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高崩溃点条件离散度估计：应用于标普500日收益波动率AI 解读

The authors show that quasimaximum likelihood (QML) estimators for conditional dispersion models can be severely affected by a small number of outliers such as market crashes and rallies, and they propose new estimation strategies (the two-stage Hampel estimators and two-stage S-estimators) resistant to the effects of outliers and study the properties of these estimators. They apply their methods to estimate models of the conditional volatility of the daily returns of the…

日内期货与指数收益的门槛误差修正模型AI 解读

Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated interest rate and dividend risks. We estimate the band around the theoretical futures price within which arbitrage is not profitable for most arbitragers, using a threshold autoregression model. Combining these thresholds with an error-correction model, we show that the impact of the mispricing error is…

ABSTRACT Implicit in the prices of traded financial assets are Arrow–Debreu prices or, with continuous states, the state‐price density (SPD). We construct a nonparametric estimator for the SPD implicit in option prices and we derive its asymptotic sampling theory. This estimator provides an arbitrage‐free method of pricing new, complex, or illiquid securities while capturing those features of the data that are most relevant from an asset‐pricing perspective, for example,…

市场失灵剖析：纽约证券交易所停牌事件（1974—1988）AI 解读

A cross-sectional analysis of all trading suspensions that occurred during the period 1974-88 in the New York Stock Exchange reveals that, though the desire to maintain price continuity remains an important motivation to suspend trade, inventory-imbalance fears are pronounced for large firms. Adverse-selection concerns afflict all news-related suspensions irrespective of firm size. Furthermore, the authors find substitutability among the various dimensions of liquidity:…

同时包含跳跃与条件异方差的模型：估计与检验AI 解读

In this article we develop a test for the hypothesis that a series (observed in discrete time) is generated by a diffusion process. This test is based on an overidentifying relation between variance and kurtosis parameters that holds for generalized autoregressive conditional heteroscedastic diffusions. The proposed test is not specific to a particular data frequency and clearly indicates the presence of jumps in dollar exchange rates. To assess the size and intensity of the…

具有马尔可夫状态切换的随机波动模型AI 解读

This article presents a new way of modeling time-varying volatility. We generalize the usual stochastic volatility models to encompass regime-switching properties. The unobserved state variables are governed by a first-order Markov process. Bayesian estimators are constructed by Gibbs sampling. High-, medium- and low-volatility states are identified for the Standard and Poor's 500 weekly return data. Persistence in volatility is explained by the persistence in the low- and…

股票收益中的非线性与非平稳性AI 解读

This article addresses the question of whether recent findings of nonlinearities in high-frequency financial time series have been contaminated by possible shifts in the distribution of the data. It applies a recursive version of the Brock-Dechert-Scheinkman statistic to daily data on two stock-market indexes between January 1980 and December 1990. It is shown that October 1987 is highly influential in the characterization of the stock-market dynamics and appears to…

市场失灵剖析：纽约证券交易所停牌（1974—1988）AI 解读

A cross-sectional analysis of all trading suspensions that occurred during the period 1974–1988 in the New York Stock Exchange reveals that, though the desire to maintain price continuity remains an important motivation to suspend trade, inventory-imbalance fears are pronounced for large firms. Adverse-selection concerns afflict all news-related suspensions irrespective of firm size. Furthermore, we find substitutability among the various dimensions of liquidity: Although…

随机波动率中的长记忆检测与估计AI 解读

We propose a new time series representation of persistence in conditional variance called a long memory stochastic volatility (LMSV) model. The LMSV model is constructed by incorporating an ARFIMA process in a standard stochastic volatility scheme. Strongly consistent estimators of the parameters of the model are obtained by maximizing the spectral approximation to the Gaussian likelihood. The finite sample properties of the spectral likelihood estimator are analyzed by…

理性预期、通货膨胀与名义利率AI 解读

There is a substantial empirical literature, beginning with Fama (1975), that utilizes regressions of the inflation rate in a given period on initial interest rates (or inflation differentials on the slope of the initial yield curve) to test the Fisher hypothesis and/or to provide forecasts of inflation. Both uses depend critically on the maintained hypothesis that asset market prices fully incorporate all relevant current information about future yields. This paper will…

多元 ARCH 模型估计量的强一致性AI 解读

This paper deals with the asymptotic properties of quasi-maximum likelihood estimators for multivariate heteroskedastic models. For a general model, we give conditions under which strong consistency can be obtained; unlike in the current literature, the assumptions on the existence of moments of the error term are weak, and no study of the various derivatives of the likelihood is required. Then, for a particular model, the multivariate GARCH model with constant correlation,…

动态二元混合模型：价格与交易量行为的建模AI 解读

Bivariate mixture models have been used to explain the stochastic behavior of daily price changes and trading volume on financial markets. In this class of models, price changes and volume follow a mixture of bivariate distributions with the unobservable number of price-relevant information serving as the mixing variable. The time series behavior of this mixing variable determines the dynamics of the price-volume system. In this article, bivariate mixture specifications with…

动态二元混合模型：价格与交易量行为建模AI 解读

Bivariate mixture models have been used to explain the stochastic behavior of daily price changes and trading volume on financial markets. In this class of models, price changes and volume follow a mixture of bivariate distributions with the unobservable number of price-relevant information serving as the mixing variable. The time series behavior of this mixture variable determines the dynamics of the price-volume system. In this article, bivariate mixture specifications…

日元兑美元汇率的条件异方差AI 解读

This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the appreciation and depreciation shocks of the yen against the dollar have similar effects on future volatilities. Although the results reject both the stable and the integrated models, our…

离散时间的欧洲货币体系目标区模型AI 解读

The discrete time analogue of the continuous time Krugman target zone model is developed in order to capture the typical volatility clusters and fat-tailed distributed innovations of exchange rates. It is shown that under these more general stochastic conditions the S-shaped relation between exchange rate and fundamentals is preserved, but is less pronounced. The model is tested for its S-shape and stochastic properties. Two clearly distinct sets of EMS currencies are…

Black–Scholes 期权价格、其他衍生品及对冲比率无偏估计量的存在性AI 解读

In this paper, we reexamine the question of statistical bias in the classic Black/Scholes option price where randomness is due to the use of the historical variance. We show that the only unbiased estimated option is an at the money option.

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离散时间对冲的局部参数分析AI 解读

When continuous-time portfolio weights are applied to a discrete-time hedging problem, errors are likely to occur. This paper evaluates the overall importance of the discretization-induced tracking error. It does so by comparing the performance of Black-Scholes hedge ratios against those obtained from a novel estimation procedure, namely local parametric estimation. In the latter, the weights of the duplicating portfolio are estimated by fitting parametric models (in this…

理解即期与远期汇率回归AI 解读

Using the Kalman filter, we obtain maximum likelihood estimates of a permanent-transitory components model for log spot and forward dollar prices of the pound, the franc, and the yen. This simple parametric model is useful in understanding why the forward rate may be an unbiased predictor of the future spot rate even though an increase in the forward premium predicts a dollar appreciation. Our estimates of the expected excess return on short-term dollar-denominated assets…

理解即期与远期汇率回归AI 解读

Using the Kalman filter, we obtain maximum likelihood estimates of a permanent-transitory components model for log spot and forward dollar prices of the pound, the franc, and the yen. This simple parametric model is useful in understanding why the forward rate may be an unbiased predictor of the future spot rate even though an increase in the forward premium predicts a dollar appreciation. Our estimates of the expected excess return on short-term dollar-denominated assets…

扩散过程的非参数估计及其在短期利率模型中的应用AI 解读

In this paper, we propose a nonparametric identification and estimation procedure for an ltd diffusion process based on discrete sampling observations. The nonparametric kernel estimator for the diffusion function developed in this paper deals with general ltd diffusion processes and avoids any functional form specification for either the drift function or the diffusion function. It is shown that under certain regularity conditions the nonparametric diffusion function…

带条件异方差的分数积分 ARMA 时间序列模型AI 解读

This article considers fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity, which combines the popular generalized autoregressive conditional heteroscedastic (GARCH) and the fractional (ARMA) models. The fractional differencing parameter d can be greater than 1/2, thus incorporating the important unit root case. Some sufficient conditions for stationarity, ergodicity, and existence of higher-order moments are derived.…

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