Nonparametric Quantile Regression for Double Censored Data with Application to Stock Markets with Price limits
2017/12/26
研討會日期 : 2017-12-26
時間 : 14:30
主講人 : Professor Chi-Yang Chu (朱紀仰)
主持人 : Professor Chu-An Liu
地點 : Conference Room B110
演講者簡介 : Professor Chu received his Ph.D. in Economics from University of Alabama in 2017. He is currently an Assistant Professor at National Taipei University. His research focuses on applied nonparametric econometrics.
演講摘要 : Quantile regression is often used in the analysis of stock return-volume relations. Many countries impose upper and lower limits on stock returns and losses, respectively, in order to reduce price volatility. However, this double censored property appears to be ignored in the literature. Our paper proposes a nonparametric quantile regression model for double censored data. Our proposed estimator performs well in simulations. In our application to Taiwanese stock markets, our proposed approach seems to alleviate some potential biases arising from double censored data. Specifically, we find that our proposed estimator suggests larger estimated losses via conditional value at risk.
