每日简报

短程与长程相依下在线期望分位数估计的极限理论AI 解读

Expectiles are tail-sensitive distributional summaries with important applications in financial risk measurement and forecasting, yet statistical theory for their online estimation from dependent data remains limited. We study a one-pass, stochastic-gradient algorithm with constant learning rate $γ$ for estimating the marginal expectile of a stationary causal process. The recursion admits a unique stationary causal solution and geometrically forgets its initialization. Under…

利用高频波动率检验爆炸性泡沫AI 解读

Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the volatility information in the high-frequency data. The method consists of devolatizing log-asset price increments with realized volatility measures and performing a supremum-type recursive Dickey-Fuller test on the devolatized sample. The proposed…