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使用有效矩方法检验汇率目标区模型AI 解读

The objectives of this article are threefold: (1) to test target zone models using more efficient and direct econometric methodology than previous research, (2) to identify an implicit band, if it exists, from observed data and to test target-zone models based on the estimated implicit band rather than the stated official band, and (3) to examine whether the exchange rate can be modeled as a managed float system with a central parity that lacks a band. We find strong…

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利用日内极差校准波动率扩散并提取远期积分方差AI 解读

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…

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参数空间不稳定区域边界附近的模拟估计目标函数AI 解读

The paper examines the role of stability constraints in estimation by dynamic simulation. In particular, it analyzes the behavior of the objective function on either side of the boundary of the stability region of the parameter space. The main finding is that stability constraints may be ignored because the simulation-based objective function contains a built-in penalty to enforce stability. A key caveat, however, is that the dynamic stability of the auxiliary model that…

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应该匹配哪些矩？AI 解读

We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (GMM) estimation of the parameters of a structural model. The idea is to use the score of a density that has an analytic expression to define the GMM criterion. The auxiliary model that generates the score should closely approximate the distribution' of the observed data but is not required to nest it. If the auxiliary model nests the structural model…

高频外汇市场数据结构模型的非参数估计AI 解读

Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether an equilibrium monetary model can account for nonlinearities in weekly data. The model incorporates time-nonseparable preferences and a transaction cost technology. Simulated sample paths are generated using Marcet's parameterized expectations procedure. The paper also develops a new method…

非线性动态结构AI 解读

Methods for nonlinear impulse response analysis are introduced. The methods are based on conditional moment profiles defined for a stationary time series. Comparing conditional moment profiles to baseline profiles is the nonlinear analog of conventional impulse-response analysis. The bootstrap may be used for statistical inference. Profile bundles may be examined for evidence of damping or persistence. Application to bivariate NYSE price and volume series from 1928 to 1987…

利用资产支付的条件矩推断跨期边际替代率波动AI 解读

Previously Hansen and Jagannathan (1990a) derived and computed mean-standard deviation frontiers for intertemporal marginal rates of substitution (IMRS) implied by asset market data. These frontiers give the lower bounds on the standard deviations as a function of the mean. In this paper we develop a strategy for utilizing conditioning information efficiently, and hence improve on the standard deviation bounds computed by Hansen and Jagannathan. We implement this strategy…

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

利用金融市场数据估计结构参数的广义矩估计量的统计性质AI 解读

The article examines the properties of generalized method of moments GMM estimators of utility function parameters. The research strategy is to apply the GMM procedure to generated data on asset returns from stochastic exchange economies; discrete methods and Markov chain models are used to approximate the solutions to the integral equations for the asset prices. The findings are as follows: (a) There is variance/bias trade-off regarding the number of lags used to form…

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基于金融市场数据估计结构参数的广义矩估计量之统计性质——答复AI 解读

George Tauchen, [Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data]: Reply, Journal of Business & Economic Statistics, Vol. 4, No. 4 (Oct., 1986), pp. 423-425

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