“经济学论坛”是由8797威尼斯老品牌经济学系主办的专业学术性论坛。论坛致力于打造一个经济学专业人士进行交流与对话的平台，对当前及未来的经济理论、研究方法和现实热点问题展开广泛、深入、全面、开放的探讨。论坛每月举办一次，由主题演讲、专业评论和自由讨论构成。论坛邀经济学各领域素有研究的知名学者或研究取得积极进展的中青年学者发表主题演讲，并围绕相关问题展开讨论。本期论坛信息如下：
题目: Modeling Maxima with Autoregressive Conditional Freshet Model
报告人: Zhengjun Zhang, University of Wisconsin, Professor of Statistics in the Department of Statistics
Affiliated Professor of Economics in the School of Economics at Peking University. Main research contributions: max-linear econometrics in the big data with publications in Journal of Econometrics, Journal of Banking and Finance, Advances in Econometrics, Journal of American Statistical Association, Annals of Statistics, Journal of Applied Probability, Insurance Mathematics and Economics.
摘要：This paper introduces a novel dynamic generalized extreme value (GEV) framework for modeling the time-varying behavior of maxima in financial time series. Specifically, an autoregressive conditional Frechet (AcF) model is proposed in which the maxima is modeled by a Frechet distribution with time-varying scale parameter (volatility) and shape parameter (tail index) conditioned on past information. The AcF provides a direct and accurate modeling of the time-varying behavior of maxima and offers a new angle to study the tail risk dynamics in financial markets. Probabilistic properties of AcF are studied and a maximum likelihood estimator is used for model estimation, with its statistical properties investigated. Simulations show the flexibility of AcF and confirm the reliability of its estimators. Two real data examples on cross-sectional stock returns and high-frequency foreign exchange returns are used to demonstrate the AcF modeling approach, where significant improvement over the static GEV has been observed for market tail risk monitoring and conditional VaR estimation. With the established parameter dynamics, the AcF model shows a natural advantage for researchers and practitioners to do simulations and conduct further inference based on simulated data (A joint work with Zifeng Zhao and Rong Chen.)
时 间：2017年5月26日（周五）12点30分至13点50分
地 点：8797威尼斯老品牌302会议室
主持人：李绍荣 教授
8797威尼斯老品牌经济学系
2016年5月24日
