Date and Time: December 26th, 2017, 2:30 - 4:00 pm
Room: A 101 in the Economics Building (Museum)
Testing predictability of asset returns is a cornerstone issue in modern asset pricing and the related fields. It has been one of the hottest research topics in asset pricing field in the recent two decades. In this talk, I will combine several of my papers on testing predictability of asset returns and review the recent developments in this area. In particular, I will outline some future research topics in this area.
About the speaker
Dr. Zongwu Cai is the Charles Oswald Professor of Econometrics and a Professor of Economics at Department of Economics, The University of Kansas. Furthermore, he is a member of the Scientific Board of our CFDS. His research interests include econometrics, quantitative finance, risk management, data-analytic modeling, nonlinear and nonstationary time series, and their applications, and among others. His primary research focuses on developing and justifying econometric methodology and applications in economics and finance. His work has been published extensively in professional journals, including both leading econometrics and statistics journals: Journal of Econometrics, Econometric Theory, The Journal of American Statistical Association, and more.