题目： Tail dependence, extreme quantile and predictive regression

嘉宾：彭亮 教授 （美国乔治亚州立大学风险管理与保险系）

时间：2014年7月18日15:30

地点：管理科研楼10楼1018会议室

单位：管理学院统计与金融系、安徽省金融信息重点实验室

摘要：
First we will introduce extreme value theory and a new approach for distinguishing asymptotic dependence and asymptotic independence which plays an important role in predicting rare events. Second we propose a new semi-parametric approach to estimate high quantiles, where both parametric and nonparametric methods are not appropriate. Finally we propose a way of uniform interval estimation for predictive regressions regardless of the predicting variable being stationary or near integrated or having an infinite variance.