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題目: Is There Regime-specific Return Predictability in Quantiles?

講座專家：涂云東

時(shí)間：2024,4,19  19:00-21:00

騰訊會(huì)議：491-447-299

摘要: This paper captures the underlying regime switching mechanism in the prediction of stock returns via a predictive quantile regression with multiple thresholds. Machine learning techniques, including a sequential estimation procedure and an adaptive group Lasso refinement, are adopted to estimate the unknown multiple thresholds. The adaptive Lasso is then applied to identify the important predictors in each regime to improve prediction accuracy at each quantile. The empirical analysis for the U.S. stock returns shows that the return predictability of several predictors changes with the economic states across the quantiles, demonstrating the regime-specific return predictability in quantiles.

報(bào)告人簡介：涂云東，北京大學(xué)光華bwin必贏唯一官網(wǎng)和北京大學(xué)統(tǒng)計(jì)科學(xué)中心聯(lián)席教授。入選“日出東方”北大光華青年人才，北京大學(xué)優(yōu)秀博士學(xué)位論文指導(dǎo)教師，教育部“長江學(xué)者獎(jiǎng)勵(lì)計(jì)劃”青年長江學(xué)者。2004年和2006年先后獲武漢大學(xué)理學(xué)學(xué)士學(xué)位和經(jīng)濟(jì)學(xué)碩士學(xué)位，2012年獲美國加州大學(xué)河濱分校經(jīng)濟(jì)學(xué)博士學(xué)位。亞太青年計(jì)量經(jīng)濟(jì)學(xué)者會(huì)議發(fā)起人和主要組織者。40余篇學(xué)術(shù)論文發(fā)表在多個(gè)國際國內(nèi)知名專業(yè)雜志。著作教材《時(shí)間序列分析》由人民郵電出版社于2022年9月出版。主持多個(gè)國家自然科學(xué)基金項(xiàng)目，并擔(dān)任自然科學(xué)基金匿名評(píng)審。曾獲世界計(jì)量經(jīng)濟(jì)學(xué)會(huì)、加州計(jì)量經(jīng)濟(jì)學(xué)會(huì)議等學(xué)術(shù)組織提供的青年學(xué)者研究資助。研究領(lǐng)域涵蓋時(shí)間序列分析、非參數(shù)計(jì)量方法、大數(shù)據(jù)分析、金融計(jì)量和預(yù)測(cè)等。