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可观测因子与潜在因子AI 解读

We test for temporal stability in local linear projection coefficients of observable factors on latent ones embedded in a high-dimensional vector obeying a linear factor model. The proposed test explores the fact that, under the null hypothesis, residuals from global linear projections of observable factors on latent ones, computed over a fixed time interval via Principal Component Analysis (PCA), should also be locally uncorrelated with the PCA factors. The test is fully…

设定 LASSO 与灵活的特征型资产定价模型AI 解读

This paper studies a partially linear semiparametric additive model that allows for interactions among variables in high-dimensional settings. We propose the Specification LASSO (S-LASSO), a two-step method that integrates LASSO and Adaptive Group LASSO to simultaneously perform variable selection and model specification. Theoretically, we establish that S-LASSO possesses oracle properties in terms of selection consistency and asymptotic normality. Monte Carlo simulations…

用多元分数布朗运动建模与预测已实现波动率AI 解读

A multivariate fractional Brownian motion (mfBm) with component-wise Hurst exponents is used to model and forecast realized volatility (RV). We investigate the interplay between correlation coefficients and Hurst exponents and propose a novel method to estimate model parameters, establishing its consistency and asymptotic normality. Additionally, we develop a time-reversibility test, which is typically not rejected by RV data. When the data generating process is a…

用于企业生存预测的高维删失 MIDAS 逻辑回归AI 解读

This paper addresses the challenge of forecasting corporate distress, a problem marked by three key statistical hurdles: (i) right censoring, (ii) high-dimensional predictors, and (iii) mixed-frequency data. To overcome these complexities, we introduce a novel high-dimensional censored MIDAS (Mixed Data Sampling) logistic regression. Our approach handles censoring through inverse probability weighting and achieves accurate estimation with numerous mixed-frequency predictors…

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检验两个短面板中的共同潜在因子AI 解读

This paper develops inference tools for the number of common latent factors across two large cross-sectional panels observed over a short time span (large n, small T). Our approach builds on a general test for determining the dimension of the intersection of two matrix column spaces, where each matrix is estimated with noise. The proposed test statistics are based on canonical correlations, and their asymptotic distributions are derived via perturbation methods. An empirical…

共同基金 alpha 的异质可预测性：稀疏聚类 GMM 方法AI 解读

Mutual fund managers' skills, measured by risk-adjusted alphas, are predictable using fund characteristics identified by machine learning (e.g., Kaniel et al., 2023, JFE; DeMiguel et al., 2023, JFE). However, alpha's predictive power varies across funds and periods, with most funds exhibiting negligible alphas. To model this heterogeneous predictability, this paper introduces Sparse Clustering GMM, a nonparametric approach for uncovering latent fund groups. SCGMM clusters…

两步分位数回归中 CoVaR 推断的渐近理论AI 解读

Measuring systemic risk has been an important topic in recent research on risk management. Adrian and Brunnermeier (2016) pioneered the CoVaR measure for systemic risk, which is defined as the conditional quantile of system loss given some state predictors and one stress event of an individual loss at a certain risk level. They proposed to estimate CoVaR by a two-quantile-regression approach, which is simple and easy to implement in practice, but without stating or…

由因果 GARCH 波动驱动的非因果自回归过程AI 解读

This paper studies the introduction of causal conditional heteroskedasticity in noncausal autoregressive (AR) models. We demonstrate that, in this framework, large shocks to the innovation process driving the GARCH error term of a noncausal AR model result in heightened volatility immediately before and after a bubble crash. The non-coincidence of the σ-fields generated by past observations and past values of the GARCH process makes statistical inference nonstandard. In…

状态空间模型的粒子 MCMC 与相关粒子混合采样器AI 解读

Particle Markov Chain Monte Carlo (PMCMC) is a powerful approach to Bayesian computation for general state space models. Our article enables PMCMC to handle a larger number of observations and parameters compared to previous approaches by generating the parameters that are highly correlated with the states in a pseudo-marginal step(s) with the states ‘integrated out’; the rest of the parameters are generated conditional on the states. We make the pseudo-marginal step much…

Lévy过程的快速无似然参数估计AI 解读

ABSTRACT Lévy processes are widely used in financial modeling due to their ability to capture discontinuities and heavy tails, which are common in high‐frequency asset return data. However, parameter estimation remains a challenge when associated likelihoods are unavailable or costly to compute. We propose a fast and accurate method for Lévy parameter estimation using the neural Bayes estimation (NBE) framework—a simulation‐based, likelihood‐free approach that leverages…

利用高阶多元累积量估计弱因子AI 解读

When factors are weak, covariance-based factor analysis methods tend to exhibit poor performance. To address this issue in the case of non-Gaussian data, we propose a new method called Higher-order multi-cumulant Factor Analysis (HFA). HFA estimates factors and factor loadings via the eigenvalue decomposition of the product of a higher-order multi-cumulant matrix and its transpose. We derive the asymptotic properties of HFA under a weak factor model where non-Gaussianity…

高维环境中的涵盖检验与递进检验AI 解读

This paper introduces the Subseries-based Cauchy Combination Test (SCT), a novel procedure for testing encompassing relationships or model validity using identification conditions formulated as multiple moment restrictions. SCT applies to weakly or short-range-dependent data and eliminates the need to estimate high-dimensional covariance matrices. Unlike Wald- or J-type tests, it remains reliable in both low- and high-dimensional settings. The test is asymptotically unbiased…

不预设平稳性的 GARCH(1,1) 过程变化检测AI 解读

This article develops a new test to detect changes in generalized autoregressive conditionally heteroscedastic (GARCH(1,1)) processes without imposing a stationary assumption. Specifically, the procedure tests the null hypothesis of a GARCH process with constant parameters, either in (strictly) stationary or explosive regimes, against the alternative hypothesis of parameter changes. We derive the limiting distribution of the test statistics and establish their asymptotic…

动态因子相关性AI 解读

ABSTRACT We introduce a dynamic factor correlation model whose core methodological innovation is a variation‐free parametrization of dynamic factor loadings, inspired by the generalized Fisher transformation. The model accommodates time‐varying correlations, heterogeneous heavy tails, and dependent idiosyncratic shocks. Applied to a Small Universe of 12 assets and a Large Universe of 323 stocks, the factor structure induces a sparse idiosyncratic correlation matrix with…

高频信息组合优化中重审 EWMA：比较评估AI 解读

ABSTRACT This paper compares the statistical and economic performance of state‐of‐the‐art high‐frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S. stock returns (2002–2023), we assess model performance through a Global Minimum Variance portfolio optimization exercise, with and without short‐selling restrictions across multiple forecast…

自回归逆Wishart多元随机波动模型及其因子扩展AI 解读

ABSTRACT Despite its conceptual appeal, the autoregressive inverse‐Wishart (AIW) multivariate stochastic volatility model has been hindered by inefficient sampling methods. The existing samplers for the latent covariance matrix severely suffer from the curse of dimensionality and only work when the dimension is very low. In this paper, we introduce a new proposal for the latent covariance matrix in the AIW model, which demonstrates far better scalability. We introduce…

宏观审慎政策的尾部传导：叙事识别证据AI 解读

ABSTRACT We estimate the causal effects of macroprudential policies on the entire distribution of GDP growth for advanced European economies using a narrative‐identification strategy in a quantile‐regression framework. While macroprudential policy has near‐zero effects on the center of the GDP‐growth distribution, tighter policy brings benefits by reducing the variance of future growth, significantly boosting the left tail while simultaneously reducing the right. Assessing a…

广义自回归得分树与森林AI 解读

We propose methods to improve the forecasts from generalized autoregressive score (GAS) models (Creal, et al., 2013; Harvey, 2013) by localizing their parameters using decision trees and random forests. These methods avoid the curse of dimensionality faced by kernel-based approaches, and allow one to draw on information from multiple state variables simultaneously. We apply the new models to four distinct empirical analyses, and in all applications the proposed new methods…

动态矩阵因子模型：协变量驱动的时变载荷AI 解读

This paper proposes a covariate-driven matrix factor model in which the row and column loading matrices evolve as nonparametric functions of an observable time-varying covariate sequence. This flexible specification accommodates dynamic factor loadings driven by the temporal characteristics of the covariate. We develop a nonparametric estimation procedure that combines kernel smoothing with principal component analysis (PCA). Under high-dimensional asymptotics, we establish…

非线性模型时变参数的局部多项式估计AI 解读

We develop a novel asymptotic theory for local polynomial extremum estimators of time-varying parameters in a broad class of nonlinear time-series models, including discrete-valued ones. We show that the proposed estimators are asymptotically normally distributed under weak conditions. We also provide a precise characterization of the leading bias term due to smoothing. We demonstrate the usefulness of our general results by establishing primitive conditions for local…

分位数中的区制特定股票收益可预测性AI 解读

This article captures the underlying regime switching mechanism in the prediction of stock returns via a predictive quantile regression with multiple thresholds. The predictability of each predictor is allowed to switch from one regime to another according to the value of a threshold variable and could vary across quantiles, and the predictors could possess heterogeneous degrees of persistence. Statistical learning techniques, including a sequential estimation procedure, an…

含影响节点与社群的高维分位数向量自回归AI 解读

Quantile vector autoregression (QVAR) models offer enhanced capabilities over vector autoregression (VAR) models in analyzing asymmetric interactions within multiple time series and are widely used in many areas, including finance and economics. However, in scenarios involving high-dimensional data where the number of time series N exceeds the length of the time series T, both parameter estimation and the theoretical establishment present significant challenges. Notably,…

基于个体特征的分位数因子模型估计AI 解读

This paper studies the estimation of characteristics-based quantile factor models where the factor loadings are unknown functions of observed individual characteristics, and the idiosyncratic error terms are subject to conditional quantile restrictions. We propose a three-stage estimation procedure that is easy to implement and has nice properties. The convergence rates, the limiting distributions of the estimated factors and loading functions, plus a consistent selection…

非对称风险下的宏观审慎政策：贝叶斯结构分位数 VAR 方法AI 解读

Macro-prudential policymakers face a risk-management problem: they must assess medium-term downside risks to the real economy stemming from financial imbalances and the associated threat of future financial crises, while accounting for the cost of policy interventions in terms of foregone upside potential. This trade-off between limiting downside risks and preserving upside growth is inherently asymmetric and depends on the distribution of future macroeconomic outcomes. We…