讲座：Explosiveness in Cryptocurrencies using High-Frequency Volatility-活动预告-上海交通大学中银科技金融学院

内容简介：

We develop a test for explosive behavior in cryptocurrencies at a low frequency when prices are sampled at a higher frequency. The test exploits the volatility information in the high-frequency data. The method consists of devolatizing log-asset price increments with realized volatility measures and performing a supremum-type recursive Dickey-Fuller test on the devolatized sample. The proposed test is easy to implement. We study the size and power properties of the test in Monte Carlo simulations. A real-time date-stamping strategy based on the devolatized sample is proposed for the origination and conclusion dates of the explosive regime. Conditions under which the real-time date-stamping strategy is consistent are established. 

演讲人简介：

Professor Jun Yu received a Ph.D. in economics at the University of Western Ontario in 1998. He taught at the Business School of the University of Auckland between 1998 and 2003 and Singapore Management University (SMU) between 2004 and 2023. He is currently UMDF chair Professor of Finance and Economics at the University of Macau and Dean of the Faculty of Business Administration at the University of Macau. Before that, he was Lee Kong Chian Professor of Economics and Finance at SMU, director of Sim Kee Boon Institute for Financial Economics at SMU, and the lead principal investigator of the Centre for Research on the Economics of Ageing at SMU. As the lead PI, he successfully obtained the largest research grant from the Singapore government (more than S$11,000,000) in social sciences and business. He was a Changjiang Scholar (长江学者) between 2017 and 2019.

Welcome to join in!