周洪涛博士学术讲座通知
时间:2017-4-13 16:04:25   阅读:   标签: 管理学院 学术讲座

时间:2017419日上午9:30-10:30

地点:哈工大科学园2H308

讲座题目: Right Tail Information of the US Stock Returns / 美国股票回报分布的右尾信息

讲座摘要:

In financial applications, left tail measures of the conditional distribution of returns, such as the Value-at-Risk or Expected Shortfall are popular tools in the measurement and management of financial risk. However, other distributional information of returns can also provide very valuable information to investors and managers. A very important piece of distributional information is the information of right tail of the conditional distribution of returns. Xiao (2014) argues that the right tail information of return distribution contains important information and affects investors' behavior in financial markets. Investors not only look at the left tail distribution of returns to control risk, but also consider the right tail distributional information for opportunity. Decision-making in financial markets is therefore affected by both left tail and the right tail of the return distributions. In this paper, we investigate empirical behaviors of the right tail information of stock returns and market portfolio and study their impacts in financial market decisions. We also propose an Autoregressive model for the right tail measures.

主讲人介绍:

周洪涛博士就读于美国波士顿学院经济学专业,目前任职于山东大学经济研究院任助理教授。主要研究领域是金融经济学,时间序列计量经济学,资产定价,风险管理等。目前已经在Journal of Banking and Finance发表文章一篇。

敬请感兴趣的老师和学生来参加。

                                                人事与师资办公室

                                                2017413

发布:徐建慧 |  审核:曹文涛 |  来源: 管理学院