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评估利率期限结构的预期假说：协整向量分析AI 解读

The author tests cointegration restrictions that are consistent with the expectations hypothesis of the term structure by employing the full-information maximum likelihood methods developed by S. Johansen. Yield curves appear to be the result of cointegration among interest rates. The cointegration vectors that best describe the long-term impact of interest-rate levels on interest-rate changes can often be written as linear combinations of interest-rate spreads. There is,…

因子 GARCH 模型的替代估计量：蒙特卡洛比较AI 解读

Abstract This paper proposes four estimators for factor GARCH models: two‐stage univariate GARCH (2SUE), two‐stage quasi‐maximum likelihood (2SML), quasi‐maximum likelihood with known factor weights (RMLE), quasi‐maximum likelihood with unknown factor weights (MLE). A Monte‐Carlo study is designed for bivariate one‐factor GARCH models to examine the finite sample properties. Results are presented for biases, ratios of standard errors to standard deviations, ratios of…

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金融中的 ARCH 建模AI 解读

Although volatility clustering has a long history as a salient empirical regularity characterizing high-frequency speculative prices, it was not until recently that applied researchers in finance have recognized the importance of explicitly modeling time-varying second-order moments. Instrumental in most of these empirical studies has been the Autoregressive Conditional Heteroskedasticity (ARCH) model introduced by Engle (1982). This paper contains an overview of some of the…

单变量 GARCH 模型中的不等式约束AI 解读

To keep the conditional variances generated by the generalized autoregressive conditional heteroscedastic (p, q) model nonnegative, T. Bollerslev imposed nonnegativity constraints on the parameters of the process. The authors show that these constraints can be substantially weakened and so should not be imposed in estimation. They also provide empirical examples illustrating the importance of relaxing these constraints.

东欧汇率的尾部估计AI 解读

In the literature, a consensus exists that distributions of exchange-rate returns are fat tailed. The authors use a nonparametric tail-index estimator based on extreme-value theory to shed light on some of the characteristics of the empirical distribution of black-market exchange-rate returns for seven East European currencies between 1955 and 1990, focusing on the information in the tails of the distribution. They modify an existing tail-index estimator to take into account…

市场模型中贝塔系数的时间序列性质检验AI 解读

Understanding the stochastic behavior of beta is fundamental to portfolio risk management. We evaluate the time series properties of beta for oil industry stocks, machinery industry stocks, and a random sample of 100 stocks. Daily returns for stocks in each of these industries and the random sample are obtained from the Center for Research in Security Prices tapes for the period July 1962 through December 1986 and are grouped into 98 quarter-year, and also 49 half-year,…

市场模型中贝塔系数的时间序列性质考察AI 解读

Understanding the stochastic behavior of beta is fundamental to portfolio risk management. We evaluate the time series properties of beta for oil industry stocks, machinery industry stocks, and a random sample of 100 stocks. Daily returns for stocks in each of these industries and the random sample are obtained from the Center for Research in Security Prices tapes for the period July 1962 through December 1986 and are grouped into 98 quarter-year, and also 49 half-year,…

半参数 ARCH 模型AI 解读

A semiparametric ARCH model is introduced with conditional first and second moments given by ARMA and ARCH formulations, and a conditional density that is approximated by a nonparametric density estimator. For several densities, the relative efficiency of the quasi-maximum likelihood estimator is compared with maximum likelihood under correct specification. These potential efficiency gains for a fully adaptive procedure are compared in a Monte Carlo experiment with the…

实现渐近正态性的半非参数估计量自适应规则AI 解读

In econometrics, seminonparametric (SNP) estimators originated in the consumer demand literature. The Fourier flexible form is a well-known example. The idea is to replace the consumer's indirect utility function with a truncated series expansion and then use a parametric procedure, such as nonlinear multivariate regression, to set a confidence interval on an elasticity. More recently, SNP estimators have been used in nonlinear time series analysis. A truncated Hermite…

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现值关系中的协整检验AI 解读

A Bayesian methodology is used to examine the bivariate time series properties of stock prices and dividends. The hypothesis that stock prices and dividends are cointegrated is emphasized. Exact small sample results are calculated using a specific parameterization for the bivariate model. Some commonly encountered problems in conventional cointegration tests based on asymptotic theory are thereby eliminated. We consider three hypotheses whose nonlinear form entails the need…

A stochastic macroeconomic model with no free parameters can be tested by comparing its features, such as moments, with those of data. Repeated simulation allows exact tests and gives the distribution of the sample moment under the null hypothesis that the model is true. The authors calculate the size of tests of the model studied by R. Mehra and E. C. Prescott. The approximate size of their test (which seeks to match model-generated, mean, risk-free interest rates and…

汇率收益极值的极限分布AI 解读

Abstract Several nonnested fat‐tailed distributions have been advocated for modelling exchange rate returns. Instead of directly estimating these nonnested distributions we investigate the extremal distribution of the returns. The advantage is that the parameter which characterizes the amount of tail fatness can be estimated without maintaining a specific distribution, and hence enables one to test hypotheses. The parameter of the limit law is estimated by employing…

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使用广义矩方法检验均值—方差有效性AI 解读

This paper develops tests of unconditional mean-variance efficiency under weak distributional assumptions using a generalized method of moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size-based portfolios from 1926 to 1988, the authors show that the conclusion concerning the mean-variance efficiency of market indexes can…

利用广义矩方法检验均值—方差有效性AI 解读

ABSTRACT This paper develops tests of unconditional mean‐variance efflciency under weak distributional assumptions using a Generalized Method of Moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size‐based portfolios from 1926 to 1988 we show that the conclusion concerning the mean‐variance effilciency of market indexes can…

普通股收益分布偏度与尾部延展性的数据分析AI 解读

This article explores the nature of skewness and elongation in daily common-stock-return distributions of individual firms using estimates of g (for skewness) and h (for elongation) obtained form Turkey's g and h distributions. Both parametric and nonparametric (bootstrap) estimates of standard errors of the g estimates are computed and compared. Daily return distributions are first examined cross-sectionally over a large sample of firms. The estimates of the skewness…