The 298th Wenlan Financial Forum

Abstract：

The nonlinear modeling of complex spatiotemporal processes has always been a major challenge in the analysis of geospatial big data. To solve this problem, this paper proposes a semi-parametric dynamic functional coefficient autoregressive spatiotemporal model. This model can be used to consider spatiotemporal data with irregular observation locations and spatial non-stationarity but stationary in the temporal direction. This paper adopts two estimation methods to deal with the semi-parametric part of the model. To capture the dynamic spatial proximity time lag effect, this paper first uses a pre-specified spatial weight matrix, and then proposes a method to generate a weight matrix through matrix fusion. We have proved that the estimator has asymptotic normality under some assumptions, and verified the finite sample characteristics of the estimation through Monte Carlo simulations. In the empirical example, this model is also applied to analyze the European retail oil market. The results show that there are nonlinear spatial neighbor effects in the retail oil markets of European countries, further supporting the effectiveness of this model.

Speaker Introduction：

Xiaohang Ren is a specially appointed associate professor at the Business School of Central South University, a highly cited Chinese scholar of Elsevier, and a top 2% scientist in the world. He mainly focuses on research in energy finance, financial risks, and financial measurement. He has published more than 100 papers in authoritative domestic and foreign journals such as Journal of the American Statistical Association, Transportation Research Part A, Energy Economics, Quantitative Finance, Review of Quantitative Finance and Accounting, International Review of Financial Analysis, Technological Forecasting and Social Change, Business Strategy and the Environment, Pacific-Basin Finance Journal, Applied Energy, Resources Policy, Renewable & Sustainable Energy Review, Energy, Journal of Management Sciences in China (English Edition), Systems Engineering - Theory & Practice, and Chinese Journal of Management Science. Among them, more than 30 papers are ESI hot articles or highly cited papers. He serves as the lead editor of Sustainable Communities (Taylor & Francis), associate editor of Humanities & Social Sciences Communications (the only social science and humanities journal affiliated with Nature), and guest editor of SSCI journals such as Climate Change Economics, Economic Change and Restructuring.