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[演講訊息] 臺大財金所 3/16 (一) 與 3/19 (四) Seminar
活動起日:2015-03-10 
發佈日期:2015-03-10 
瀏覽數:1241  2017-02-12 更新

財金系擬於 3/16 (一) 與 3/19 (四) 邀請 Prof. Luc Bauwens 與 Prof. Tse-Chun Lin 至本所進行專題演講,兩場演講的相關訊息如下:

 

[第一場]

時間: 3/16 (一) 10:30-12:00

地點: 管理學院一號館2樓 冠德講堂

講者: Prof. Luc Bauwens

講題: Forecasting Comparison of Long Term Component Dynamic Models For Realized Covariance Matrices

 

Abstract:

Novel model specifications that include a time-varying long run component in the dynamics of realized covariance matrices are proposed. The adopted modeling framework allows the secular component to enter the model structure either in an additive fashion or as a multiplicative factor, and to be specified parametrically, using a MIDAS filter, or non-parametrically. Estimation is performed by maximizing a Wishart quasi-likelihood function. The one-step ahead forecasting performance of the models is assessed by means of three approaches: the Model Confidence Set, (global) minimum variance portfolios and Value-at-Risk. The results provide evidence in favour of the hypothesis that the proposed models outperform benchmarks incorporating a constant long run component, both in and out-of-sample.

 

[第二場]

時間: 3/19 (四) 14:30-16:00

地點: 管理學院一號館3樓 玉山廳個案教室

講者: Prof. Tse-Chun Lin

講題: How do short-sale costs affect put options trading? Evidence from separating hedging and speculative shorting demands

 

Abstract:

We find that put options bid-ask spreads and put options trading volume both increase with equity lending fees. However, we also find that put options trading volume decreases with lending fees for banned stocks during the 2008 Short-Sale Ban period when only options market makers can short. By separating the speculative demand of short sellers from the hedging demand of options market makers in the lending market, our results provide a thorough analysis on the interaction between options market and equity lending market. We also reconcile the debate in the literature regarding the substitutability/complementarity between put options and short sales.