【主题】Financial Time Series
【报告人】周雨田（教授，中国台湾中研院经济研究所）
【时间】2023年9月11日13:30-16:30
【地点】经济学院511室
【语言】中文
【摘要】This report will introduce some application examples of volatility models of financial time series. Firstly, Professor Zhou will introduce his own research on climate risk. The aim of this study is to Model and forecast the extreme temperature risk and Hedging. Then, he will introduce some risk measures for quantifying financial risk. This section will be discussed in how to use them to compute risk-related measures such as risk premium, Value-at-Risk and Expected-Shortfall. Finally, this report will briefly introduce the Volatility Laboratory (V-Lab), which is an excellent volatility research website provided by New York University Stern and New York University Shanghai, and focus on what analysis can be done using V-Lab.
【报告人简介】周雨田，中国台湾中研院经济研究所兼任研究员暨西安交通大学金禾经济研究中心讲座教授，美国加州大学圣地亚哥经济学博士，师从2003年诺贝尔奖得主Robert Engle。担任中国台湾中研院宏观经济预测小组组长、纽约大学商学院访问教授、芝加哥大学商学院访问教授、福德姆大学商学院访问教授、乔治亚理工学院专任助理教授等。在中国台湾261位经济学者影响力排名前3%，亚洲7930位中排名前3%，全球66545位中排名前8%，Euclidian引用指标全球前1%，连续多年列入全球经济学者名人录(WHO IS WHO in Economics)。