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用预滤波筛自助法修正半参数长记忆估计偏差AI 解读

This paper investigates bootstrap-based bias correction of semiparametric estimators of the long memory parameter, d , in fractionally integrated processes. The re-sampling method involves the application of the sieve bootstrap to data prefiltered by a preliminary semiparametric estimate of the long memory parameter. Theoretical justification for using the bootstrap technique to bias adjust log periodogram and semiparametric local Whittle estimators of the memory parameter…

分数单整过程筛法 Bootstrap 的高阶改进AI 解读

This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve, whereby the dynamics in the process used to produce the bootstrap draws are captured by an autoregressive approximation. Application of the sieve method to data pre-filtered by a semi-parametric estimate of the long memory parameter is also explored. Higher-order improvements yielded by…

波动率及其风险溢价的概率预测AI 解读

The object of this paper is to produce distributional forecasts of asset price volatility and its associated risk premia using a non-linear state space approach. Option and spot market information on the latent variance process is captured by using dual ‘model-free’ variance measures to define a bivariate observation equation in the state space model. The premium for variance diffusive risk is defined as linear in the latent variance (in the usual fashion) whilst the premium…