- 標題：2013 年 5 月 WETA@TES
- 公告日期：2013-05-06
【2013 年五月份 WETA 研討會】
日期：2013 年 5 月 31 日 (五) 下午1:30~4:30
地點：臺大管理學院二號館 3 F 302 教室
講者：胡毓彬教授 (國立暨南國際大學國際企業學系)
講題：On dimension reduction of multivariate ARCH processes
講題摘要：
Many empirical time series such as asset returns exhibit the characteristic of time-varying conditional covariances, known as ARCH effects. Modeling multivariate ARCH processes, however, encounters several difficulties, including the curse of dimensionality. In this workshop, the speaker will review the methods used in the literature to reduce the dimension of multivariate ARCH processes, and introduce a new method developed by Hu and Tsay (2013) for analyzing a high-dimensional ARCH processes. This new method, called principal volatility component analysis (PVCA), can transform a k-dimensional ARCH processes to two parts: an r-dimensional series with ARCH effects and a (k-r)-dimensional series with no ARCH effects. An empirical analysis on the weekly log returns of 7 exchange rates against U.S. dollar from 2000 to 2011 shows that there exists a linear combination among the 7 exchange rates that have no ARCH effects. However, much work remains open for principal volatility component analysis, such as how to interpret the empirical findings in Economics and Finance and how to explore the properties of PVCA associated with non-zero eigenvalues.
To help audiences can get into the topic easily, the speaker will explain the motivation slowly from reviewing basic time series concept and analyzing a data set in the beginning of the workshop.
講者介紹：
胡毓彬教授為國立清華大學統計學博士，目前任職於國立暨南國際大學國際企業學系。研究專長為多變量時間序列的理論與應用、衍生性金融商品定價及財經資料分析。
WETA 為免費參加的研討會，不需事先報名，歡迎各位踴躍參加！！
此外，為方便各位學界的朋友，我們特別開放現場繳納會費，歡迎大家介紹非會員朋友加入臺灣經濟計量學會。如有問題，歡迎來信或來電: ( E-mail:< ntucreta@ntu.edu.tw >; Tel: 02-3366-1072)
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- 最後修改時間：2013-05-06 PM 2:52
