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短暂市场风潮与 1987 年股市崩盘AI 解读

Using a fad model with Markov-switching heteroscedasticity in both the fundamental and fad components (UC-MS model), this paper examines the possibility that the 1987 stock market crash was an example of a short-lived fad. While we usually think of fads as speculative bubbles, what the UC-MS model seems to be picking up is unwarranted pessimism which the market exhibited with the OPEC oil shock and the '87 crash. Furthermore, the conditional variance implied by the UC-MS…

短暂市场风潮与 1987 年股灾AI 解读

Using a fad model with Markov-switching heteroscedasticity in both the fundamental and fad components (UC-MS model), this paper examines the possibility that the 1987 stock market crash was an example of a short-lived fad. While we usually think of fads as speculative bubbles, what the UC-MS model seems to be picking up is unwarranted pessimism which the market exhibited with the OPEC oil shock and the '87 crash. Furthermore, the conditional variance implied by the UC-MS…

远期外汇市场效率的稳健检验：来自20世纪20年代的证据AI 解读

This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work explicitly with levels rather than differenced data. They are statistically robust to data distributions with heavy tails, and they can be applied to data sets where the frequency of observation and the futures maturity do not coincide. In addition, our methods allow for stochastic trend non-stationarity…

二次ARCH模型AI 解读

We introduce a new model for time-varying conditional variances as the most general quadratic version possible within the ARCH class. Hence, it encompasses all the existing restricted quadratic variance functions. Its properties are very similar to those of GARCH models, but avoids some of their criticisms. In univariate applications to daily U.S. and monthly U.K. stock market returns, QARCH adequately represents volatility and risk premia. QARCH is easy to incorporate in…

摘要暂缺

伦敦证券交易所隔夜与日间股票收益：“大爆炸”改革与1987年股灾的影响AI 解读

We explore the time series properties of stock returns on the London Stock Exchange around the 1986 market restructuring (Big Bang) and the 1987 stock-market crash using a modified generalized autoregressive conditional heteroscedasticity model. Using this general dynamic model, which allows (a) intradaily returns to have different impacts and persistence on stock-return volatility, (b) return effects on volatility to be asymmetric, and (c) intradaily returns to follow…

渐近理论的若干方面及其在时间序列模型中的应用AI 解读

The primary purpose of this paper is to review a very few results on some basic elements of large sample theory in a restricted structural framework, as described in detail in the recent book by LeCam and Yang (1990, Asymptotics in Statistics: Some Basic Concepts . New York: Springer), and to illustrate how the asymptotic inference problems associated with a wide variety of time series regression models fit into such a structural framework. The models illustrated include…

GARCH 稳定分布模型的极大似然估计AI 解读

Abstract Maximum likelihood is used to estimate a generalized autoregressive conditional heteroskedastic (GARCH) process where the residuals have a conditional stable distribution (GARCH‐stable). The scale parameter is modelled such that a GARCH process with normally distributed residuals is a special case. The usual methods of estimating the parameters of the stable distribution assume constant scale and will underestimate the characteristic exponent when the scale…

超额收益的条件分布：一项实证分析AI 解读

In this article we describe the cumulative distribution function of excess returns conditional on a broad set of predictors that summarize the state of the economy. We do so by estimating a sequence of conditional logit models over a grid of values of the response variable. Our method uncovers higher-order multidimensional structure that cannot be found by modeling only the first two moments of the distribution. We compare two approaches to modeling: one based on a…

误设 ARCH 模型的滤波与预测：第二篇AI 解读

A companion paper (Nelson, 1992) showed that in data observed at high frequencies, an ARCH model may perform well in estimating the conditional variance of a process, even when the ARCH model is severely misspecified. While such models may perform reasonably well at filtering (i.e., at estimating unobserved instantaneous conditional variances), they may perform disastrously at medium- and long-term forecasting of the process and its volatility. In this paper, we develop…

针对单侧备择的得分类检验AI 解读

A score-type statistic, T s , is introduced for testing H: ψ = 0 against K: ψ ≥ 0 and more general one-sided hypotheses when nuisance parameters may be present; ψ is a vector parameter. The main advantages of T s , are that it requires estimation of the model only under the null hypothesis and that, it is asymptotically equivalent to the likelihood ratio statistic; these are precisely the reasons for the popularity of the score tests for testing against two-sided…

针对单侧备择假设的得分检验AI 解读

A score-type statistic, T s , is introduced for testing H: ψ = 0 against K: ψ ≥ 0 and more general one-sided hypotheses when nuisance parameters may be present; ψ is a vector parameter. The main advantages of T s , are that it requires estimation of the model only under the null hypothesis and that, it is asymptotically equivalent to the likelihood ratio statistic; these are precisely the reasons for the popularity of the score tests for testing against two-sided…

高频外汇市场数据结构模型的非参数估计AI 解读

Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether an equilibrium monetary model can account for nonlinearities in weekly data. The model incorporates time-nonseparable preferences and a transaction cost technology. Simulated sample paths are generated using Marcet's parameterized expectations procedure. The paper also develops a new method…

重新审视股票预期收益的横截面AI 解读

The authors' examination of the cross-section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk when betas are estimated from time-series regressions of annual portfolio returns on the annual return on the equally weighted market index. The relation between book-to-market equity and returns is weaker and less consistent than that in Fama and French (1992). The authors conjecture that past…

重新审视股票预期收益的横截面AI 解读

ABSTRACT Our examination of the cross‐section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk when betas are estimated from time‐series regressions of annual portfolio returns on the annual return on the equally weighted market index. The relation between book‐to‐market equity and returns is weaker and less consistent than that in Fama and French (1992). We conjecture that past book‐to‐market…

非线性 ARCH 时间序列的非参数估计与识别：强收敛和渐近正态性AI 解读

We consider the estimation and identification of the functional structures of nonlinear econometric systems of the ARCH type. We employ nonparametric kernel estimates for the nonlinear functions characterizing the systems, and we establish strong consistency along with sharp rates of convergence under mild regularity conditions. We also prove the asymptotic normality of the estimates.

摘要暂缺

金融市场学习过程的计量经济学AI 解读

The asymptotic behavior of the sample paths of two popular statistics that test market efficiency are investigated when markets learn to have rational expectations. Two cases are investigated, where, should markets start out at a rational expectations equilibrium, both statistics would asymptotically generate standard Brownian motions. In a first case, where agents are Bayesian and payoffs exogenous, the statistics have identical sample paths, but they are not standard…

联立方程系统中的多变量广义 ARCHAI 解读

This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new parameterization of the multivariate ARCH process is proposed, and equivalence relations are discussed for the various ARCH parameterizations. Constraints sufficient to guarantee the positive definiteness of the conditional covariance matrices are developed, and necessary and sufficient conditions for covariance…

股票收益与波动率国际传导的多变量 GARCH 模型：美国与加拿大AI 解读

This study examines the short-run dynamics of returns and volatility for stocks traded on the New York and Toronto stock exchanges. The main finding is that inferences about the magnitude and persistence of return innovations that originate in either market and that transmit to the other market depend importantly on how the cross-market dynamics in volatility are modeled. Also, much weaker cross-market dynamics in returns and volatility prevail during later subperiods and…

GARCH(1,1) 与 IGARCH(1,1) 最大似然估计量的有限样本性质：蒙特卡洛考察AI 解读

This paper compares GARCH(1,1) and IGARCH(1,1) models via a Monte Carlo study of the finite sample properties of the maximum likelihood estimator and related test statistics. While the asymptotic distribution is well approximated by the estimated t statistics, other commonly used statistics do not behave as well. In addition, the estimators themselves are skewed in small samples. For the null hypothesis of IGARCH(1,1), Wald tests typically have the best size while the…

时变贴现因子现值模型的协整检验AI 解读

Abstract The paper analyses the impact of persistence and volatility in the discount rate in present‐value models on cointegration tests in levels and in logarithms. In simulations we find that the probability of not rejecting the null of no cointegration depends on the persistence of the discount rate process and can be very high when the expected returns process is highly persistent. In contrast, the cointegration tests are very robust with respect to the level of…

校准模型中的统计推断AI 解读

This paper describes a Monte Carlo procedure to assess the performance of calibrated dynamic general equilibrium models. The procedure formalizes the choice of parameters and the evaluation of the model and provides an efficient way to conduct a sensitivity analysis for perturbations of the parameters within a reasonable range. As an illustration the methodology is applied to two problems: the equity premium puzzle and how much of the variance of actual U.S. output is…

对《随机波动模型的贝叶斯分析》的评论AI 解读

This article contains comments on “Bayesian Analysis of Stochastic Volatility Models,” by Jacquier, Poison, and Rossi. The Markov-chain Monte Carlo (MCMC) method proposed is compared empirically with a simulated maximum likelihood (SML) method. The MCMC and SML estimators yield very similar results, both when applied to actual data and in a Monte Carlo experiment.