时间：2025年3月28日12：30-14:00

地点：明德主楼734

汇报人：王晓虎，复旦大学经济学院教授

主题：Exploiting the errors and jumps: A time-varying rough volatility model for improved forecasts

讲座内容：This paper introduces a time-varying rough volatility model to mitigate the adverse impacts of measurement errors and jumps in forecasting. The specification is a discretized fractional Ornstein-Uhlenbeck (fOU) process with a time-varying persistency depending on realized quadraticity. Under the in-fill asymptotic scheme, the process has a stochastic-unit-root specification, with the error term being a fractional Gaussian noise. So the fractional integration is possible. Methods are proposed to estimate parameters in the model. The asymptotic theory is developed for the estimators. Empirical estimates from RV of 110 cryptocurrencies suggest strong evidence of time-varying persistency and roughness. When using the proposed model to forecast the RV of 110 cryptocurrencies, we find evidence of superior forecasting performance of the proposed model relative to other popular models in the literature.

个人简介：王晓虎，复旦大学经济学院教授，博士生导师。主要研究方向为金融计量学和实证资产定价。研究成果发表在Journal of Econometrics, Econometrics Journal, Econometric Reviews, Journal of International Money and Finance, Quantitative Finance, Advances in Econometrics, Economics Letters, Econometrics 等国际权威期刊上。主持国家自然科学基金优青（海外）项目，上海市曙光学者、上海市浦江人才等项目。担任《世界经济文汇》编辑。