题    目：Realized Copula of Volatility

主讲人：刘志 教授

单    位：澳门大学

时    间：2025年5月23日 16:30

地   点：学院二楼会议室

摘   要： Asset empirical volatility is random. The statistical inference on the volatility itself, conditional on the volatility path, has been well established. However, the inference on the distribution of the stochastic volatility is yet to be well studied, particularly for the multivariate case. In the work, we study the copula of the distributions of bivariate stochastic volatility. We propose realized copula based on estimators of the spot volatility, and establish both infill and long-span asymptotics. Simulation studies based on two well-known stocahstic volatility models, Heston model and OU process, demonstate good performance of our realized copula in capturing the joint distributional pattern of the bivariate stochastic volatility. We also implement our realized copula to a real high-frequency data including two futures contracts, the E-mini S&P 500 (ES) and the 10-Year Treasury Notes (TY). The results suggest a Gumbel copula with a parameter around 1.6 for two stochastic volatilities. This is a joint work with Kim Christensen, Wenjing Liu and Yoann Potiron.

简    介：刘志, 澳门大学数学系教授。研究兴趣包括随机过程统计，金融统计，机器学习在生物信息和医学数据方面的应用。论文发表于统计学及其交叉学科国际期刊，如统计学期刊Annals of Statistics, Journal of American Statistical Association, Journal of Business and Economic Statistics, 计量经济学期刊Quantitative Economics, Journal of Econometrics, Econometric Theory, Econometrics Journal, 金融学期刊Journal of Banking and Finance, Finance and Stochastics, 生物信息学期刊Bioinformatics, 以及机器学习会议AAAI等。 主持完成国家自然科学基金和澳门政府基金10余项。