报告人：刘志（澳门大学）

时间：2022年05月27日10:30开始

腾讯会议ID：421 213 878

点击链接入会：https://meeting.tencent.com/dm/Hwio2Pbe0RAT 

摘要：The intraday high-frequency data sets contain many zero returns, which states that no change occurs in two or more consecutive transactions, particularly in the transaction data of those inactive securities. In addition, existing approaches to cleaning the financial data, for in- stance, the previous-tick method, will induce zero returns. It has been shown by Phillips and Yu (2007) and Buccheri et al. (2020) that the presence of zero returns affects the limiting behavior of realized power variations and realized covariation of semi-martingale. In this paper, we establish a unified result for the limiting theory of the realized power variations of multivariate semi-martingales, which includes the result of Phillips and Yu (2007) as a special case. Moreover, we provide a new asymptotic theory for realized covariation by con- sidering bivariate price staleness processes between assets. Monte Carlo study verifies the proposed theory, and an analysis of real high-frequency data is proposed for illustration. This is a joint work with Haibin ZHU.

简介：刘志，澳门大学数学系副教授。2011年博士毕业于香港科技大学，先后在厦门大学统计系、澳门大学数学系工作。主要研究方向为金融高频数据分析、金融风险管理、随机过程统计推断，生物信息等。发表论文50余篇，其中一些研究工作发表在The Annals of Statistics、Journal of the American Statistical Association、 Journal of Econometrics、 Journal of Business & Economic Statistics、Finance and Stochastics、Econometric Theory、Bioinformatics等权威期刊上。主持澳门政府科技基金6项和国家自然科学基金2项。

邀请人：夏小超

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