题目：Semiparametric Modeling for Dynamic Financial Networks

主讲人：堪萨斯大学 蔡宗武教授

主持人：统计学院 常晋源教授

时间：2022年3月18日（周五）上午10:00-11:00

地点：腾讯会议，423 517 247

报告摘要：

The degree of interdependences among holdings of financial sectors and its varying patterns are key in forming systemic risks within a financial system. In this article, we propose a vector autoregressive (VAR) model of conditional quantiles with functional coefficients to construct a novel class of dynamic network system, of which the interdependences among tail risks such as Value-at-Risk are allowed to vary with a variable of general economy. Methodologically, we develop an easy-to-implement two-stage procedure to estimate functionals in the dynamic network system by the local linear smoothing technique. We establish the consistency and the asymptotic normality of the proposed estimator under time series settings. The simulation studies are conducted to show that our new methods work fairly well. The potential of the proposed estimation procedures is demonstrated by an empirical study of constructing and estimating a new type of dynamic financial network. This is a joint work with my Ph.D. student Mr. Xiyuan Liu and the paper is downloadable at the website http://econpapers.repec.org/paper/kanwpaper/202017.htm. Finally, I will mention the future research topics in this field related to my talk, including how to use machine learning methods to solve the existing problems.

主讲人简介：

蔡宗武教授，美国堪萨斯大学经济系经济学教授，计量经济学Charles  Oswald教授，美国统计协会会员，美国经济协会会员，国际数理统计协会会员，泛华统计协会会员。主要研究领域为计量经济学、风险管理、数据分析建模、非线性和非平稳时间序列及其应用等。现在已在经济学、统计学以及金融学等期刊上发表论文110余篇，其中包括Econometric Theory、Journal of Econometrics和Journal of the American Statistical Association等计量经济学和统计学国际顶级期刊。担任过“中国留美经济学会”会长和Econometric Reviews、Econometric Theory和Journal of Business & Economic Statistics等期刊的副主编。