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利用惩罚与 MCMC 的约束估计AI 解读

We study inference for parameters defined by either classical extremum estimators or Laplace-type estimators subject to general nonlinear constraints on the parameters. We show that running MCMC on the penalized version of the problem offers a computationally attractive alternative to solving the original constrained optimization problem. Bayesian credible intervals are asymptotically valid confidence intervals in a pointwise sense, providing exact asymptotic coverage for…

Itô半鞅短时变动分布的精确贝叶斯矩推断AI 解读

We modify the Gallant and Tauchen (1996) efficient method of moments (EMM) method to perform exact Bayesian inference, where exact means no reliance on asymptotic approximations. We use this modification to evaluate the empirical plausibility of recent predictions from high frequency financial theory regarding the small-time movements of an Itô semimartingale. The theory indicates that the probability distribution of the small moves should be locally stable around the…

利用矩条件进行状态空间模型的贝叶斯估计AI 解读

We consider Bayesian estimation of state space models when the measurement density is not available but estimating equations for the parameters of the measurement density are available from moment conditions. The most common applications are partial equilibrium models involving moment conditions that depend on dynamic latent variables (e.g., time–varying parameters, stochastic volatility) and dynamic general equilibrium models when moment equations from the first order…

一般科学模型的确定及其资产定价应用AI 解读

We consider a consumption-based asset pricing model that uses habit persistence to overcome the known statistical inadequacies of the classical consumption-based asset pricing model. We find that the habit model fits reasonably well and agrees with results reported in the literature if conditional heteroskedasticity is suppressed but that it does not fit nor do results agree if conditional heteroskedasticity, well known to be present in financial market data, is allowed to…

随机波动率模型期权价格计算的高斯近似方案AI 解读

We consider European options on a price process that follows the log-linear stochastic volatility model. Two stochastic integrals in the option pricing formula are costly to compute. We derive a central limit theorem to approximate them. At parameter settings appropriate to foreign exchange data our formulas improve computation speed by a factor of 1000 over brute force Monte Carlo making MCMC statistical methods practicable. We provide estimates of model parameters from…

连续时间扩散过程极大似然估计的数值技术AI 解读

Stochastic differential equations often provide a convenient way to describe the dynamics of economic and financial data, and a great deal of effort has been expended searching for efficient ways to estimate models based on them. Maximum likelihood is typically the estimator of choice; however, since the transition density is generally unknown, one is forced to approximate it. The simulation-based approach suggested by Pedersen (1995) has great theoretical appeal, but…

A common model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the Black-Scholes variance. Implementing the Hull and White characterization requires both estimates of the price dynamics and the conditional distribution of the forward integrated variance given…

实现渐近正态性的半非参数估计量自适应规则AI 解读

In econometrics, seminonparametric (SNP) estimators originated in the consumer demand literature. The Fourier flexible form is a well-known example. The idea is to replace the consumer's indirect utility function with a truncated series expansion and then use a parametric procedure, such as nonlinear multivariate regression, to set a confidence interval on an elasticity. More recently, SNP estimators have been used in nonlinear time series analysis. A truncated Hermite…

条件约束异质过程的半非参数估计：资产定价应用AI 解读

A. Ronald Gallant, George Tauchen, Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications, Econometrica, Vol. 57, No. 5 (Sep., 1989), pp. 1091-1120