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多元已实现核：噪声与非同步交易下协变动的一致半正定估计AI 解读

We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement error of certain types and can also handle non-synchronous trading. It is the first estimator which has these three properties which are all essential for empirical work in this area. We derive the large sample asymptotics of this estimator and assess its accuracy using a…

已实现核估计量的子采样AI 解读

In a recent paper we have introduced the class of realised kernel estimators of the increments of quadratic variation in the presence of noise. We showed that this estimator is consistent and derived its limit distribution under various assumptions on the kernel weights. In this paper we extend our analysis, looking at the class of subsampled realised kernels and we derive the limit theory for this class of estimators. We find that subsampling is highly advantageous for…

金融计量中双幂变差的极限定理AI 解读

In this paper we provide an asymptotic analysis of generalized bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation, and bipower variations that have been highlighted in recent years in financial econometrics. The analysis is carried out under some rather general Brownian semimartingale assumptions, which allow for standard leverage effects.Ole E. Barndorff-Nielsen's work is…

跳跃对收益与已实现方差的影响：时间变换 Lévy 过程的计量分析AI 解读

In order to assess the effect of jumps on realised variance calculations, we study some of the econometric properties of time-changed Lévy processes. We show that in general realised variance is an inconsistent estimator of the time-change, however we can derive the second order properties of realised variances and use these to estimate the parameters of such models. Our analytic results give a first indication of the degrees of inconsistency of realised variance as an…

This paper analyses multivariate high frequency financial data using realized covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis, and covariance. It will be based on a fixed interval of time (e.g., a day or week), allowing the number of high frequency returns during this period to go to infinity. Our analysis allows us to study how high frequency correlations, regressions, and covariances change through…

量子统计推断AI 解读

Summary Interest in problems of statistical inference connected to measurements of quantum systems has recently increased substantially, in step with dramatic new developments in experimental techniques for studying small quantum systems. Furthermore, developments in the theory of quantum measurements have brought the basic mathematical framework for the probability calculations much closer to that of classical probability theory. The present paper reviews this field and…

已实现波动率的计量分析及其在随机波动率模型估计中的应用AI 解读

Summary The availability of intraday data on the prices of speculative assets means that we can use quadratic variation-like measures of activity in financial markets, called realized volatility, to study the stochastic properties of returns. Here, under the assumption of a rather general stochastic volatility model, we derive the moments and the asymptotic distribution of the realized volatility error—the difference between realized volatility and the discretized integrated…

非高斯 Ornstein–Uhlenbeck 模型及其金融经济学应用AI 解读

Summary Non-Gaussian processes of Ornstein–Uhlenbeck (OU) type offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modelling of dependence structures. This paper develops this potential, drawing on and extending powerful results from probability theory for applications in statistical analysis. Their power is illustrated by a sustained application of OU processes within the context of finance and econometrics. We construct…

修正剖面似然与 Cox–Reid 调整剖面似然关系的一则札记AI 解读

An adjustment to the profile likelihood proposed by Cox & Reid (1987) when the parameters are orthogonal is shown to agree with modified profile likelihood in a number of instances in which the parameters are not orthogonal. Several examples of the phenomenon are given. In the case of composite transformation models with invariant parameter as the parameter of interest, it is shown that the Cox-Reid adjustment agrees with modified profile likelihood in a large-deviation…

修正剖面似然与 Cox–Reid 调整剖面似然的关系AI 解读

An adjustment to the profile likelihood proposed by Cox & Reid (1987) when the parameters are orthogonal is shown to agree with modified profile likelihood in a number of instances in which the parameters are not orthogonal. Several examples of the phenomenon are given. In the case of composite transformation models with invariant parameter as the parameter of interest, it is shown that the Cox-Reid adjustment agrees with modified profile likelihood in a large-deviation…