Factor Modeling for Volatility

主讲人: Yingying Li

Yingying Li is Professor at the Department of Information System, Business Statistics and Operations Management (ISOM) and the Department of Finance at Hong Kong University of Science and Technology (HKUST). Before joining HKUST, Dr. Li also held positions as lecturer and postdoctoral fellow at the Bendheim Center for Finance and the Operations Research and Financial Engineering department at Princeton University. Dr. Li received her Ph. D in Statistics from the University of Chicago.

Dr. Li's research focuses on high-dimensional and/or high-frequency financial data, volatility estimation and prediction, market microstructure, large portfolio optimization, individualized financial decision making, etc. Dr. Li has published on top journals in statistics, finance and economics, such as Econometrica, Review of Financial Studies, Journal of Financial Economics, Annals of Statistics, Journal of American Statistical Association, Journal of Econometrics.
Dr. Li is an elected fellow of the Society for Financial Econometrics (SoFiE), and NSFC Excellent Young Scientist (EYS Hong Kong and Macau). She is an associate editor for the Journal of Econometrics, Journal of Business & Economic Statistics and Journal of Financial Econometrics; and serves as a council member for the Society for Financial Econometrics.
主持人: 陈海强

Under a high-frequency and high-dimensional setup, we establish a framework to estimate the factor structure in stock volatility. We show the consistency of conducting principal component analysis on realized volatilities in identifying the factor structure in stock and idiosyncratic volatility. Empirically, with strong empirical evidence, we propose a single factor model for stock volatility, where volatility is represented by a common volatility factor and a multiplicative  lognormal idiosyncratic component. We further utilize the proposed factor model for volatility forecasting and show that our proposed approach outperforms various benchmark methods. This is joint work with Yi Ding, Robert Engle and Xinghua Zheng.

时间: 2021-04-27(Tuesday)16:40-18:00
地点: 经济楼N302
主办单位: 厦门大学经济学院、王亚南经济研究院
承办单位: 厦门大学经济学院金融系
类型: 系列讲座