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同质结构下的面板分位数 GARCH 模型AI 解读

Empirical evidence indicates that the estimates of GARCH parameters cluster in a panel of financial assets, potentially due to assets with similar exposure to common market risks. To capture the subgroup effect on conditional quantiles of financial asset returns and improve estimation efficiency by pooling information across individuals within the same group, this article introduces the panel quantile GARCH model with homogeneous structures in the coefficient functions. A…

具有同质结构的高维动态协方差矩阵AI 解读

High-dimensional covariance matrices appear in many disciplines. Much literature has devoted to the research in high-dimensional constant covariance matrices. However, constant covariance matrices are not sufficient in applications, for example, in portfolio allocation, dynamic covariance matrices would be more appropriate. As argued in this article, there are two difficulties in the introduction of dynamic structures into covariance matrices: (1) simply assuming each entry…

基于变换因子的资产收益因子模型AI 解读

The Fama–French three factor models are commonly used in the description of asset returns in finance. Statistically speaking, the Fama–French three factor models imply that the return of an asset can be accounted for directly by the Fama–French three factors, i.e. market, size and value factor, through a linear function. A natural question is: would some kind of transformed Fama–French three factors work better? If so, what kind of transformation should be imposed on each…

高维协方差矩阵的动态结构及其在投资组合配置中的应用AI 解读

Shaojun Guoa, John Leigh Boxb & Wenyang Zhangb*a Institute of Statistics and Big Data, Renmin University of China, Beijing, Chinab Department of Mathematics, University of York, York, United KingdomCONTACT Wenyang Zhang wenyang.zhang@york.ac.uk Department of Mathematics, The University of York, York YO10 5DD, United KingdomSupplementary materials for this article are available online. Please go to www.tandfonline.com/r/JASA.ABSTRACTEstimation of high-dimensional covariance…