کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7357943 1478566 2018 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimating stable latent factor models by indirect inference
ترجمه فارسی عنوان
برآورد مدل های با ضریب پایدار با استفاده از استنباط غیر مستقیم
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
Cross-sections of financial returns are characterized by common underlying factors and exhibit fat tails that may be captured by α-stable distributions. This paper focuses on estimating factor models with independent latent factors and idiosyncratic noises featuring a multivariate α-stable distribution constant over time (static factor models) or a time-varying conditional multivariate α-stable distribution (GARCH factor models). Although the simulation of such a distribution is straightforward, the estimation of its parameters encounters difficulties. These difficulties are overcome in this paper by implementing the indirect inference estimation method with the multivariate Student's t as the auxiliary distribution.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 205, Issue 1, July 2018, Pages 280-301
نویسندگان
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