Econometrics: Applied Econometric Modeling in Financial Economics eJournal最新文献_第5页

Measuring the Relevance of the Microstructure Noise in Financial Data 度量财务数据中微观结构噪声的相关性

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-11-16 DOI: 10.2139/ssrn.1961224

C. Mancini

{"title":"Measuring the Relevance of the Microstructure Noise in Financial Data","authors":"C. Mancini","doi":"10.2139/ssrn.1961224","DOIUrl":"https://doi.org/10.2139/ssrn.1961224","url":null,"abstract":"We show that the Truncated Realized Variance (TRV) of a SemiMartingale (SM) converges to zero when observations are contaminated by noise. Under the additive i.i.d. noise assumption, a central limit theorem is also proved. In consequence it is possible to construct a feasible test allowing us to measure, for a given path of a given data generating process at a given observation frequency, the relevance of the noise in the data when we want to estimate the efficient process integrated variance IV. We thus can optimally select the observation frequency at which we can “safely” use TRV. The performance of our test is verified on simulated data. We are especially interested in the application of the test to financial data, and a comparison conducted with Bandi and Russel (2008) and Ait-Sahalia, Mykland and Zhang (2005) mean square error criteria shows that, in order to estimate IV, in many cases we can rely on TRV for lower observation frequencies than previously indicated when using Realized Variance (RV). The advantages of our method are at least two: on the one hand the underlying model for the efficient data generating process is less restrictive in that jumps are allowed (in the form of an Ito SM). On the other hand our criterion is pathwise, rather than based on an average estimation error, allowing for a more precise estimation of IV because the choice of the optimal frequency is based on the observed path. Further analysis on both simulated and empirical financial data is conducted in Lorenzini (2012) [15] and is also still in progress.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133385494","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Mean-Reverting Jump Diffusion Processes: Drift Adjustment to Preserve a Fixed Long-Term Mean 均值回归跳跃扩散过程:保持固定长期均值的漂移调整

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-11-07 DOI: 10.2139/ssrn.1925110

Mirela Predescu, S. Wilkens

引用次数: 2

On the Demand for Portfolio Insurance 论投资组合保险的需求

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-10-08 DOI: 10.1111/rmir.12009

Andy Fodor, James S. Doran, James M. Carson, David P. Kirch

引用次数: 1

An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment 一种改进的估计，使马科维茨的投资组合优化理论易于使用和估计准确，并在美国股市投资中的应用

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-10-01 DOI: 10.2139/ssrn.1968889

P. Leung, Hon-Yip Ng, W. Wong

{"title":"An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment","authors":"P. Leung, Hon-Yip Ng, W. Wong","doi":"10.2139/ssrn.1968889","DOIUrl":"https://doi.org/10.2139/ssrn.1968889","url":null,"abstract":"Using the Markowitz mean–variance portfolio optimization theory, researchers have shown that the traditional estimated return greatly overestimates the theoretical optimal return, especially when the dimension to sample size ratio p/n is large. Bai et al. (2009) propose a bootstrap-corrected estimator to correct the overestimation, but there is no closed form for their estimator. To circumvent this limitation, this paper derives explicit formulas for the estimator of the optimal portfolio return. We also prove that our proposed closed-form return estimator is consistent when n→∞ and p/n→y∈(0,1). Our simulation results show that our proposed estimators dramatically outperform traditional estimators for both the optimal return and its corresponding allocation under different values of p/n ratios and different inter-asset correlations ρ, especially when p/n is close to 1. We also find that our proposed estimators perform better than the bootstrap-corrected estimators for both the optimal return and its corresponding allocation. Another advantage of our improved estimation of returns is that we can also obtain an explicit formula for the standard deviation of the improved return estimate and it is smaller than that of the traditional estimate, especially when p/n is large. In addition, we illustrate the applicability of our proposed estimate on the US stock market investment.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123658883","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 66

The Investment Value of Contrarian Buy-Side Recommendations 反向买方建议的投资价值

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-09-17 DOI: 10.2139/ssrn.1971533

Steven Crawford, Wesley Gray, Bryan R. Johnson, R. Price

引用次数: 4

Front-Running of Mutual Fund Fire-Sales 抢先抛售共同基金

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-09-06 DOI: 10.2139/ssrn.2170660

T. Dyakov, Marno Verbeek

引用次数: 26

The Cross-Section of Industry Investment Returns 行业投资回报的横截面

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-09-06 DOI: 10.2139/ssrn.2023921

Ilan Cooper, R. Priestley

引用次数: 0

Comparison of Stakeholder Perspectives on Current Regulatory and Reporting Reforms 利益相关者对当前监管和报告改革的观点比较

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-09-01 DOI: 10.1111/j.1540-6296.2012.01218.x

Joël Wagner, Alexandra Zemp

引用次数: 10

The Impacts of Surrender Options on Reserve Durations 退让期权对储备期限的影响

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-09-01 DOI: 10.1111/j.1540-6296.2012.01216.x

C. Tsai

引用次数: 3

Pricing for Multiline Insurer: Frictional Costs, Insolvency, and Asset Allocation 多线路保险公司定价:摩擦成本、资不抵债和资产配置

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-09-01 DOI: 10.1111/j.1540-6296.2012.01214.x

Li Zhang, Norma L. Nielson

{"title":"Pricing for Multiline Insurer: Frictional Costs, Insolvency, and Asset Allocation","authors":"Li Zhang, Norma L. Nielson","doi":"10.1111/j.1540-6296.2012.01214.x","DOIUrl":"https://doi.org/10.1111/j.1540-6296.2012.01214.x","url":null,"abstract":"This article examines multiline insurance pricing based on the contingent claim approach in a limited liability and frictional costs environment. Capital allocation is based on the value of the default option, which satisfies the realistic assumption that each distinct line undertakes a pro rata share of deficit caused by insurer insolvency. Premium levels, available assets, and default risk interact with each other and reach equilibrium at the fair premium. The assets available to pay for liabilities are not predetermined or given; instead, the premium income and investment income jointly influence the available assets. The results show that equity allocation does not influence the overall fair premium. For a given expected loss, the premium‐to‐expected‐loss ratio for firms offering multiple lines is higher than that for firms only offering a single line, due to the reduced risk achieved through diversification. Premium‐to‐expected‐loss ratio and equity‐to‐expected‐loss ratio vary across lines. Lines having a higher possibility or claim amount not being paid in full exhibit lower premium‐to‐expected‐loss ratio and higher equity‐to‐expected‐loss ratio. Positive correlation among lines of business results in lower premium‐to‐expected‐loss ratio than when independent losses are assumed. Positive correlation between investment return and losses reduces the insolvency risk and leads to a higher premium‐to‐expected‐loss ratio.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132736208","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0