应数学与统计学院概率统计研究所邀请，上海财经大学统计与数据科学学院刘强助理教授将于2025年7月21-27日访问我校并作学术报告，欢迎全校师生参加。

报告题目：On the estimation of leverage effect and volatility of volatility in the presence of jumps

时 间：7月22日（星期二）上午10:30

地 点：理工楼631

报告摘要：The quantities of leverage effect and volatility of volatility play pivotal roles in financial economics, we revisit their estimation by using high-frequency data with the presence of jumps. We first construct spot volatility estimator by using the empirical characteristic functions of the high-frequency increments to deal with the effect of jumps, base on which the estimators for leverage effect and volatility of volatility are proposed. Comparing with existing literature, our method has more relaxed restriction on the jump intensity, making it a better alternative for empirical applications. Under mild conditions, the asymptotic normality of the estimators are established. To make corresponding central limit theorems feasible, consistent estimators of the limiting variance are constructed based on the estimation of volatility functional. We conduct extensive simulation studies to verify our theoretical conclusion and evaluate the finite sample performance of the proposed estimators. Moreover, we also apply our method to some real high-frequency data for empirical studies.

报告人简介

刘强，2021年至今担任上海财经大学统计与数据科学学院助理教授、硕士生导师、博士生导师。2013年本科毕业于兰州大学数学与统计学院，并分别于2015和2018年在澳门大学数学系取得硕士和博士学位。之后，在新加坡国立大学数学系从事了3年的博士后研究工作。他的主要研究方向为高维高频数据、统计机器学习及其在金融经济中的应用。现已发表SCI、SSCI论文十余篇，研究成果主要发表在《Journal of the American Statistical Association》、《Statistics and Computing》、《Electronic Journal of Statistics》、《Stochastic Processes and their Applications》、《Journal of Financial Econometrics》、《Econometrics Journal》等顶尖概率统计和计量经济期刊上。

甘肃应用数学中心

兰州大学大数据科学研究中心

兰州大学数学与统计学院

兰州大学萃英学院

2025年7月20日