کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5095713 1376481 2016 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Inference theory for volatility functional dependencies
ترجمه فارسی عنوان
تئوری استدلال برای وابستگی های عملکردی نوسانات
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
We develop inference theory for models involving possibly nonlinear transforms of the elements of the spot covariance matrix of a multivariate continuous-time process observed at high frequency. The framework can be used to study the relationship among the elements of the latent spot covariance matrix and processes defined on the basis of it such as systematic and idiosyncratic variances, factor betas and correlations on a fixed interval of time. The estimation is based on matching model-implied moment conditions under the occupation measure induced by the spot covariance process. We prove consistency and asymptotic mixed normality of our estimator of the (random) coefficients in the volatility model and further develop model specification tests. We apply our inference methods to study variance and correlation risks in nine sector portfolios comprising the S&P 500 index. We document sector-specific variance risks in addition to that of the market and time-varying heterogeneous correlation risk among the market-neutral components of the sector portfolio returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 193, Issue 1, July 2016, Pages 17-34
نویسندگان
, , ,