• 湖州師范學院黨委宣傳部、新聞中心主辦

    數學學科2021系列學術報告之六

    來源:理學院 發布日期:2021-05-27

      題目:Autoregressive models of the time series under volatility uncertainty and application to VaR model

      報告人:楊淑振(山東大學-金融研究院)

      時  間:2021年6月02日(周三),下午14:30-15:30

      報告地點:1-301

      報告摘要:Financial time series admits inherent uncertainty and randomness that changes over time. To clearly describe volatility uncertainty of the time series, we assume that the volatility of risky assets holds value between the minimum volatility and maximum volatility of the assets. This study establishes autoregressive models to determine the maximum and minimum volatilities, where the ratio of minimum volatility to maximum volatility can measure volatility uncertainty. By utilizing the value at risk (VaR) predictor model under volatility uncertainty, we introduce the risk and uncertainty, and show that the autoregressive model of volatility uncertainty is a powerful tool in predicting the VaR for a benchmark dataset. Joined work with Shige Peng.

      報告人簡介:楊淑振,山東大學金融研究院副教授、碩士生導師。研究方向為隨機最優控制和金融數學,非線性期望理論在金融中應用。獲得山東省2015年優秀博士論文,在 《International Journal of Robust and Nonlinear control》,《System control letter》,《經濟研究》和《金融研究》等雜志上發表相關研究成果。


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