每日简报

遍历基本仿射跳跃扩散中的随机跳跃强度与 Bernstein 密度估计AI 解读

This paper develops a random-effects extension of the ergodic basic affine jump-diffusion (BAJD) model for a population of independent trajectories with individual unobserved jump intensities and common structural parameters. Under continuous-time observation, each intensity is estimated by the empirical jump frequency. We establish the strong consistency and stable mixed-normal limit of this estimator as the observation horizon tends to infinity. The estimated intensities…

高维波动率模型的稳健且可扩展估计AI 解读

This paper introduces a robust and computationally efficient estimation framework for high-dimensional volatility models in the BEKK-ARCH class. The proposed approach employs data truncation to ensure robustness against heavy-tailed distributions and utilizes a regularized least squares method for efficient optimization in high-dimensional settings. Non-asymptotic error bounds are established for the resulting estimators under heavy-tailed regimes, and the minimax optimal…