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商品指数期货条件波动率的状态转换建模AI 解读

Abstract Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets. Volatility is a critical input in many of these applications. This paper examines issues in modelling the conditional variance of futures returns based on the Goldman Sachs Commodity Index (GSCI). Given that commodity markets tend to be ‘choppy’ (Webb, 1987 ), a general econometric model is proposed that allows for abrupt changes or regime shifts in…

汇率鞅假设的联合方差比检验AI 解读

There is considerable interest as to whether exchange races behave like martingales. Liu and He (1991) test the martingale hypothesis for exchange rates using the variance ratio methodology of Lo and MacKinlay (1988). They find that exchange rates have violated martingale property since the inception of floating rates in 1973. However, Liu and He did not consider the joint implications of their tests, In this paper, we reassess the martingale hypothesis for exchange rates…

汇率鞅假设的谱检验AI 解读

Abstract A new family of spectral shape tests was proposed recently by Durlauf (1991) for testing the martingale hypothesis. Unlike the widely used variance ratio test, spectral shape tests are consistent against all stationary non‐white‐noise alternatives from the martingale null. In this paper we examine the finite sample properties of the spectral shape tests and find that the tests have good size and power properties even for small samples. We apply the tests to examine…