報告題目：Regime-specific Return Predictability in Quantiles
報 告 人：塗雲東 教授 北京大學
報告時間：2024年5月13日 10:00-11:00
報告地點：#騰訊會議：632-533-497
校内聯系人：朱複康 fzhu@jlu.edu.cn
報告摘要：This paper proposes a predictive quantile regression with multiple thresholds to capture the underlying regime switching mechanism in the prediction of stock returns. The predictability of each predictor is allowed to switch from one regime to another according to the value of a threshold variable and could vary across quantiles, and the predictors could possess different degrees of persistence. A sequential estimation procedure, joint with an adaptive group Lasso refinement, is proposed to efficiently and consistently estimate the unknown multiple thresholds. To remove the impact of model misspecification from the sequential estimation on subsequent inference for the thresholds, a partitioned estimation of the thresholds is further considered. The resulting threshold estimators do not depend on parameters from other regimes asymptotically and have symmetric limiting distributions. The adaptive Lasso is finally adopted to identify the important predictors in each regime to improve prediction accuracy at each quantile, and is shown to achieve the oracle property. Monte Carlo simulations demonstrate the nice performance of our procedure in finite samples. The empirical analysis for the U.S. stock returns shows that the return predictability changes with the economy policy uncertainty across the quantiles.
報告人簡介：塗雲東，北京大學光華管理學院和北京大學統計科學中心聯席教授。入選“日出東方”北大光華青年人才，北京大學優秀博士學位論文指導教師，教育部“長江學者獎勵計劃”青年長江學者。2004年和2006年先後獲武漢大學理學學士學位和經濟學碩士學位，2012年獲美國加州大學河濱分校經濟學博士學位。亞太青年計量經濟學者會議發起人和主要組織者。40餘篇學術論文發表在多個國際國内知名專業雜志。著作教材《時間序列分析》由人民郵電出版社于2022年9月出版。主持多個國家自然科學基金項目，并擔任自然科學基金匿名評審。曾獲世界計量經濟學會、加州計量經濟學會議等學術組織提供的青年學者研究資助。研究領域涵蓋時間序列分析、非參數計量方法、大數據分析、金融計量和預測等。
