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波动率相关交易所交易资产：计量经济学研究AI 解读

We develop a theoretical framework for covariance stationary but persistent positively valued processes which combines a semi-nonparametric expansion of the Gamma distribution with a component version of the multiplicative error model. Our conditional mean assumption allows for slow, possibly nonmonotonic mean-reversion, while our distribution assumption provides more flexibility than a traditional Laguerre expansion while preserving positivity of the density. We apply our…

多元正态位置尺度混合与均值—方差—偏度投资组合配置AI 解读

We show that the distribution of any portfolio whose components jointly follow a location-scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean-variance-skewness frontier in closed form, and show that it can be spanned by three funds. For practical purposes, we derive a standardised distribution, provide analytical expressions for the log-likelihood score and explain how to evaluate…

半非参数分布的参数性质及其在期权估值中的应用AI 解读

We derive the statistical properties of the semi-nonparametric (SNP) densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more flexible than truncated Gram–Charlier expansions with positivity restrictions. We use the SNP densities for financial derivatives valuation. We relate real and risk-neutral measures, obtain closed-form prices for European options, and analyze the semiparametric properties of our pricing model. In an…