自然科學基金優青（海外）項目，上海市曙光學者、上海市浦江人才等項目。擔任《世界經濟文匯》編輯。