Stock picking and market timing are two critical skills in fund performance evaluation. Measuring these skills and examining the association often relies on a factor model. When daily returns are employed, heteroscedasticity and heavy tail have to be taken into account. This talk reviews the literature, defines a new nonparametric market timing measure to deal with heavy tails, develops a test for the zero market timing skill, and studies the association between skills.

6月19日
3pm - 4pm
地點
Room 4504 (Lifts 25/26)
講者/表演者
Prof. Liang PENG
Maurice R. Greenberg School of Risk Science, Georgia State University
主辦單位
Department of Mathematics
聯絡方法
付款詳情
對象
Alumni, Faculty and staff, PG students, UG students
語言
英語
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