好色视频 学术报告[2026]083号

（高水平大学建设系列报告1342号）

报告题目：When Asynchronicity Meets Price Staleness: Robust Estimation of High-Frequency Covariance

报告人：朱海斌 助理教授 （暨南大学）

报告时间：2026年9月12日15:30-16:30

报告地点：校友广场305会议室

报告摘要：The existing literature has demonstrated that both asynchronicity and price staleness yield a downward bias in covariance estimation, a phenomenon known as the Epps effect. In this study, we propose a novel estimator of high-frequency covariance resilient to the concurrent presence of asynchronicity and price staleness. We establish the asymptotic properties of the proposed estimator and present a feasible central limit theorem that accounts for time-varying staleness probabilities. The proposed robust covariance estimator also yields consistent estimators for beta and correlation in the presence of these anomalies. Additionally, we adopt a preaveraging method to address microstructure noise. Through theoretical analysis and Monte Carlo simulations, we demonstrate that our estimator significantly outperforms existing alternatives. Empirically, using tick data, we evaluate the performance of ETF tracking across various covariance estimators. The results highlight the superiority and robustness of our proposed estimator.

报告人简介：朱海斌，暨南大学统计与数据科学系助理教授。博士毕业于澳门大学数学系，研究方向为高频金融计量、金融机器学习、随机过程统计推断、生物信息学等，相关研究成果发表在统计、金融期刊Journal of Business & Economic Statistics、Journal of Empirical Finance，及生物信息期刊BMC Bioinformatics、Plos Computational Biology等期刊上。主持国家自然科学基金青年项目。现任中国现场统计研究会大数据统计分会理事、中国现场统计研究会随机矩阵理论与应用分会理事、中国现场统计研究会旅游大数据分会理事及副秘书长。

邀请人：王江洲

好色视频

2026年9月7日