講座:Is There Regime-specific Return Predictability in Quantiles? 2024-04-10 題目: Is There Regime-specific Return Predictability in Quantiles? 講座專家:涂云東 時間:2024,4,19 19:00-21:00 騰訊會議: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. 報告人簡介:涂云東,北京大學光華bwin必贏唯一官網(wǎng)和北京大學統(tǒng)計科學中心聯(lián)席教授。入選“日出東方”北大光華青年人才,北京大學優(yōu)秀博士學位論文指導教師,教育部“長江學者獎勵計劃”青年長江學者。2004年和2006年先后獲武漢大學理學學士學位和經(jīng)濟學碩士學位,2012年獲美國加州大學河濱分校經(jīng)濟學博士學位。亞太青年計量經(jīng)濟學者會議發(fā)起人和主要組織者。40余篇學術(shù)論文發(fā)表在多個國際國內(nèi)知名專業(yè)雜志。著作教材《時間序列分析》由人民郵電出版社于2022年9月出版。主持多個國家自然科學基金項目,并擔任自然科學基金匿名評審。曾獲世界計量經(jīng)濟學會、加州計量經(jīng)濟學會議等學術(shù)組織提供的青年學者研究資助。研究領(lǐng)域涵蓋時間序列分析、非參數(shù)計量方法、大數(shù)據(jù)分析、金融計量和預測等。