Lecture Topic: Several Issues in Financial Measurement-Ji University Sub-Global Competency Improvement Program (online project)
Reporter: Professor Peng Liang, Georgia State University, USA
Report location: Tencent Conference ID: 959 1615 0849, Conference password: 202102
Click the link to join https://meeting.tencent.com/s/YjA5lVv5F3Vt
School contact: Zhu Fukang fzhu@jlu.edu.cn
Lecture summary:
1. Introduce extreme value theory; 2. Introduce ARMA-GARCH model; 3. Introduce extreme value theory and four applications of ARMA-GARCH model in financial measurement.
Brief introduction of the speaker:
Professor Liang Peng, Dr. Erasmus University Rotterdam, currently teaches in the Department of Risk Management and Insurance, Robinson School of Business, Georgia State University, USA. From 2001 to 2014, he worked at the School of Mathematics of the Georgia Institute of Technology. The main researches include statistics, econometrics, financial measurement and actuarial calculations. More than 150 papers have been published, which are the International Association for Mathematical Statistics Fellow and the American Statistical Association Fellow. Served or served as the associate editor of important journals such as JASA, Annals of Statistics, Scandinavian Journal of Statistics, Statistics Sinica, ASTIN Bulletin, Extremes, etc.
