Nonparametric Estimation for I.I.D. Paths of a Martingale Driven Model with Application to Non-Autonomous Financial Models
鞅驱动模型独立同分布路径的非参数估计及其非自治金融模型应用AI 解读 ↓
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鞅驱动模型独立同分布路径的非参数估计及其非自治金融模型应用AI 解读 ↓
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This paper deals with a projection least squares estimator of the function $J_0$ computed from multiple independent observations on $[0,T]$ of the process $Z$ defined by $dZ_t = J_0(t)d\langle M\rangle_t + dM_t$, where $M$ is a continuous and square integrable martingale vanishing at $0$. Risk bounds are established on this estimator, on an associated adaptive estimator and on an associated discrete-time version used in practice. An appropriate transformation allows to rewrite the differential equation $dX_t = V(X_t)(b_0(t)dt +σ(t)dB_t)$, where $B$ is a fractional Brownian motion of Hurst parameter $H\in [1/2,1)$, as a model of the previous type. So, the second part of the paper deals with risk bounds on a nonparametric estimator of $b_0$ derived from the results on the projection least squares estimator of $J_0$. In particular, our results apply to the estimation of the drift function in a non-autonomous Black-Scholes model and to nonparametric estimation in a non-autonomous fractional stochastic volatility model.
即期相关过程日内变动的非参数检验
The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upwardsloping and almost piecewise linear relationship at the intraday horizon. There is notably lower—on average less positive—correlation in the morning than in the afternoon. We develop a nonparametric testing procedure to detect such variation in a correlation process. The test statistic has a known…
非平稳波动环境下股票收益可预测性的实时监测
Stock return predictability, should it exist, is likely to be episodic in nature. In order to exploit such pockets of predictability it is essential that they are rapidly detected, in real-time, as the nascent predictive regime emerges. This will typically entail the repeated (sequential) application of one-shot end-of-sample predictability statistics, updated as new data become available. Consequently, in addition to dealing with the usual inference problems caused by…
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We test for temporal stability in local linear projection coefficients of observable factors on latent ones embedded in a high-dimensional vector obeying a linear factor model. The proposed test explores the fact that, under the null hypothesis, residuals from global linear projections of observable factors on latent ones, computed over a fixed time interval via Principal Component Analysis (PCA), should also be locally uncorrelated with the PCA factors. The test is fully…
利用多分位数稳健检验多变量波动率的结构变化
We propose an omnibus nonparametric test for structural changes in the multivariate volatility matrix. The test aggregates bounded generalized quantile scores over a range of quantile levels and has a weighted leave-$q$-out $U$-statistic representation. Deleting nearby index pairs renders the centering effect induced by serial dependence asymptotically negligible. All quantities required for implementation, including the variance estimator used for standardization, are…
MENS:金融应用中非正态变换模型的非线性收缩估计
We develop a theory of nonlinear shrinkage covariance estimation for nonparanormal (Gaussian-copula) models, in which each observed coordinate is an unknown strictly increasing transformation of a latent Gaussian vector. This model accommodates arbitrary marginal skewness and heavy marginal tails while retaining a Gaussian dependence structure, and it is the natural semiparametric setting for heavy-tailed, asymmetric financial returns. Our estimator, marginal-free nonlinear…
非线性模型时变参数的局部多项式估计
We develop a novel asymptotic theory for local polynomial extremum estimators of time-varying parameters in a broad class of nonlinear time-series models, including discrete-valued ones. We show that the proposed estimators are asymptotically normally distributed under weak conditions. We also provide a precise characterization of the leading bias term due to smoothing. We demonstrate the usefulness of our general results by establishing primitive conditions for local…