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[5月13日]计量经济学和金融计量Workshop


 发布日期:2015-5-11 14:36:00 来源:本站         浏览:         字体:       打印

 
讲座时间:5月13日(星期三)中午12:05-14:00
讲座地点:国家发展研究院万众楼一楼小教室
主讲人: 任宇教授 (厦门大学)
题目: Balanced Predictive Regressions
主讲人简介:任宇博士,现任厦门大学王亚南经济研究院金融学副教授。研究方向为实证金融和金融计量。 在Econometric Theory,Journal of Banking and Finance,Journal of Empirical Finance 等英文权威期刊发表多篇论文。
 
Abstract: In the conventional predictive regression model, a stationary return series is regressed on the first lagged value of some highly persistent predictor. Therefore, no predictability is probably due to the unbalance of the stationarity of two sides in the regression model. This paper proposes to use the first and the second lagged predictors as the regressors. When the regressor has a unit root, the first differenced series can serve as the potential predictor; when the regressor is stationary, our model still works as the conventional predictive regression. Empirically, we reexamine the popular predictors in the literature, and find quite different results.
 
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