报告题目: Testing for the presence of leverage effect
报告人: 刘志，澳门大学
报告时间: 2015年12月10日(周四)15:00-16:00
报告地点: 数学楼二楼学术报告厅
报告摘要： In this paper, we propose a test for deciding whether the correlation of a discretely-observed semi-martingale and it quadratic variation (it refers to the leverage effect in the financial econometric) equals zero. The asymptotic setting is based on observations within a long time interval with mesh of the observation grid shrinking to zero. The test is based on forming a sequence of studentized statistics whose distributions are asymptotically normal locally over blocks of shrinking time span, and the collecting the sequence based on the whole data set. The asymptotic behavior of the local studentized statistics is obtained from a similar result in a global setting using the third power variation of the underlying process. We derive the asymptotic distribution of the proposed test statistic under the null hypothesis of zero leverage effect and show that the test has asymptotic power of one against fixed alternatives of processes with non-zero leverage effect. Finally, simulation study verifies the finite sample performance of the test.