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含随机波动率与跳跃的连续时间套利定价模型AI 解读

We formulate and test a continuous-time asset-pricing model using U.S. equity market data. We assume that stock returns are driven by common factors including random jump-size Poisson processes and Brownian motions with stochastic volatility. The model places overidentifying restrictions on the mean returns, allowing one to identify risk-neutral probability distributions useful in pricing derivative securities. We test for the restrictions and decompose moments of the asset…

An experiment is performed to assess the prevalence of instability in univariate and bivariate macroeconomic time series relations and to ascertain whether various adaptive forecasting techniques successfully handle any such instability. Formal tests for instability and out-of-sample forecasts from sixteen different models are computed using a sample of seventy-six representative U.S. monthly postwar macroeconomic time series, constituting 5,700 bivariate forecasting…

校准的贝叶斯方法AI 解读

The authors develop a Bayesian approach to calibration which enables the incorporation of uncertainty regarding the parameters of the theoretical model under investigation. Their procedure involves the specification of prior distributions over parameter values, which in turn induce distributions over the statistical properties of artificial data simulated from the model. These distributions are compared with their empirical counterparts in order to assess the model's fit.…

摘要暂缺

消费者面板数据分析中的交互式图形方法AI 解读

The study of complex market phenomena is often supported by data gathered from panels of customer households. Recent advances in statistical graphics research help analysts do justice to the richness of such data. The authors describe a graphical approach based on the use of simple linked plots in which case identity is preserved. The expressive power of these plots is enhanced by a variety of interactions such as painting and identification. The authors also introduce the…

外汇汇率的高频数据与波动率AI 解读

This article uses tick-by-tick foreign exchange rates to explore the feature of high frequency financial data. In this article, the author proposes a model that explains the negative autocorrelation of high frequency financial time series. The empirical results indicate that the heavy tail of financial time series is mostly caused by the heteroscedasticity of the time series. The estimates of intraday volatility reveal a strong seasonal patter across all currencies.

摘要暂缺

持久收入、当期收入与消费：来自两个面板数据集的证据AI 解读

In this paper, the author estimates Euler equations, i.e., the first order conditions of the consumers' maximization problem, using data from two data sets. Consumption data are taken from the Consumer Expenditure Survey. Income data are taken from the Panel Study of Income Dynamics. Since the data for the estimation come from two samples, the author uses a generalization of the instrumental variables estimator: two-sample instrumental variables estimator. She finds evidence…

具有移动平均误差的线性资产定价模型的有效估计AI 解读

This paper studies alternative methods for estimating parameters from multiperiod conditional moment restrictions. The authors' discussion is couched in the context of a multivariate linear time series model and they use the log-linear intertemporal asset pricing model as a prototype when comparing alternative econometric methods. They propose a generalized method of moments estimator that is scale invariant and is asymptotically equivalent to one used previously in…

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…

面板数据 Probit 模型的若干设定检验AI 解读

Generalized score and Wald tests are proposed to test certain aspects of the specification of panel probit models. The procedures used to detect misspecifications, such as omitted and superfluous variables, heteroscedasticity, nonnormality, and random coefficient variations, are designed specifically for the case when the model is estimated by sequential methods. The finite sample distributions of the test statistics in correctly and incorrectly specified models are…

持续时间依赖与计数数据模型的离散度AI 解读

This paper explores the relation between nonexponential waiting times between events and the distribution of the number of events in a fixed time interval. It is shown that within this framework the frequently observed phenomenon of overdispersion, i.e., a variance that exceeds the mean, is caused by a decreasing hazard function of the waiting times, while an increasing hazard function leads to underdispersion. Using the assumption of i.i.d. gamma distributed waiting times,…

随机游走、趋势函数断点与货币流通速度的混沌结构AI 解读

This paper examines the times-series properties of U.S. velocity series, using E. Zivot and D. W. K. Andrews's (1992) variation of P. Perron's (1989) test. It also tests for deterministic noisy chaos using the Nychka, Ellner, Gallant, and McCaffrey (1992) nonparametric test for positivity of the maximum Lyapunov exponent. Comparisons are made among simple sum and Divisia aggregates using the Thornton and Yue (1992) series of Divisia monetary aggregates for an extended sample…

时间聚合与经济时间序列AI 解读

The authors examine the effects of temporal aggregation on the estimated time-series properties of economic data. Theory predicts temporal aggregation loses information about the underlying data processes. The authors find those losses to be substantial. Monthly and quarterly data are governed by complex time-series processes with much low-frequency cyclical variation, whereas annual data are governed by extremely simple processes with virtually no cyclical variation. Cycles…

经济冲击持续性的不确定性AI 解读

The behavior of time series of economic output has been characterized in terms of the persistence of shocks. For a series generated by an autoregressive integrated moving average model, persistence is a function of the model parameters. This paper demonstrates that a careful analysis, based on the likelihood, can lead to considerably more uncertainty about persistence than is implied by the confidence intervals that are usually calculated. The estimation of persistence is…

瑞典消费者价格指数的方差估计AI 解读

In large parts of the Swedish Consumer Price Index, products and outlets are sampled independently, yielding a two-dimensional, cross-classified sample. In this article, a design-based variance formula is derived by exploiting the general theory for cross-classified sampling. Numerical variance estimates are given, along with a description of some of the detailed procedures involved in their computation. Finally, the implications of these estimates on the actual allocation…

测量误差与劳动收入动态：PSID 验证研究中的若干估计AI 解读

Previous empirical work on measurement error in survey earnings data has shown that the variance of the measurement error is roughly constant over time, it is negatively correlated with true earnings, and it is autocorrelated with previous measurement errors. This paper proposes a simple model where the measurement error stems from underreporting of transitory earnings fluctuations and a white noise component. The model fits well to data from the PSID Validation Study. The…

利用线性模型与人工神经网络评估期限结构信息的模型选择方法AI 解读

We take a model selection approach to the question of whether forward interest rates are useful in predicting future spot rates, using a variety of out-of-sample forecast-based model selection criteria: forecast mean squared error, forecast direction accuracy, and forecast-based trading system profitability. We also examine the usefulness of a class of novel prediction models called 'artificial neural networks,' and investigate the issue of appropriate window sizes for…

未观测异质性下的删失回归估计：随机参数方法AI 解读

This paper presents a methodology for addressing the problem of unobserved heterogeneity in the context of regression models based on censored samples. The effectiveness, feasibility, and usefulness of the proposed approach is illustrated by means of an empirical application as well as a simulation experiment. The paper demonstrates that censored regressions that control for the presence of unobserved heterogeneity perform substantially better in comparison to their…

预测准确性的比较AI 解读

We propose and evaluate explicit tests of the null hypothesis of no difference in the accuracy of two competing forecasts. In contrast to previously developed tests, a wide variety of accuracy measures can be used (in particular, the loss function need not be quadratic and need not even be symmetric), and forecast errors can be non-Gaussian, nonzero mean, serially correlated, and contemporaneously correlated. Asymptotic and exact finite-sample tests are proposed, evaluated,…

增广Dickey–Fuller检验的滞后阶数与临界值AI 解读

Response surface analysis is used to obtain approximate finite-sample critical values for the augmented Dickey-Fuller test. Previous studies estimating the critical values for the test have generally ignored their possible dependence on the lag order. This study shows that the lag order, in addition to the sample size, can affect finite-sample behavior of the test. The result points to the importance of correcting for the effect of lag order in applying the augmented…

This paper reports the results of an empirical study of household brand choices over four scanner panel data sets. The study uses a random-effects, autocorrelated logistic regression model. The analysis presents evidence that the brand choice process is not zero-order. In addition, the influence of in-store displays and feature advertisements on switching is shown to be about two to three times more effective than estimates obtained from previous studies. Finally, the…

增广 Dickey–Fuller 检验的滞后阶数与临界值AI 解读

Response surface analysis is used to obtain approximate finite-sample critical values for the augmented Dickey-Fuller test. Previous studies estimating the critical values for the test have generally ignored their possible dependence on the lag order. This study shows that the lag order, in addition to the sample size, can affect finite-sample behavior of the test. The result points to the importance of correcting for the effect of lag order in applying the augmented…

季节模式是否随时间保持不变？季节稳定性检验AI 解读

This paper introduces Lagrange multiplier tests of the null hypothesis of no unit roots at seasonal frequencies against the alternative of a unit root at either a single seasonal frequency or a set of seasonal frequencies. The tests complement those of D. Dickey, D. Hasza, and W. Fuller (1984) and S. Hylleberg, et al. (1990), which examine the null of seasonal unit roots. The authors derive an asymptotic distribution theory for the tests and investigate their size and power…