Title: Essential Econometric test and models: Diebold and Yilmaz (2012) predictive directional measurement of volatility spillovers

Abstract: 

This seminar session introduces the spillover approach newly developed by Diebold and Yilmaz (2009, 2012, 2014, and 2015) in constructing static and dynamic interconnectedness among variables in major financial markets. In particular, this approach is mainly based on forecast error variance decomposition associated with the VAR model. This method has been applied to several empirical finance topics (e.g. Ji et. al; 2019; Apergis, Baruník, & Lau; 2017).

Lecturer: Chi Keung Lau

Date/Time: 15:00 – 16:30PM, 27 Nov, 2020

Online Platform: Tencent Conference Meeting ID: 984 356 709

Brief introduction of the lecturer: 

Dr. Zhiqiang Liu, associate professor of Department of Economics, University of Huddersfield, Senior Fellowship of the UK Higher Education Academy. He has published more than 80 SSCI/SCI papers (including more than 20 SSCI Q1 papers, Served as the founding associate editor in chief of the SSCI journal Eurasian Business Review (Q1), the Sustainability and Frontiers in Public Health special issue. Associate editor of Asian Economics Letters. He has served as Journal of Banking and Finance, European Management Review, Energy Economics, Economic Letters, Journal of Technological for a long time Reviewer of Forecasting and Social Change.