COMFORT:一个共同市场因素非高斯收益模型

Marc S. Paolella, Pawel Polak
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引用次数: 27

摘要

提出并研究了一种新的多元时间序列模型。通过以几种方式扩展CCC模型,它允许金融资产回报的所有主要风式化事实,包括波动性聚类,非正态性(过度峰度和不对称),以及资产之间随时间的依赖性的动态。提出了一种快速的电磁估计算法。在时间t时,向量回报的每个元素都被赋予了一个共同的单变量冲击,可以解释为一个共同的市场因素。这导致新模型是GARCH和随机波动率的混合体,但没有与后者相关的估计问题,并且适用于潜在大量资产的多变量设置。提出了一种可行的多变量期权定价方法,并给出了一个实证说明。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
COMFORT: A Common Market Factor Non-Gaussian Returns Model
A new multivariate time series model with various attractive properties is motivated and studied. By extending the CCC model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility clustering, non-normality (excess kurtosis and asymmetry), and also dynamics in the dependency between assets over time. A fast EM-algorithm is developed for estimation. Each element of the vector return at time t is endowed with a common univariate shock, interpretable as a common market factor. This leads to the new model being a hybrid of GARCH and stochastic volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for potentially large numbers of assets. A feasible technique which allows for multivariate option pricing is presented, along with an empirical illustration.
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