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未知单整阶数的分数系统非参数协整分析AI 解读

In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in fractionally integrated systems. The test statistic is easily calculated without prior knowledge of the integration order of the data, the strength of the cointegrating relations, or the cointegration vector(s). The latter property makes it easier to implement than regression-based approaches, especially when examining relationships between several variables…

连续时间模型、已实现波动率与日股票收益的可检验分布含义AI 解读

Abstract We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous‐time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures and non‐parametric jump detection statistics constructed from high‐frequency intra‐day data. A sequence of simple‐to‐implement moment‐based tests involving various…

基于免调节参数统计量的高功效自回归单位根检验AI 解读

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d , and containing the Breitung (2002, Journal of Econometrics 108, 342–363) test as the special case d = 1. It is shown that (a) each member of the family with d > 0 is consistent, (b) the asymptotic distribution depends on d and thus reflects the parameter chosen to implement the test, and (c) because the asymptotic distribution depends on d and the test remains consistent for…

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平稳分数协整的局部 Whittle 分析及隐含与已实现波动率的关系AI 解读

I consider local Whittle analysis of a stationary fractionally cointegrated model. The local Whittle quasi maximum likelihood estimator is proposed to jointly estimate the integration orders of the regressors, the integration order of the errors, and the cointegration vector. The proposed estimator is semiparametric in the sense that it employs local assumptions on the joint spectral density matrix of the regressors and the errors near the zero frequency. I show that the…

电价的状态转换长记忆模型AI 解读

In this paper we develop a regime switching model which can generate long memory (fractional integration) in each of the regime states. This property is relevant in a number of cases. For instance, the deregulated market for electricity power in the Nordic countries is characterized by electricity spot prices with a high degree of long memory. It occurs that in some time periods bilateral prices are identical whereas in other periods the prices differ. The latter occurs when…

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分数协整的最优残差检验与汇率动态AI 解读

A Lagrange multiplier test of the null hypothesis of cointegration in fractionally cointegrated models is proposed. The test statistic uses fully modified residuals to cancel the endogeneity and serial correlation biases, and standard asymptotic properties apply under the null and under local alternatives. With iid Gaussian errors, the asymptotic Gaussian power envelope of all (unbiased) tests is achieved by the one-sided (two-sided) test. The finite-sample properties are…

A computationally simple maximum likelihood procedure for multivariate fractionally integrated time series models is introduced. This allows, e.g., efficient estimation of the memory parameters of fractional models or efficient testing of the hypothesis that two or more series are integrated of the same possibly fractional order. In particular, we show the existence of a local time domain maximum likelihood estimator and its asymptotic normality, and under Gaussianity…

非平稳单变量模型中的有效似然推断AI 解读

Recent literature shows that embedding fractionally integrated time series models with spectral poles at the long-run and/or seasonal frequencies in autoregressive frameworks leads to estimators and test statistics with nonstandard limiting distributions. However, we demonstrate that when embedding such models in a general I(d) framework the resulting estimators and tests regain desirable properties from standard statistical analysis. We show the existence of a local time…