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報(bào)告人：尚玉皇（西南財(cái)經(jīng)大學(xué)，教授、博士生導(dǎo)師）

時(shí)間：2021年9月9日（周四）上午9點(diǎn)00分

騰訊會(huì)議ID：685 735 395

主辦單位：中國(guó)礦業(yè)大學(xué)經(jīng)濟(jì)管理學(xué)院

報(bào)告題目-1：Macroeconomics and Volatility Forecasts: Evidence from Mixed-Frequency SV Models

      ABSTRACT: This paper develops a stochastic volatility-mixed frequency data sampling (SV-MIDAS) model with low frequency macro variables. We further extend an asymmetric SV-MIDAS model—the ASV-MIDAS model—by including a leverage effect. This paper executes the empirical applications in both Chinese and U.S. stock markets. First, we find that the SV-MIDAS model can identify the macroeconomic volatility source of stock volatility. And this macroeconomic volatility source helps SV-MIDAS model outperforms the traditional SV model for in-sample fitting. Second, we also show that out-of-sample forecast performances of SV-MIDAS model are significantly superior to that of traditional SV model. Moreover, among the macroeconomic variables, the Composite Leading Indicator has the best forecast performance. Finally, the ASV-MIDAS model suggests that there are significant leverage effects in both stock markets. However, the leverage effect is weaker in China. In addition, the ASV-MIDAS model only outperforms the corresponding benchmark model for the in-sample fitting.

報(bào)告題目-2：高質(zhì)量期刊論文發(fā)表心得體會(huì)與經(jīng)驗(yàn)交流

報(bào)告人簡(jiǎn)介：

尚玉皇，男， 西南財(cái)經(jīng)大學(xué)中國(guó)金融中心教授、博士生導(dǎo)師，金融科技研究所所長(zhǎng)，西南財(cái)經(jīng)大學(xué)光華學(xué)者百人計(jì)劃。主要從事混頻數(shù)據(jù)方法、金融計(jì)量學(xué)、宏觀(guān)金融、金融科技等領(lǐng)域的研究。尚玉皇教授在混頻數(shù)據(jù)建模、宏觀(guān)經(jīng)濟(jì)預(yù)測(cè)、貨幣政策分析、金融風(fēng)險(xiǎn)測(cè)度及其應(yīng)用、利率期限結(jié)構(gòu)研究等領(lǐng)域取得了豐碩研究成果。以第一作者在《經(jīng)濟(jì)研究》、《世界經(jīng)濟(jì)》、《金融研究》、Economic Modeling、Applied Economics等國(guó)內(nèi)外高質(zhì)量學(xué)術(shù)期刊發(fā)表論文數(shù)十篇。主持完成國(guó)家自然科學(xué)基金項(xiàng)目、教育部人文社會(huì)基金項(xiàng)目、四川省社科重點(diǎn)項(xiàng)目、國(guó)家社科重大項(xiàng)目《地方政府債務(wù)與金融穩(wěn)定性研究》子課題等縱向科研項(xiàng)目多項(xiàng)。多次獲得西南財(cái)經(jīng)大學(xué)優(yōu)秀科研成果獎(jiǎng)、優(yōu)秀論文指導(dǎo)老師等。