自适应长记忆条件相关模型

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2024-01-01 DOI:10.1016/j.jempfin.2023.101463

Jonathan Dark

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引用次数: 0

摘要

我们提出了一个具有长记忆依赖性和平滑结构变化的条件相关模型。以往的文献曾考虑过具有结构变化或长记忆的相关模型和协方差模型，但本文是第一篇将这两种特征联合建模的论文。相关矩阵被分解为长期和短期两个部分。短期相关性超几何收敛于缓慢移动的长期相关矩阵，该矩阵根据一种或多种灵活的傅里叶形式演变。该模型适用于两个数据集：美国股票投资组合；美国股票、债券、黄金和石油投资组合。模型拟合和 1 至 60 天范围内的样本外预测支持所提出的方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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An adaptive long memory conditional correlation model

We propose a conditional correlation model with long memory dependence and smooth structural change. Previous literature has considered correlation and covariance models with structural change or long memory, but this is the first paper to jointly model both features. The correlation matrix is decomposed into long and short run components. Short run correlations converge hypergeometrically towards a slow moving long run correlation matrix that evolves according to one or more flexible Fourier forms. The model is applied to two data sets: a US equity portfolio; and a US equity, bond, gold and oil portfolio. Model fit and out of sample forecasts over 1 to 60 day horizons support the proposed approach.

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.