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高斯动态期限结构模型的新线性估计量AI 解读

This article proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models. This new estimator is an asymptotic least-square estimator defined by the no-arbitrage conditions upon which these models are built. Further, we note that our estimator remains easy-to-compute and asymptotically efficient in a variety of situations in which other recently proposed approaches might lose their tractability. We provide an empirical application in…

对冲基金收益非线性结构的评估与价值衡量AI 解读

Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. This paper provides a statistical methodology to unveil such nonlinear features with respect to returns on benchmark risk portfolios. We estimate a portfolio of options that best approximates the returns of a given hedge fund, account for this search in the…