各位學界的朋友：
 

大家好！台大計量理論與應用研究中心 (CRETA) 很榮幸於 10 月 26 日 (五) 邀請到：
Professor Heather Anderson from Monash University 
至本中心訪問，並於 CRETA Workshop on Advanced Econometrics 14 進行專題演講，

演講主題為：Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices

This paper proposes a new test for simultaneous intraday jumps (co-jumps) in a panel of high frequencyfinancial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ these estimates to provide a test statistic that can detect co-jumps. Simulations show that a bias corrected version of the test can be used in the presence of microstructure noise. When applied to a panel of high frequency data from the Chinese mainland stock market, our test identifies co-jumps that can be associated with announcements relating to monetary policy and stock market regulations.
 
演講地點為台大管理學院一號館 2F 冠德講堂，歡迎大家踴躍報名參加
欲參加者，請於 10 月 24 日(三) 中午前至 CRETA 網站線上報名
有關更多演講資訊，請至 CRETA 網站: http://www.creta.org.tw/events/view/55 
 
為了讓國內的學者及學生有更多機會與 Professor Anderson 進行交流
特別訂於：10 月 26 日 (五) 早上 10 時到 12 時進行 office hours。
有興趣的老師與學生可於 office hours 自行到教授在 CRETA 的辦公室 (台大管理學院貳號館 416 室)
如有問題，歡迎來信或來電。( E-mail:<ntucreta@ntu.edu.tw >; Tel: 02-3366-1072)

計量理論與應用研究中心 敬啟