报告题目一：Research and Academic Skills programm Session 2: Essential Econometric test and models: Unit root and stationary test
报告所属学科：应用经济学
报告人：Chi Keung Lau（University of Huddersfield）
报告时间：2020年11月9日 19:00
报告地点：腾讯会议：747 795 489
报告摘要：
The econometrics method we use is “unit root test”. This applied econometrics test plays an important role in mainstream economics research as it was developed by Dickey and Fuller (1979) , numerous surveys and studies introduced this method since then (see, Perman,1991; Campbell and Perron , 1991; and Dolado et al., 2006). Several important topics in economics and finance adopts unit root test, including purchasing power parity, unconditional income convergence hypothesis, and financial market bubbles , corporate profit persistence, financial leverage mean reversion, and price convergence. Unit root test is used to test for the stationarity of a time series. In this session we will examine the development of this methodology.
报告人简介：
劉志強博士, 哈德斯菲爾德大學（University of Huddersfield） 經濟系副教授， 英国高等教育学院高级委员（ Senior Fellowship of the UK Higher Education Academy）. 发表SSCI/SCI 論文超过80篇 ( 其中SSCI Q1 超过20 篇, 擔任SSCI期刊Eurasian Business Review (Q1) 创刊副主编, Sustainability 和Frontiers in Public Health 特刊 副主编. Asian Economics Letters 副主编. 长期担任Journal of Banking and Finance, European Management Review, Energy Economics, Economic Letters, Journal of Technological Forecasting and Social Change审稿人.
报告题目二：Essential Econometric test and models: Diebold and Yilmaz( 2012) predictive directional measurement of volatility spillovers
报告时间：2020年11月27日 15:00
报告地点：腾讯会议 ：984 356 709
报告摘要：
This seminar session introduces the spillover approach newly developed by Diebold and Yilmaz (2009, 2012, 2014, and 2015) in constructing static and dynamic interconnectedness among variables in major financial markets. In particular, this approach is mainly based on forecast error variance decomposition associated with the VAR model. This method has been applied to several empirical finance topics (e.g. Ji et. al ; 2019; Apergis, Baruník, & Lau; 2017).
