时间：2014/11/25，上午10：00～11：30

地点：经济学院一楼院史馆（A101）

主讲人：顾宇成

题目：Dynamic Correlation Multivariate Stochastic Volatility with Latent Factor Structures

摘要：Modeling the correlation structure of asset returns is an essential issue in financial studies. Considerable evidence from empirical studies has shown that correlations among asset returns are not stable over time. To describe the evolution of the dynamic correlation matrix of asset returns, a recent development in the multivariate stochastic volatility (MSV) area has focused on the use of inverse Wishart processes. Within the framework of such MSV models, this paper proposes a latent factor model based on Markov chain Monte Carlo estimation methods. We apply the cumulative log predictive Bayes factor as the criterion for the choice of the number of factors. The proposed model is demonstrated by simulation study and compared to other competing models using Fama-French portfolio-weighted return data. The results show that our model not only captures stylized facts in the past but also performs well in future trend prediction.

主讲人介绍：Dr. Yu-Cheng Ku received his PhD in Statistics from North Carolina State University, USA, in 2010. During 2010-2011, he was a post-doctoral researcher at Australian School of Business, the University of New South Wales, Australia. His research field included Bayesian Econometrics and Bayesian Analysis in Finance and Marketing. In the academic community, he has reviewed papers for Journal of Econometrics and Bayesian Analysis, and he has several publications in international journals, including Marketing Letters (conditionally accepted) and Statistical Modelling. He is now a Financial Economist at Fannie Mae, Washington, DC, USA, responsible for mortgage prepayment modeling for firm-wide applications.

顾宇成博士于2010年自美国北卡州立大学取得统计博士学位。2010 至 2011年间，他于澳洲新南威尔斯大学所属澳大利亚商学院担任博士后研究员。他的研究领域包含贝氏计量方法以及相关应用于财务或市场营销。在学术社群里，他曾为 Journal of Econometrics 与 Bayesian Analysis 担任匿名评审，并于国际期刊发表著作，包括 Marketing Letters (条件接受中) 以及 Statistical Modelling。他目前于美国华盛顿特区的房利美公司担任财务经济学家，主要工作在为房贷的提前清偿行为 (prepayment) 进行建模，模型用以提供相关部门使用。

LFMSV_Ku_09162014.pdf