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波动率模型中的风险参数估计AI 解读

This paper introduces the concept of risk parameter in conditional volatility models of the form ϵt=σt(θ0)ηt and develops statistical procedures to estimate this parameter. For a given risk measure r, the risk parameter is expressed as a function of the volatility coefficients θ0 and the risk, r(ηt), of the innovation process. A two-step method is proposed to successively estimate these quantities. An alternative one-step approach, relying on a reparameterization of the…

扩散模型波动率函数的渐近分布无关检验AI 解读

This paper develops two tests for parametric volatility function of a diffusion model based on Khmaladze (1981)’s martingale transformation. The tests impose no restrictions on the functional form of the drift function and are shown to be asymptotically distribution-free. The tests are consistent against a large class of fixed alternatives and have nontrivial power against a class of root-n local alternatives. The paper also extends the tests of volatility to testing for…

允许未观测变量受异质影响的半参数单指标模型AI 解读

This paper proposes a single-index semiparametric model in which the unknown function has cross-sectional unit specific weights. The initial motivation comes from the search for a better measure of liquidity in stock trading which is captured by the unknown function here. The model is estimated by semiparametric least squares developed by Ichimura (1993) and Ichimura and Lee (1991). The proposed technique differs from theirs in at least two aspects. First, I show that the…

信用风险模型中的强化 urn 过程AI 解读

We propose a Bayesian nonparametric model to estimate rating migration matrices and default probabilities using the reinforced urn processes (RUP) introduced in Muliere et al. (2000). The estimated default probability becomes our prior information in a parametric model for the prediction of the number of bankruptcies, with the only assumption of exchangeability within rating classes. The Polya urn construction of the transition matrix justifies a Beta distributed de Finetti…

多国公司治理研究方法：来自BRIKT国家的证据AI 解读

We discuss empirical challenges in multicountry studies of the effects of firm-level corporate governance on firm value, focusing on emerging markets. We assess the severe data, “construct validity”, and endogeneity issues in these studies, propose methods to respond to those issues, and apply those methods to a study of five major emerging markets—Brazil, India, Korea, Russia, and Turkey. We develop unique time-series datasets on governance in each country. We address…

利用面板bootstrap改进共同基金绩效评价推断AI 解读

Two new methodologies are introduced to improve inference in the evaluation of mutual fund performance against benchmarks. First, the benchmark models are estimated using panel methods with both fund and time effects. Second, the non-normality of individual mutual fund returns is accounted for by using panel bootstrap methods. We also augment the standard benchmark factors with fund-specific characteristics, such as fund size. Using a dataset of UK equity mutual fund…

首次派付与停止派付的信息含量是否影响企业风险？AI 解读

We study the influence on firm risks of NASDAQ and NYSE firm payout initiations and omissions. These payout events can be interpreted as managerial signals of firm financial life-cycle maturation resulting in concomitant changes in firm risks. We remove confounding payout types and we match on the propensity to initiate or omit informed by determinants of payout known to investors in advance. For payout event and matched firms, we apply the difference-in-differences method…

时变跳跃尾部AI 解读

We develop new methods for the estimation of time-varying risk-neutral jump tails in asset returns. In contrast to existing procedures based on tightly parameterized models, our approach imposes much fewer structural assumptions, relying on extreme-value theory approximations together with short-maturity options. The new estimation approach explicitly allows the parameters characterizing the shape of the right and the left tails to differ, and importantly for the tail shape…

VIX、方差溢价与股票市场波动率AI 解读

We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then examine the predictive power of the VIX and its two components for stock market returns, economic activity and financial instability. The variance premium predicts stock returns while…

利用线性累积量方程对测量误差模型进行最小距离估计AI 解读

We consider a multiple mismeasured regressor errors-in-variables model. We develop closed-form minimum distance estimators from any number of estimating equations, which are linear in the third and higher cumulants of the observable variables. Using the cumulant estimators alters qualitative inference relative to ordinary least squares in two applications related to investment and leverage regressions. The estimators perform well in Monte Carlos calibrated to resemble the…

利用商品价格指数预测通货膨胀AI 解读

This paper shows that for five small commodity-exporting countries that have adopted inflation targeting monetary policies, world commodity price aggregates have predictive power for their CPI and PPI inflation, particularly once possible structural breaks are taken into account. This conclusion is robust to using either disaggregated or aggregated commodity price indexes (although the former perform better), the currency denomination of the commodity prices, and to using…

基于面板数据与风险承担理论评估金融机构的消费和投资影响AI 解读

The theory of the optimal allocation of risk and the Townsend Thai panel data on financial transactions are used to assess the impact of the major formal and informal financial institutions of an emerging market economy. We link financial institution assessment to the actual impact on clients, rather than ratios and non-performing loans. We derive both consumption and investment equations from a common core theory with both risk and productive activities. The empirical…

贝叶斯探索性因子分析AI 解读

This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on ad hoc classical approaches. Our framework relies on dedicated factor models and simultaneously determines the number of factors, the allocation of each measurement to a unique factor, and the corresponding factor loadings. Classical identification criteria are applied and integrated into our Bayesian procedure to generate models that are stable and clearly interpretable. A…

利用成本函数分解盈利能力变化AI 解读

The paper presents a decomposition of a production unit’s cost ratio over two periods into explanatory factors. The explanatory factors are growth in the unit’s cost efficiency, output growth, changes in input prices and technical progress. In order to implement the decomposition, an estimate of the industry’s best practice cost function for the two periods under consideration is required. Profitability at a period of time is defined as the value of outputs produced by a…

利用分数多项式逼近正规经济函数的似然推断AI 解读

This paper shows that regular fractional polynomials can approximate regular cost, production and utility functions and their first two derivatives on closed compact subsets of the strictly positive orthant of Euclidean space arbitrarily well. These functions therefore can provide reliable approximations to demand functions and other economically relevant characteristics of tastes and technology. Using canonical cost function data, it shows that full Bayesian inference for…

马尔可夫转换结构VAR：结合传统与统计冲击识别AI 解读

In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks may not have a meaningful structural economic interpretation. It is discussed how statistical and conventional identifying information can be combined. The discussion is based on a VAR model for the US containing oil prices, output, consumer prices and a…

协整回归中对识别状态稳健的推断AI 解读

In cointegrating regressions, estimators and test statistics are nuisance parameter dependent. This paper addresses this problem from an identification-robust perspective. Confidence sets for the long-run coefficient (denoted β) are proposed that invert LR-tests against an unrestricted or a cointegration-restricted alternative. For empirically relevant special cases, we provide analytical solutions to the inversion problem. A simulation study, imposing and relaxing strong…

违约事件定价：意外、外生性与传染AI 解读

In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the default-event surprise, is neglected. Our paper develops an approach to get closed-form expressions for the prices of credit derivatives written on multiple names without neglecting…

分离波动率面板中的系统性与个体动态AI 解读

Realized volatilities observed across several assets show a common secular trend and some idiosyncratic pattern which we accommodate by extending the class of Multiplicative Error Models (MEMs). In our model, the common trend is estimated nonparametrically, while the idiosyncratic dynamics are assumed to follow univariate MEMs. Estimation theory based on seminonparametric methods is developed for this class of models for large cross-sections and large time dimensions. The…

大量矩不等式下的一致估计AI 解读

In this paper, we consider estimation of the identified set when the number of moment inequalities is large relative to sample size, possibly infinite. Many applications in the recent literature on partially identified problems have this feature, including dynamic games, set-identified IV models, and parameters defined by a continuum of moment inequalities, in particular conditional moment inequalities. We provide a generic consistency result for criterion-based estimators…

弱工具变量回归中基于 t 统计量的检验AI 解读

This paper considers tests of the parameter of an endogenous variable in an instrumental variables regression model. The focus is on one-sided conditional t-tests. Theoretical and numerical work shows that the conditional 2SLS and Fuller t-tests perform well even when instruments are weakly correlated with the endogenous variable. When the population F-statistic is as small as two, their power is reasonably close to the power envelopes for similar and non-similar tests which…

低频及其他污染下长记忆过程的修正局部 Whittle 估计AI 解读

We propose a modified local-Whittle estimator of the memory parameter of a long memory time series process which has good properties under an almost complete collection of contamination processes that have been discussed in the literature, mostly separately. These contaminations include processes whose spectral density functions dominate at low frequencies such as random level shifts, deterministic level shifts and deterministic trends. We show that our modified estimator…

私人信号相关的不完全信息二元决策博弈的半参数识别AI 解读

This paper studies the identification and estimation of a static binary decision game of incomplete information. We make no parametric assumptions on the joint distribution of private signals and allow them to be correlated. We show that the parameters of interest can be point-identified subject to a scale normalization under mild support requirements for the regressors (publicly observed state variables) and errors (private signals). Following Manski and Tamer (2002), we…

广义经验似然估计中的近外生性与弱识别：多矩渐近分析AI 解读

This paper investigates the Generalized Empirical Likelihood (GEL) estimators when there are local violations of the exogeneity condition (near exogeneity) in the case of many weak moments. We also examine the tradeoff between the degree of violation of the exogeneity and the number of nearly exogenous instruments. In this respect, this paper extends many weak moment asymptotics of Newey and Windmeijer (2009a). The overidentifying restrictions test can detect both mild and…