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积分波动率及相关过程的有效估计AI 解读

We derive nonparametric efficiency bounds for regular estimators of integrated smooth transformations of instantaneous variances, in particular, integrated power variance. We find that realized variance attains the efficiency bound for integrated variance under both regular and irregular sampling schemes. For estimating higher powers such as integrated quarticity, the block-based procedures of Mykland and Zhang (2009) can get arbitrarily close to the nonparametric bounds,…

AR–GARCH 类模型的残差秩设定检验AI 解读

This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR–GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. We also apply our method to backtesting Value-at-Risk. For these tests we show that, generally, no size correction is needed in the asymptotic test distribution when applied to AR–GARCH…

随机时间下收益波动率度量中的因果效应AI 解读

We provide a structural approach to identify instantaneous causality effects between durations and stock price volatility. So far, in the literature, instantaneous causality effects have either been excluded or cannot be identified separately from Granger type causality effects. By giving explicit moment conditions for observed returns over (random) duration intervals, we are able to identify an instantaneous causality effect. The documented causality effect has significant…

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