“Celebrating the 45th Anniversary of the University of Macau”
Fixed-k Inference for Explosive Drift
Prof. Yi HE
Professor of Statistics, College of Science, School of Mathematic Science Eastern Institute of Technology, Ningbo, China
Date: 17 April 2026 (Friday)
Time: 16:00-17:30
Venue: E22-2015
Host: Prof. Degui LI, Distinguished Professor of Business Economics
Abstract
We propose a new framework for uniform inference on explosive drifts in high-frequency data. Standard large-bandwidth asymptotics often fail in this context because the “spot” test statistics computed over short windows are far from Gaussian. By treating the window size k as fixed, we show that the spot statistics are coupled with a sequence of dependent Student-t variables, and their maximum converges to a Frechet distribution rather than the conventional Gumbel limit. We establish a novel anti-clustering condition for dependent Student-t processes to justify this limit theory under overlapping estimation windows. A local power analysis reveals that explosive drifts induce a multiplicative power transformation of the limiting distribution, contrasting with the additive location shift characteristic of Gaussian theory. Empirically, we show that the proposed coupling-based test offers superior size control and reveals that statistically significant intraday price explosions are far rarer than suggested by Gaussian-based methods. This is a joint work with Jia Li, Yifan Li, and Yuhong Zhu.
Speaker
Prof. Yi HE is a full professor in statistics at Eastern Institute of Technology, Ningbo, specializing in extreme value theory, high dimensional statistics, and financial econometrics. He received a master’s degree from Cambridge and a Ph.D. from Tilburg University, and held tenured positions at the University of Amsterdam and Monash University. His research appears in the Annals of Statistics, Journal of the American Statistical Association, Journal of the Royal Statistical Society Series B, Journal of Business & Economic Statistics, and Journal of Econometrics. He was nominated for the Van Danzig Award and ranked among the top 10 in the Economists Parade 2025 (Netherlands).
All are welcome!
