教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第179期讲座

(2020年11月27日)

报告题目：Volatility forecasting with bivariate multifractal models

报告人：Ruipeng Liu (澳大利亚迪肯大学)

Dr Ruipeng Liu是德国基尔大学博士毕业，现任澳大利亚迪肯大学副教授。Dr Ruipeng Liu的研究领域包括数量金融、金融市场、能量市场、市场有效性、风险的度量与管理。Dr Ruipeng Liu在European Journal of Finance、Physica A、Journal of Forecasting等国际期刊上发表论文多篇。  

摘要：

This paper examines volatility linkages and forecasting for stock and foreign exchange markets from a novel perspective by utilizing a bivariate Markov-switching multifractal model that accounts for possible interactions between stock and foreign exchange markets. Examining daily data from major advanced and emerging nations, we show that generalized autoregressive conditional heteroskedasticity models generally offer superior volatility forecasts for short horizons,particularly for foreign exchange returns in advanced markets. Multifractal models, on the other hand, offer significant improvements for longer horizons,consistently across most markets. Finally, the bivariate multifractal model provides superior forecasts compared to the univariate alternative in most advanced markets and more consistently for currency returns, while its benefits are limited in the case of emerging markets.

报告时间：2020年11月27日 10:00--11:30

报告地点：腾讯会议（会议ID：224 961 198）

邀请人：郑敏

欢迎各位老师和同学积极参加！