报告题目：Near-Unit-Root Theory for Affine Processes

报告人：陆扬副教授加拿大康考迪亚大学

报告时间：2026年7月2日10:00-11:00

报告地点：伍卓群楼第2报告厅

校内联系人：朱复康 [email protected]

报告摘要:

    Discrete-time affine processes are widely used in finance and economics and encompass count, positive, and nonnegative-valued processes. This paper develops near-unit-root asymptotic theory for this class of models. Unlike linear AR(1) processes, affine processes exhibit time-varying conditional variance that remains asymptotically non-negligible near unity, leading to qualitatively different scaling limits and estimator behavior. We show that the local-to-unity regime suffers from the usual nuisance parameter problem, whereas the mildly explosive regime, while free of it, still does not allow consistent estimation of the intercept. By contrast, the mildly stationary framework is more tractable: the OLS estimator is asymptotically normal, the resulting trajectories are more realistic than those of linear AR(1) models, and inference is possible through both a plug-in method or bootstrap. The theoretical results are supported by simulation evidence and illustrated through applications to insurance and financial data

报告人简介：

    陆扬是加拿大康考迪亚大学数学与统计系的副教授,同时担任Quantact精算与金融数学研究室主任。他本科毕业于巴黎高等师范大学，2015年于巴黎九大获得应用数学博士学位(导师为Christian Gouriéroux),研究领域包括时间序列以及保险精算。他在Management Science, Mathematical Finance, Scandinavian Journal of Statistics等国际期刊发表论文30余篇,主持包括NSERC Discovery Grant在内的多项研究资助,并于2022年获《Journal of Risk and Insurance》卓越审稿特别表彰。