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Fourier–Malliavin 波动率估计 MATLAB 库 FMVolAI 解读

This paper presents the Fourier-Malliavin Volatility (FMVol) estimation library for MATLAB. This library includes functions that implement Fourier- Malliavin estimators (see Malliavin and Mancino (2002, 2009)) of the volatility and co-volatility of continuous stochastic volatility processes and second-order quantities, like the quarticity (the squared volatility), the volatility of volatility and the leverage (the covariance between changes in the process and changes in its…

全球银行网络关联的分解：共同驱动、特异驱动及其期限AI 解读

We propose a novel approach to estimate high-dimensional global bank network connectedness in both the time and frequency domains. By employing a factor model with sparse VAR idiosyncratic components, we decompose system-wide connectedness (SWC) into two key drivers: (i) common component shocks and (ii) idiosyncratic shocks. We also provide bootstrap confidence bands for all SWC measures. Furthermore, spectral density estimation allows us to disentangle SWC into short-,…

二阶随机占优下的稀疏张成组合与分散化不足AI 解读

We develop and implement methods for determining whether relaxing sparsity constraints on portfolios improves the investment opportunity set for risk-averse investors. We formulate a new estimation procedure for sparse second-order stochastic spanning based on a greedy algorithm and Linear Programming. We show the optimal recovery of the sparse solution asymptotically whether spanning holds or not. From large equity datasets, we estimate the expected utility loss due to…

适用于多资产的计算高效多元波动率模型AI 解读

This paper develops a flexible and computationally efficient multivariate volatility model that accommodates dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties such as identifiability and computational tractability for many assets.A sufficient condition for strict stationarity is derived for the process.Two quasi-maximum likelihood estimation methods are proposed for the new model without and with…