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韩国高丽大学经济系教授，系主任Changjin Kim应WISE（厦门大学王亚南经济研究院）和厦门大学经济学院金融系的邀请，即将于6月12-16日访问我校。Kim将在我校举办讲座（Lectures on Markov-Chain Regime Switching Models with Applications to Macroeconomics and Finance），并进行面对面的交流。
讲座的具体时间和地点请注意WISE和金融系网站的通知。
下面是与讲座有关的信息：
Financial markets and macroeconomies are often characterized with multiple states or regimes, with different dynamics in different states or regimes. For example, a stock market is often described by a dear and a bear market, and an economy has the stages of expansion and contraction. The class of Markov regime-siwitching models is a popular time series econometric model to characterize different states or regime of a system. Autoreggressive models with the regime-switch controlled by a Markov chain mechanis were suggested in Tong and Lim (1980) and popularized in econometrics by Hamilton (1989). It can explain asymmetric dynamics in mean, volatility clustering in variance, time-varying skewness, time-varying kurtosis, and heavy tails. This is one of the most successful nonlinear time series models in the empirical studies of economic and financial time series data.
As a leading expert in Markov regime-switching models, Professor Kim will give two or three lectures on this class of popular time series models with applications to finance and macroeconomics.
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