频率相关风险

A. Neuhierl, R. T. Varneskov
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引用次数: 17

摘要

我们提供了一个无模型的框架来研究状态向量及其风险价格的动态。具体而言,我们导出了在一般情况下具有对数仿射随机折现因子(SDF)的无条件资产收益溢价的频域分解。重要的是,我们表明收益和SDF之间的共谱仅通过状态向量显示频率依赖性,其动态和风险价格可以从资产(投资组合)收益之间的协方差推断,即从横截面推断。从经验上看,我们发现美国股票的低和高频状态向量风险定价存在差异。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Frequency Dependent Risk
Abstract We provide a model-free framework for studying the dynamics of the state vector and its risk prices. Specifically, we derive a frequency domain decomposition of the unconditional asset return premium in a general setting with a log-affine stochastic discount factor (SDF). Importantly, we show that the cospectrum between returns and the SDF only displays frequency dependencies through the state vector and that its dynamics and risk prices can be inferred from covariances between asset (portfolio) returns, that is, from the cross-section. Empirically, we find low and high-frequency state vector risk to be differentially priced for US equities.
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