应兰州大学数学与统计学院宋伦继教授邀请，上海财经大学刘强助理教授将于2026年7月18日举办线上学术报告。欢迎广大师生参加。

题目：Empirical Characteristic Function Method for Leverage effect and Volatility of Volatility: Estimation and Feasible Inference

时间：2026年7月18日16:00—16:45

地址：秦岭堂A112

腾讯会议号：953-444-882 密码：2026

摘要：We develop jump-robust estimators of the leverage effect and volatility of volatility using high-frequency data. Our construction begins with a spot volatility estimator based on the empirical characteristic function of high-frequency increments. This method can mitigate the contamination from jumps, which can be of infinite variation. We then construct estimators of the leverage effect and volatility of volatility and correct for the bias induced by spot volatility estimation. We establish consistency and central limit theorems under conditions that allow greater jump activity than existing methods. We also develop consistent estimators of the asymptotic variances, making the limiting results feasible for statistical inference. Simulation studies demonstrate the improved finite-sample performance of the proposed estimators, particularly in the presence of infinite variation jumps. An empirical application provides evidence of nonzero leverage effect and volatility of volatility, when the jump activity is intensive.

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。

甘肃省计算数学基础学科研究中心

数学与统计学院

萃英学院

2026年7月17日