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西班牙政治民意调查序列的长程依赖AI 解读

Abstract This paper investigates the time series properties of partisanship for five political parties in Spain. It is found that pure fractional processes with a degree of integration, d , between 0.6 and 0.8 fit the time‐series behaviour of aggregate opinion polls for mainstream parties quite well, whereas values of d in the range of 0.3 to 0.6 are obtained for opinion polls related to smaller regional parties. Those results are in agreement with theories of political…

重新检验Fair关于婚外情的模型AI 解读

Abstract Modern econometrics stresses the diagnostic testing of estimated models as an important part of the model‐building process. In a survey article published in this journal (Pagan and Vella 1989 ), methods for testing the validity of the assumptions underlying the censored regression of the Tobit model were presented. This paper questions the numerical results presented there. Indeed, my results concerning the tests when applied to Fair's well‐known model for…

关联私人价值下第一价格拍卖的非对称性AI 解读

Abstract Collusion and heterogeneity across firms may introduce asymmetry in bidding games. A major difficulty in asymmetric auctions is that the Bayesian Nash equilibrium strategies are solutions of an intractable system of differential equations. We propose a simple method for estimating asymmetric first‐price auctions with affiliated private values. Considering two types of bidders, we show that these differential equations can be rewritten using the observed bid…

烟草支出面板估计中的个体异质性与删失AI 解读

Abstract A panel of households is used to test the rational addiction model of Becker et al. ( 1994 ). These data raise problems of measurement errors, censoring, and unobservable heterogeneity. We use sample separation information to exclude those households who never purchase tobacco. To deal with the remaining zeros we compare specifications based on infrequency of purchase and on censoring. GMM and system‐GMM are used to deal with errors‐in‐variables and unobservable…

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GRETL：面向 GNU 一代的计量经济学软件AI 解读

There is also an obvious reference to the classic fairy tale 'Hansel and Gretel' in which Gretel is the mature and resourceful girl whose ingenuity saves her sibling's life from an evil witch who, after kidnapping them by means of gingerbread and candies, intends to fatten and eventually eat him.2 We mainly used version 0.997, the Windows release available at the time most of the review was written.The hardware was a 600 MHz Pentium III with 256 MB of RAM running on Windows…

预防性动机与家庭投资组合决策AI 解读

Abstract This paper studies the empirical relevance of precautionary and other motives for household portfolio behaviour using recent panel data from the Netherlands. Dutch households' portfolios exhibit low degrees of risk taking and diversification. It is possible that this is the outcome of a rational, precautionary response to unavoidable exposure to background risk (stemming from the labour market or health conditions, etc.). We consider as alternative explanations…

分析牛市与熊市的简明框架AI 解读

Abstract Bull and bear markets are a common way of describing cycles in equity prices. To fully describe such cycles one would need to know the data generating process (DGP) for equity prices. We begin with a definition of bull and bear markets and use an algorithm based on it to sort a given time series of equity prices into periods that can be designated as bull and bear markets. The rule to do this is then studied analytically and it is shown that bull and bear market…

多重结构变化模型的计算与分析AI 解读

Abstract In a recent paper, Bai and Perron ( 1998 ) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues for the empirical applications of the procedures. We first address the problem of estimation of the break dates and present an efficient algorithm to obtain global minimizers of the sum of squared residuals. This…

椭圆对称下资本资产定价模型的有效检验：半参数方法AI 解读

Abstract We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric efficient estimation procedures for a seemingly unrelated regression model where the multivariate error density is elliptically symmetric, but otherwise unrestricted. The…

均值含随机波动率模型：国际股票市场的经验证据AI 解读

Abstract In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extension is developed elsewhere for Autoregressive Conditional Heteroscedastic (ARCH) models, known as the ARCH in Mean (ARCH‐M) model. The estimation of ARCH models is relatively easy…

金融波动率：导论AI 解读

Abstract It is now 20 years since the publication of Engle's ( 1982 ) seminal paper, which introduced ARCH to the world. The ARCH paper had an enormous influence on both theoretical and applied econometrics, and was influential in the establishment of the discipline of Financial Econometrics. In this paper we provide an introduction to the special issue on modelling and forecasting financial volatility, which commemorates the Twentieth Anniversary of the publication of ARCH.…

美国股指收益的时间不可逆性与 EGARCH 效应AI 解读

Abstract In this paper we suggest using a modified version of the time reversibility (TR) test of Chen, Chou and Kuan ( 2000 ) as a complementary diagnostic test for time series models. The modified CCK test is easy to compute and requires weaker moment conditions than existing tests. Our simulations demonstrate that this test is powerful against asymmetry in volatility but the BDS test is not. In the empirical study of US stock index returns, we first find that these…

绝对收益水平跳变的建模与预测AI 解读

Abstract Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic Censored Latent Effects Autoregressive [CLEAR] model, such that it can describe and forecast the location and size of such level shifts. For our particular application, we assume that technical trading variables may have explanatory value for future level shifts, where these effects may differ…

GO-GARCH：多变量广义正交 GARCH 模型AI 解读

Abstract Multivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of generality. A new type of multivariate GARCH model is proposed, in which potentially large covariance matrices can be parameterized with a fairly large degree of freedom while estimation of the parameters remains feasible. The model can be seen as a natural generalization of the O‐GARCH model, while…

关于风险的若干评论AI 解读

Abstract Investor risk is a complicated concept in practice and is not well captured by measures of volatility as is well understood by uncertainty theory. Rather than asking statisticians to attempt to measure risk, it may be better to listen to decision theorists, but their suggestions are not very practical. Diversification is clearly helpful in reducing risk but the risk level of one portfolio cannot be measured without knowing the risks of other major portfolios. A…

STAR 与 STAR-GARCH 模型的极大似然估计：理论与蒙特卡洛证据AI 解读

Abstract Theoretical and practical interest in non‐linear time series models, particularly regime switching models, have increased substantially in recent years. Given the abundant research activity in analysing time‐varying volatility through Generalized Autoregressive Conditional Heteroscedasticity (GARCH) processes (see Engle, 1982 ; Bollerslev, 1986 ), it is important to analyse regime switching models with GARCH errors. A popular specification in this class is the…

连接 ECU 已实现波动率分布与欧元 ARCH 建模：GARCH-NIG 模型AI 解读

Abstract This paper bridges the gap between traditional ARCH modelling and recent advances on realized volatilities. Based on a ten‐year sample of five‐minute returns for the ECU basket currencies versus the US dollar, we find that the realized volatilities constructed from the summation of the high‐frequency intraday squared returns conditional on the lagged squared daily returns are approximately Inverse Gaussian (IG) distributed, while the distribution of the daily…

利用已实现方差估计二次变差AI 解读

Abstract This paper looks at some recent work on estimating quadratic variation using realized variance (RV)—that is, sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high‐frequency financial return data. When the underlying process is a semimartingale we recall the fundamental result that RV is a consistent (as M → ∞) estimator of quadratic variation (QV). We express concern that without additional assumptions it…

积分波动率与已实现波动率的理论比较AI 解读

Abstract In this paper we provide both qualitative and quantitative measures of the precision of measuring integrated volatility by realized volatility for a fixed frequency of observation. We start by characterizing for a general diffusion the difference between realized and integrated volatility for a given frequency of observation. Then we compute the mean and variance of this noise and the correlation between the noise and the integrated volatility in the Eigenfunction…

金融市场波动率动态中的多重结构突变检测AI 解读

Abstract The paper evaluates the performance of several recently proposed tests for structural breaks in the conditional variance dynamics of asset returns. The tests apply to the class of ARCH and SV type processes as well as data‐driven volatility estimators using high‐frequency data. In addition to testing for the presence of breaks, the statistics identify the number and location of multiple breaks. We study the size and power of the new tests for detecting breaks in the…

ARCH 模型的新前沿AI 解读

Abstract In the 20 years following the publication of the ARCH model, there has been a vast quantity of research uncovering the properties of competing volatility models. Wide‐ranging applications to financial data have discovered important stylized facts and illustrated both the strengths and weaknesses of the models. There are now many surveys of this literature. This paper looks forward to identify promising areas of new research. The paper lists five new frontiers. It…

社会经济距离与失业的空间分布模式AI 解读

Abstract This paper examines the spatial patterns of unemployment in Chicago between 1980 and 1990. We study unemployment clustering with respect to different social and economic distance metrics that reflect the structure of agents' social networks. Specifically, we use physical distance, travel time, and differences in ethnic and occupational distribution between locations. Our goal is to determine whether our estimates of spatial dependence are consistent with models in…

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