Factor Modelling for Volatility

Seminar abstract

Under a high-frequency and high-dimensional setup, the researchers establish a framework to estimate the factor structure in stock volatility.

They show the consistency of conducting principal component analysis on realized volatilities in identifying the factor structure in stock and idiosyncratic volatilities.

Empirically, with strong empirical evidence, it is proposed a single factor model for stock volatility, where volatility is represented by a common volatility factor and a multiplicative lognormal idiosyncratic component.

Further utilising the proposed factor model for volatility forecasting and show that our proposed approach outperforms various benchmark methods. 

Booking

This seminar is free to attend with no need to register in advance.

We warmly encourage you to join with friends, colleagues and classmates

Join this seminar on Wednesday 10 March at 1pm

Speaker bio

Yingying Li is Professor at the Department of Information System, Business Statistics and Operations Management (ISOM) and the Department of Finance at Hong Kong University of Science and Technology (HKUST).

Before joining HKUST, Dr. Li also held positions as lecturer and postdoctoral fellow at the Bendheim Centre for Finance and the Operations Research and Financial Engineering department at Princeton University.

Dr. Li received her Ph. D in Statistics from the University of Chicago.

Dr. Li's research focuses on;

• high-dimensional and/or high-frequency financial data,
• volatility estimation and prediction,
• market microstructure,
• large portfolio optimization,
• individualized financial decision making, etc.

Dr. Li has published on top journals in statistics, finance and economics, such as;

•  Econometrica, 
• Review of Financial Studies, 
• Journal of Financial Economics, 
• Annals of Statistics, 
• Journal of American Statistical Association, 
• Journal of Econometrics.

Dr. Li is an elected fellow of the Society for Financial Econometrics (SoFiE), and NSFC Excellent Young Scientist (EYS Hong Kong and Macau).

She is an associate editor for the Journal of Econometrics, Journal of Business & Economic Statistics and Journal of Financial Econometrics; and serves as a council member for the Society for Financial Econometrics.