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股票指数间的跳跃传染：来自期权市场的证据AI 解读

We analyze the contagious propagation of jumps among international stock market indices, using a rich panel of high-frequency stock and options data ( 692,892 option contracts) over the period 2006–2015. We propose a bivariate option pricing model designed to allow for time and space amplification of jumps in option markets. We develop a semi-parametric estimation procedure, which employs a continuum of moment conditions in GMM with implied states and non-parametric…

Hawkes 跳跃扩散过程的鞍点近似及风险管理应用AI 解读

We propose a statistical model based on Hawkes processes in which large financial losses can arise in close succession serially as well as cross-sectionally. We derive in closed form saddlepoint approximations to the tails of profit and loss distributions, both marginal and joint, and use them to construct explicit risk measure formulae that account for the fact that a given financial institution’s losses make it more likely that that institution will experience further…

严格适当评分规则的局部化AI 解读

When comparing predictive distributions, forecasters are typically not equally interested in all regions of the outcome space. To address the demand for focused forecast evaluation, we propose a procedure to transform strictly proper scoring rules into their localized counterparts while preserving the score divergence and strict propriety. This is accomplished by applying the original scoring rule to a censored distribution. Our procedure nests the censored likelihood score…

尾部 Copula 的双样本检验及股票指数应用AI 解读

A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data.More precisely, using a martingale transformation of a natural twosample tail copula process, a test process is constructed, which is shown to converge in distribution to a standard Wiener process.Hence, from this test process a myriad of asymptotically distribution-free twosample tests can be obtained.The good finite-sample behavior…

连续与不连续杠杆效应的估计AI 解读

This paper examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Itô semimartingales. We decompose the leverage effect into continuous and discontinuous parts and develop statistical methods to estimate them. We establish the asymptotic properties of these estimators. We also extend our methods and results (for the continuous…

Let $(X_{1},Y_{1}),\ldots,(X_{n},Y_{n})$ be an i.i.d. sample from a bivariate distribution function that lies in the max-domain of attraction of an extreme value distribution. The asymptotic joint distribution of the standardized component-wise maxima $\bigvee_{i=1}^{n}X_{i}$ and $\bigvee_{i=1}^{n}Y_{i}$ is then characterized by the marginal extreme value indices and the tail copula $R$. We propose a procedure for constructing asymptotically distribution-free goodness-of-fit…