報(bào)告人：劉志 教授

報(bào)告題目：Realized Copula of Volatility

報(bào)告時(shí)間：2025年12月26日（周五）16:00-17:00

報(bào)告地點(diǎn)：云龍校區(qū)6號(hào)樓304報(bào)告廳

主辦單位：數(shù)學(xué)與統(tǒng)計(jì)學(xué)院、數(shù)學(xué)研究院、科學(xué)技術(shù)研究院

報(bào)告人簡(jiǎn)介：

劉志, 澳門(mén)大學(xué)數(shù)學(xué)系教授。研究興趣包括隨機(jī)過(guò)程統(tǒng)計(jì)，金融統(tǒng)計(jì)，機(jī)器學(xué)習(xí)在生物信息和醫(yī)學(xué)數(shù)據(jù)方面的應(yīng)用。論文發(fā)表于統(tǒng)計(jì)學(xué)及其交叉學(xué)科國(guó)際期刊，如統(tǒng)計(jì)學(xué)期刊Annals of Statistics, Journal of American Statistical Association, Journal of Business and Economic Statistics,計(jì)量經(jīng)濟(jì)學(xué)期刊Quantitative Economics, Journal of Econometrics, Econometric Theory, Econometrics Journal, 金融學(xué)期刊Journal of Banking and Finance, Finance and Stochastics, 生物信息學(xué)期刊Bioinformatics, 以及機(jī)器學(xué)習(xí)會(huì)議AAAI等。主持完成國(guó)家自然科學(xué)基金和澳門(mén)政府基金10余項(xiàng)。

報(bào)告摘要：

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.