发布求助
文献互助 智能选刊 最新文献

Journal of Financial Econometrics最新文献

筛选
英文 中文
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process 用标记Hawkes过程建模价格和方差跳跃聚类
3区 经济学
Journal of Financial Econometrics Pub Date : 2023-03-21 DOI: 10.1093/jjfinec/nbad007
Jian Chen, Michael P Clements, Andrew Urquhart
{"title":"Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process","authors":"Jian Chen, Michael P Clements, Andrew Urquhart","doi":"10.1093/jjfinec/nbad007","DOIUrl":"https://doi.org/10.1093/jjfinec/nbad007","url":null,"abstract":"Abstract We examine the clustering behavior of price and variance jumps using high-frequency data, modeled as a marked Hawkes process (MHP) embedded in a bivariate jump-diffusion model with intraday periodic effects. We find that the jumps of both individual stocks and a broad index exhibit self-exciting behavior. The three dimensions of the model, namely positive price jumps, negative price jumps, and variance jumps, impact one another in an asymmetric fashion. We estimate model parameters using Bayesian inference by Markov Chain Monte Carlo, and find that the inclusion of the jump parameters improves the fit of the model. When we quantify the jump intensity and study the characteristics of jump clusters, we find that in high-frequency settings, jump clustering can last between 2.5 and 6 hours on average. We also find that the MHP generally outperforms other models in terms of reproducing two cluster-related characteristics found in the actual data.","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136340083","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Volatility Forecasting with Machine Learning and Intraday Commonality 波动性预测与机器学习和日内共性
3区 经济学
Journal of Financial Econometrics Pub Date : 2023-03-20 DOI: 10.1093/jjfinec/nbad005
Chao Zhang, Yihuang Zhang, Mihai Cucuringu, Zhongmin Qian
{"title":"Volatility Forecasting with Machine Learning and Intraday Commonality","authors":"Chao Zhang, Yihuang Zhang, Mihai Cucuringu, Zhongmin Qian","doi":"10.1093/jjfinec/nbad005","DOIUrl":"https://doi.org/10.1093/jjfinec/nbad005","url":null,"abstract":"We apply machine learning models to forecast intraday realized volatility (RV), by exploiting commonality in intraday volatility via pooling stock data together, and by incorporating a proxy for the market volatility. Neural networks dominate linear regressions and tree-based models in terms of performance, due to their ability to uncover and model complex latent interactions among variables. Our findings remain robust when we apply trained models to new stocks that have not been included in the training set, thus providing new empirical evidence for a universal volatility mechanism among stocks. Finally, we propose a new approach to forecasting 1-day-ahead RVs using past intraday RVs as predictors, and highlight interesting time-of-day effects that aid the forecasting mechanism. The results demonstrate that the proposed methodology yields superior out-of-sample forecasts over a strong set of traditional baselines that only rely on past daily RVs.","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":"444 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135078885","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Correction to: Score-driven modeling with jumps: An application to S&P500 returns and options 更正:带有跳跃的分数驱动建模:s&p;P500回报和期权的应用程序
3区 经济学
Journal of Financial Econometrics Pub Date : 2023-02-23 DOI: 10.1093/jjfinec/nbad004
{"title":"Correction to: Score-driven modeling with jumps: An application to S&P500 returns and options","authors":"","doi":"10.1093/jjfinec/nbad004","DOIUrl":"https://doi.org/10.1093/jjfinec/nbad004","url":null,"abstract":"","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":"520 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136176020","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities 具有大量证券的线性因子定价模型的Alpha检验
3区 经济学
Journal of Financial Econometrics Pub Date : 2023-02-10 DOI: 10.1093/jjfinec/nbad002
M Hashem Pesaran, Takashi Yamagata
{"title":"Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities","authors":"M Hashem Pesaran, Takashi Yamagata","doi":"10.1093/jjfinec/nbad002","DOIUrl":"https://doi.org/10.1093/jjfinec/nbad002","url":null,"abstract":"Abstract This article considers tests of alpha in linear factor pricing models when the number of securities, N, is much larger than the time dimension, T, of the individual return series. We focus on class of tests that are based on Student’s t-tests of individual securities which have a number of advantages over the existing standardized Wald type tests, and propose a test procedure that allows for non-Gaussianity and general forms of weakly cross-correlated errors. It does not require estimation of an invertible error covariance matrix, it is much faster to implement, and is valid even if N is much larger than T. We also show that the proposed test can account for some limited degree of pricing errors allowed under Ross’s arbitrage pricing theory condition. Monte Carlo evidence shows that the proposed test performs remarkably well even when T = 60 and N = 5000. The test is applied to monthly returns on securities in the S&P 500 at the end of each month in real time, using rolling windows of size 60. Statistically significant evidence against Sharpe–Lintner capital asset pricing model and Fama–French three and five factor models are found mainly during the period of Great Recession (2007M12–2009M06).","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136051964","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data 动态协方差矩阵估计与高频数据组合分析
IF 2.5 3区 经济学
Journal of Financial Econometrics Pub Date : 2023-02-10 DOI: 10.1093/jjfinec/nbad003
Binyan Jiang, Cheng Liu, C. Tang
{"title":"Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data","authors":"Binyan Jiang, Cheng Liu, C. Tang","doi":"10.1093/jjfinec/nbad003","DOIUrl":"https://doi.org/10.1093/jjfinec/nbad003","url":null,"abstract":"\u0000 The covariance matrix associated with multiple financial returns plays foundational roles in many empirical applications, for example, quantifying risks and managing investment portfolios. Such covariance matrices are well known to be dynamic, that is, their structures change with the underlying market conditions. To incorporate such dynamics in a setting with high-frequency noisy data contaminated by measurement errors, we propose a new approach for estimating the covariances of a high-dimensional return series. By utilizing an appropriate localization, our approach is designed upon exploiting generic variables that are informative in accounting for the dynamic changes. We then investigate the properties and performance of the high-dimensional minimal-variance sparse portfolio constructed from employing the proposed dynamic covariance estimator. Our theory establishes the validity of the proposed covariance estimation methods in handling high-dimensional, high-frequency noisy data. The promising applications of our methods are demonstrated by extensive simulations and empirical studies showing the satisfactory accuracy of the covariance estimation and the substantially improved portfolio performance.","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":" ","pages":""},"PeriodicalIF":2.5,"publicationDate":"2023-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42564187","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options 带有跳跃的分数驱动模型:标准普尔500指数回报和期权的应用
IF 2.5 3区 经济学
Journal of Financial Econometrics Pub Date : 2023-02-08 DOI: 10.1093/jjfinec/nbad001
L. Ballestra, Enzo D’Innocenzo, A. Guizzardi
{"title":"Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options","authors":"L. Ballestra, Enzo D’Innocenzo, A. Guizzardi","doi":"10.1093/jjfinec/nbad001","DOIUrl":"https://doi.org/10.1093/jjfinec/nbad001","url":null,"abstract":"\u0000 We introduce a novel score-driven model with two sources of shock, allowing for both time-varying volatility and jumps. A theoretical investigation is performed which yields sufficient conditions to ensure stationarity and ergodicity. We extend the model to consider a time-varying jump intensity. Both an in-sample and an out-of-sample analysis based on the S&P500 time series show that the proposed methodology provides excellent agreement with observed returns, outperforming more standard Generalized Autoregressive Contional Heteroskedasticity (GARCH) specifications with jumps. Finally, we apply our models to option pricing via risk neutralization. Results show this novel approach produces reliable implied volatility surfaces. Supplementary Materials including proofs, the derivation of the conditional Fisher information, and two figures showing additional empirical results are available online.","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":" ","pages":""},"PeriodicalIF":2.5,"publicationDate":"2023-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42142825","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility 具有递归效用的投资组合问题中交易成本效应的检验
IF 2.5 3区 经济学
Journal of Financial Econometrics Pub Date : 2023-01-01 DOI: 10.54932/bjce8546
M. Carrasco, N’Golo Koné
{"title":"Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility","authors":"M. Carrasco, N’Golo Koné","doi":"10.54932/bjce8546","DOIUrl":"https://doi.org/10.54932/bjce8546","url":null,"abstract":"This paper addresses a portfolio selection problem with trading costs on stock market. More precisely, we develop a simple GMM-based test procedure to test the significance of rading costs effect in the economy with a áexible form of transaction costs. We also propose a two-step procedure to test overidentifying restrictions in our GMM estimation. In an empirical analysis, we apply our test procedures to the class of anomalies used in Novy-Marx and Velikov (2016). We show that transaction costs have a significant effect on investors behavior for many anomalies. In that case, investors significantly improve the out-of-sample performance of their portfolios by accounting for trading costs.","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":"1 1","pages":""},"PeriodicalIF":2.5,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42000987","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Geographic Dependence and Diversification in House Price Returns: The Role of Leverage 房价收益的地域依赖与多元化:杠杆的作用
IF 2.5 3区 经济学
Journal of Financial Econometrics Pub Date : 2022-12-28 DOI: 10.1093/jjfinec/nbac037
Andréas Heinen, Mi Lim Kim, Malika Hamadi
{"title":"Geographic Dependence and Diversification in House Price Returns: The Role of Leverage","authors":"Andréas Heinen, Mi Lim Kim, Malika Hamadi","doi":"10.1093/jjfinec/nbac037","DOIUrl":"https://doi.org/10.1093/jjfinec/nbac037","url":null,"abstract":"We analyze the time variation in the average dependence within a set of regional monthly house price index returns in a regime-switching multivariate copula model with a high and a low dependence regime. Using equidependent Gaussian copulas, we show that the dependence of house price returns varies across time with changes in credit market conditions, which reduces the gains from the geographic diversification of real estate and mortgage portfolios. More specifically, we show that a decrease in leverage, measured by the loan-to-value ratio, and to a lesser extent an increase in mortgage rates, are associated with a higher probability of moving to and staying in the high dependence regime.","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":"11 4","pages":""},"PeriodicalIF":2.5,"publicationDate":"2022-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138527899","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamic Nonparametric Clustering of Multivariate Panel Data 多元面板数据的动态非参数聚类
IF 2.5 3区 经济学
Journal of Financial Econometrics Pub Date : 2022-12-15 DOI: 10.1093/jjfinec/nbac038
Igor Custodio João, Julia Schaumburg, A. Lucas, B. Schwaab
{"title":"Dynamic Nonparametric Clustering of Multivariate Panel Data","authors":"Igor Custodio João, Julia Schaumburg, A. Lucas, B. Schwaab","doi":"10.1093/jjfinec/nbac038","DOIUrl":"https://doi.org/10.1093/jjfinec/nbac038","url":null,"abstract":"\u0000 We introduce a new dynamic clustering method for multivariate panel data characterized by time-variation in cluster locations and shapes, cluster compositions, and possibly the number of clusters. To avoid overly frequent cluster switching (flickering), we extend standard cross-sectional clustering techniques with a penalty that shrinks observations toward the current center of their previous cluster assignment. This links consecutive cross-sections in the panel together, substantially reduces flickering, and enhances the economic interpretability of the outcome. We choose the shrinkage parameter in a data-driven way and study its misclassification properties theoretically as well as in several challenging simulation settings. The method is illustrated using a multivariate panel of four accounting ratios for 28 large European insurance firms between 2010 and 2020.","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":" ","pages":""},"PeriodicalIF":2.5,"publicationDate":"2022-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45494649","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Consistent and Robust Test for Autocorrelated Jump Occurrences 自相关跳跃事件的一致性和鲁棒性检验
IF 2.5 3区 经济学
Journal of Financial Econometrics Pub Date : 2022-08-29 DOI: 10.1093/jjfinec/nbac031
Simon Kwok
{"title":"A Consistent and Robust Test for Autocorrelated Jump Occurrences","authors":"Simon Kwok","doi":"10.1093/jjfinec/nbac031","DOIUrl":"https://doi.org/10.1093/jjfinec/nbac031","url":null,"abstract":"We develop a nonparametric test for the temporal dependence of jump occurrences in the population. The test is consistent against all pairwise serial dependence, and is robust to the jump activity level and the choice of sampling scheme. We establish asymptotic normality and local power property for a rich set of local alternatives, including both self-exciting and/or self-inhibitory jumps. Simulation study confirms the robustness of the test and reveals its competitive size and power performance over existing tests. In an empirical study on high-frequency stock returns, our procedure uncovers a wide array of autocorrelation profiles of jump occurrences for different stocks in different time periods.","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":"8 2","pages":""},"PeriodicalIF":2.5,"publicationDate":"2022-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138527909","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信