现代产业经济学系列讲座第272期

时   间：2024年10月15日（周二）16:00-17:00

地   点： 管理学院思源楼326室

题   目：Inference on Volatility Using First Exit Time

主讲人：崔文昊 讲师  （北京航空航天大学经济管理学院）

主持人： 俞学文 青年副研究员

摘   要:

We propose an endogenous sampling scheme based on the first exit time for volatility estimation and inference. The proposed scheme leads to substantial efficiency gains compared to equidistant observations by incorporating additional information from the observation times. Furthermore, we develop valid inference procedures for both fixed-k and large-k scenarios across the entire spot variance process. Our method allows for the construction of uniform confidence bands over a nontrivial time interval while maintaining satisfactory size control. In both scenarios, our approach results in narrower confidence intervals compared to those derived from equidistant observations. We also extend our inference procedures to address discretization errors and market microstructure noise. An empirically calibrated simulation study demonstrates the practical reliability of our methods in the presence of pricing errors. Additionally, an empirical application using high-frequency data illustrates the efficiency gains achieved by employing our approach.

个人简介：

Wenhao Cui is currently an assistant professor at the Department of Quantitative Economics and Business Statistics, School of Economics and Management, Beihang University. He obtained his Ph.D. and an M.S. in Economics from North Carolina State University and a B.S. in Finance from Fudan University. His research interests include High-Frequency Financial Econometrics and Econometric Theory. His papers have appeared in China Journal of Econometrics, Journal of Business & Economic Statistics, and Journal of Econometrics.

应用经济学系

2024-10-10