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利率波动率、收益率曲线与宏观经济AI 解读

This paper provides theory and evidence that a low-dimensional term structure model can simultaneously price bonds and related options. It shows that a component of volatility risk largely unrelated to the shape of the yield curve is a determinant of expected excess returns for holding long maturity bonds. It also finds evidence for this return relationship both in the model and directly in the data through regression analysis. The paper also identifies a link between…

为何高斯宏观金融期限结构模型几乎是不受约束的因子VARAI 解读

This paper explores the implications of filtering and no-arbitrage for the maximum likelihood estimates of the entire conditional distribution of the risk factors and bond yields in Gaussian macro-finance term structure model (MTSM) when all yields are priced imperfectly. For typical yield curves and macro-variables studied in this literature, the estimated joint distribution within a canonical MTSM is nearly identical to the estimate from an economic-model-free factor…

集合 VC 类的一个等价性结果AI 解读

Let and Θ be infinite sets and let × Θ. We show that the class of projections of A onto is a Vapnik–Chervonenkis ( VC ) class of sets if and only if the class of projections of A onto Θ is a VC class. We illustrate the result in the context of semiparametric estimation of a transformation model. In this application, the VC property is hard to establish for the projection class of interest but easy to establish for the other projection class.