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长程依赖波动率模型的计量估计：理论与实践AI 解读

It is commonly accepted that some financial data may exhibit long-range dependence, while other financial data exhibit intermediate-range dependence or short-range dependence. These behaviours may be fitted to a continuous-time fractional stochastic model. The estimation procedure proposed in this paper is based on a continuous-time version of the Gauss-Whittle objective function to find the parameter estimates that minimize the discrepancy between the spectral density and…

离散化扩散模型的设定检验：理论与实践AI 解读

We propose two new tests for the specification of both the drift and the diffusion functions in a discretized version of a semiparametric continuous-time financial econometric model. Theoretically, we establish some asymptotic consistency results for the proposed tests. Practically, a simple selection procedure for the bandwidth parameter involved in each of the proposed tests is established based on the assessment of the power function of the test under study. To the best…