報告題目一：Research and Academic Skills programm Session 2: Essential Econometric test and models: Unit root and stationary test
報告所屬學科：應用經濟學
報告人：Chi Keung Lau（University of Huddersfield）
報告時間：2020年11月9日 19:00
報告地點：騰訊會議：747 795 489
報告摘要：
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.
報告人簡介：
劉志強博士, 哈德斯菲爾德大學（University of Huddersfield） 經濟系副教授， 英國高等教育學院高級委員（ Senior Fellowship of the UK Higher Education Academy）. 發表SSCI/SCI 論文超過80篇 ( 其中SSCI Q1 超過20 篇, 擔任SSCI期刊Eurasian Business Review (Q1) 創刊副主編, Sustainability 和Frontiers in Public Health 特刊 副主編. Asian Economics Letters 副主編. 長期擔任Journal of Banking and Finance, European Management Review, Energy Economics, Economic Letters, Journal of Technological Forecasting and Social Change審稿人.
報告題目二：Essential Econometric test and models: Diebold and Yilmaz( 2012) predictive directional measurement of volatility spillovers
報告時間：2020年11月27日 15:00
報告地點：騰訊會議 ：984 356 709
報告摘要：
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).
