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动态得分驱动的独立成分分析AI 解读

A model for dynamic independent component analysis is introduced where the dynamics are driven by the score of the pseudo likelihood with respect to the rotation angle of model innovations. While conditional second moments are invariant with respect to rotations, higher conditional moments are not, which may have important implications for applications. The pseudo maximum likelihood estimator of the model is shown to be consistent and asymptotically normally distributed. A…

结构多变量 GARCH 模型的识别AI 解读

The class of multivariate GARCH models is widely used to quantify and monitor volatility and correlation dynamics of financial time series. While many specifications have been proposed in the literature, these models are typically silent about the system inherent transmission of implied orthogonalized shocks to vector returns. In a framework of non-Gaussian independent structural shocks, this paper proposes a loss statistic, based on higher order co-moments, to discriminate…

异方差下线性自回归动态的检验AI 解读

A puzzling characteristic of asset returns for various frequencies is the often observed positive autocorrelation at lag one. To some extent this can be explained by standard asset pricing models when assuming time-varying risk premia. However, one often finds better results when directly fitting an autoregressive model, for which there is little economic foundation. One may ask whether the underlying process does in fact contain an autoregressive component. It is therefore…