A Nonparametric Test for Diurnal Variation in Spot Correlation Processes
即期相关过程日内变动的非参数检验AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要以高频数据估计的即期相关过程、日内变动检验和宏观新闻条件信息为核心,直接对应高频计量与波动率方向,并涉及时间序列检验。
即期相关过程日内变动的非参数检验AI 解读 ↓
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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 distribution under the null hypothesis, whereas it diverges under the alternative. We run a Monte Carlo simulation to discover the finite sample properties of the test statistic, which are close to the large sample predictions, even for small sample sizes and realistic levels of diurnal variation. In an application, we implement the test on a high-frequency dataset covering the stock market over an extended period. The test leads to rejection of the null most of the time. This suggests diurnal variation in the correlation process is a nontrivial effect in practice. We show how conditioning information about macroeconomic news and corporate earnings announcements affect the intraday correlation curve.
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Variational Bayes methods are a potential scalable estimation approach for state space models. However, existing methods are inaccurate or computationally infeasible for many state space models. This paper proposes a variational approximation that is accurate and fast for any model with a closed-form measurement density function and a state transition distribution within the exponential family of distributions. We show that our method can accurately and quickly estimate a…