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股票市场价格的长期记忆AI 解读

A test for long-term memory that is robust to short-range dependence is developed. It is a modification of the R/S statistic, and the relevant asymptotic sampling theory is derived via functional central limit theory. Contrary to previous findings, when applied to daily and monthly stock returns indexes over several time periods this test yields no evidence of long-range dependence once short-range dependence is accounted for. Monte Carlo experiments show that the modified…

离散观测下广义 Itô 过程的最大似然估计AI 解读

This paper considers the parametric estimation problem for continuous-time stochastic processes described by first-order nonlinear stochastic differential equations of the generalized Itô type (containing both jump and diffusion components). We derive a particular functional partial differential equation which characterizes the exact likelihood function of a discretely sampled Itô process. In addition, we show by a simple counterexample that the common approach of estimating…