Prof. Dr. Mathias Vetter ( Mathematisches Seminar, Christian-Albrecht-Universität zu Kiel) hält einen Gastvortrag zum Thema „Jump Regressions Revisited“ am Do. 11. Mai 2023 um 16:00 Uhr in Raum N.1.43 (Nordtrakt). Zuhörer herzlich willkommen!

Abstract

A relevant question in the econometrics literature is whether a jump in one stochastic process Z triggers a jump in a related process Y. Starting with the work by Li, Todorov and Tauchen (2017), several papers have discussed this issue, typically in the situation where a jump in Z forces Y to have a jump as well, with the size of the jump in Y given as a function of the simultaneous jump in Z. Asymptotics are then derived in a high-frequency setting, often with the functional relation being linear and based on finite activity jumps in Y and Z. In this talk, we will discuss more realistic scenarios, including infinite activity jumps and a more classical regression assumption, namely that the jump sizes in Y are not given exactly by a function of the corresponding jump size in Z, but involving additional i.i.d. errors. We will sketch how asymptotical results can be obtained in two different situations.

Mathias Vetter

Mathias Vetter ist Professor für Wahrscheinlichkeitstheorie und mathematische Statistik an der Christian-Albrechts-Universität zu Kiel. Vor seinem Wechsel nach Kiel war er Professor an der Universität Marburg. Sein Studium der Mathematik (Diplom und Promotion) hat Mathias Vetter an der Ruhr-Universität Bochum absolviert. Mathias Vetters Arbeitsgebiete sind Statistik für stochastische Prozesse, Zeitreihenanalyse, Ökonometrie und nicht-parametrische Statistik und er hat zu diesen Themen unter anderem in den führenden Fachzeitschriften der Statistik und Stochastik publiziert.