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干扰参数仅在备择下存在时针对不等式约束的检验AI 解读

In this article we develop improved statistical tests for situations satisfying the following two nonstandard conditions simultaneously: (a) Some nuisance parameters become unidentified under the null hypothesis, and (b) the alternative hypothesis is restricted in the sense that it has inequality constraints/multiparameter one-sided hypotheses. In the statistical and econometric literature, inference problems under these two nonstandard conditions have been studied…

扩散模型的 MCMC 分析及其金融应用AI 解读

This article proposes a new method for estimation of parameters in diffusion processes from discrete observations. The method is based on Markov-chain Monte Carlo methodology and applies to a wide class of models including systems with unobservable state variables and nonlinearities. The method is applied to the estimation of parameters in one-factor (CEV) interest-rate models and a two-factor model with a latent stochastic volatility component (SV). The CEV model is found…

小样本中的尾部指数估计AI 解读

Financial returns are known to be nonnormal and tend to have fat-tailed distributions. This article presents a simple methodology that accurately estimates the degree of tail fatness, characterized by the tail index, in small samples. Our method is a weighted average of Hill estimators for different threshold values that corrects for the small-sample bias apparent in the latter. Using this estimator we produce tail-index estimates for returns on exchange rates that are close…

资产定价中贝叶斯推断的一则注记AI 解读

In this paper the authors extend results by Harvey and Zhou (1990, Journal of Financial Econometrics 26, 221–254) and Kandel, McCulloch, and Stambaugh (1995, Review of Financial Studies 8(1), 1–53) to derive the posterior distribution of a key parameter in a Bayesian analysis of asset pricing models. It is shown that this distribution depends upon the same terms that constitute the standard asset pricing test of Jobson and Korkie (1985, Canadian Journal of Administrative…

ARCH(p) 平方残差相关加权和的大样本分布AI 解读

We develop asymptotic theory for linear statistics of sample autocorrelations of squared residuals from an ARCH( p ) model. Our results are valid for most estimators used in practice and do not depend on the assumption of normality of the errors; the existence of the fourth moment is required. In several special cases, we identify the limit distributions as well-known functionals of a Brownian motion.

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汇率已实现波动率的分布AI 解读

Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also approximately free of measurement error under general conditions, which we discuss in detail. Hence, for practical purposes, we may treat the exchange rate volatilities and correlations as…

商品指数期货条件波动率的状态转换建模AI 解读

Abstract Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets. Volatility is a critical input in many of these applications. This paper examines issues in modelling the conditional variance of futures returns based on the Goldman Sachs Commodity Index (GSCI). Given that commodity markets tend to be ‘choppy’ (Webb, 1987 ), a general econometric model is proposed that allows for abrupt changes or regime shifts in…

方差比统计量与高频数据：日内波动模式变化检验AI 解读

ABSTRACT Variance‐ratio tests are routinely employed to assess the variation in return volatility over time and across markets. However, such tests are not statistically robust and can be seriously misleading within a high‐frequency context. We develop improved inference procedures using a Fourier Flexible Form regression framework. The practical significance is illustrated through tests for changes in the FX intraday volatility pattern following the removal of trading…

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正态逆高斯随机波动率模型研究AI 解读

In this article, the normal inverse Gaussian stochastic volatility model of Barndorf-Nielsen is extended. The resulting model has a more flexible lag structure than the original one. In addition, the second- and fourth-order moments, important properties of a volatility model, are derived. The model can be considered either as a generalized autoregressive conditional heteroscedasticity model with nonnormal errors or as a stochastic volatility model with an inverse Gaussian…

异方差下线性自回归动态的检验AI 解读

A puzzling characteristic of asset returns for various frequencies is the often observed positive autocorrelation at lag one. To some extent this can be explained by standard asset pricing models when assuming time-varying risk premia. However, one often finds better results when directly fitting an autoregressive model, for which there is little economic foundation. One may ask whether the underlying process does in fact contain an autoregressive component. It is therefore…

A generalization of martingale estimating functions is presented which is useful when there are no natural or easily calculated martingales that can be used to construct a class of martingale estimating functions. An estimating function of the new type, which is based on linear predictors, is called a prediction‐based estimating functions. Special attention is given to classes of prediction‐based estimating functions given by a finite‐dimensional space of predictors. It is…

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仿射跳跃扩散的变换分析与资产定价AI 解读

In the setting of ‘affine’ jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example applications include fixed-income pricing models, with a role for intensity-based models of default, as well as a wide range of option-pricing applications. An illustrative example examines…

国际债券收益率利差的多变量潜在因子分解AI 解读

Abstract A factor analysis of long‐term bond spreads is performed by decomposing international interest rate spreads into national and global factors. The factors are latent, and are assumed to have GARCH‐type specifications as well as exhibiting serial dependence. An indirect estimator is used to compute estimates of the unknown parameters. The sampling performance of this estimator is investigated and compared with an alternative direct estimator based on the Kalman…

日度汇率行为与货币风险对冲AI 解读

Abstract We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy‐tailed disturbance densities) are investigated in relation to the hedging strategies. Consequently, we can make a…

GARCH(1,1) 过程样本自相关与极值的极限理论AI 解读

The asymptotic theory for the sample autocorrelations and extremes of a GARCH (1, 1) process is provided. Special attention is given to the case when the sum of the ARCH and GARCH parameters is close to 1, that is, when one is close to an infinite variance marginal distribution. This situation has been observed for various financial log-return series and led to the introduction of the IGARCH model. In such a situation, the sample autocorrelations are unreliable estimators of…

长期事件研究中的推断：贝叶斯方法及首次公开发行应用AI 解读

Statistical inference in long‐horizon event studies has been hampered by the fact that abnormal returns are neither normally distributed nor independent. This study presents a new approach to inference that overcomes these difficulties and dominates other popular testing methods. I illustrate the use of the methodology by examining the long‐horizon returns of initial public offerings (IPOs). I find that the Fama and French (1993) three‐factor model is inconsistent with the…

股市交易量的长记忆性AI 解读

This article examines consistent estimation of the long-memory parameters of stock-market trading volume and volatility. The analysis is carried out in the frequency domain by tapering the data instead of detrending them. The main theoretical contribution of the article is to prove a central limit theorem for a multivariate two-step estimator of the memory parameters of a nonstationary vector process. Using robust semiparametric procedures, the long-memory properties of…

弱 GARCH 表示的估计AI 解读

The classical definitions of GARCH-type processes rely on strong assumptions on the first two conditional moments. The common practice in empirical studies, however, has been to test for GARCH by detecting serial correlations in the squared regression errors. This can be problematic because such autocorrelation structures are compatible with severe misspecifications of the standard GARCH. Numerous examples are provided in the paper. In consequence, standard (quasi-) maximum…

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