DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Donggyu | ko |
dc.contributor.author | Song, Xinyu | ko |
dc.contributor.author | Wang, Yazhen | ko |
dc.date.accessioned | 2022-09-14T01:00:13Z | - |
dc.date.available | 2022-09-14T01:00:13Z | - |
dc.date.created | 2022-09-14 | - |
dc.date.created | 2022-09-14 | - |
dc.date.issued | 2022-11 | - |
dc.identifier.citation | JOURNAL OF MULTIVARIATE ANALYSIS, v.192 | - |
dc.identifier.issn | 0047-259X | - |
dc.identifier.uri | http://hdl.handle.net/10203/298483 | - |
dc.description.abstract | This paper introduces unified models for high-dimensional factor-based Ito process, which can accommodate both continuous-time Ito diffusion and discrete-time stochastic volatility (SV) models by embedding the discrete SV model in the continuous instanta-neous factor volatility process. We call it the SV-Ito model. Based on the series of daily integrated factor volatility matrix estimators, we propose quasi-maximum likelihood and least squares estimation methods. Their asymptotic properties are established. We apply the proposed method to predict future vast volatility matrix whose asymptotic behaviors are studied. A simulation study is conducted to check the finite sample performance of the proposed estimation and prediction method. An empirical analysis is carried out to demonstrate the advantage of the SV-Ito model in volatility prediction and portfolio allocation problems.(c) 2022 Elsevier Inc. All rights reserved. | - |
dc.language | English | - |
dc.publisher | ELSEVIER INC | - |
dc.title | Unified discrete-time factor stochastic volatility and continuous-time Ito models for combining inference based on low-frequency and high-frequency | - |
dc.type | Article | - |
dc.identifier.wosid | 000848359200001 | - |
dc.identifier.scopusid | 2-s2.0-85136154787 | - |
dc.type.rims | ART | - |
dc.citation.volume | 192 | - |
dc.citation.publicationname | JOURNAL OF MULTIVARIATE ANALYSIS | - |
dc.identifier.doi | 10.1016/j.jmva.2022.105091 | - |
dc.contributor.localauthor | Kim, Donggyu | - |
dc.contributor.nonIdAuthor | Song, Xinyu | - |
dc.contributor.nonIdAuthor | Wang, Yazhen | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Factor model | - |
dc.subject.keywordAuthor | High dimensionality | - |
dc.subject.keywordAuthor | POET | - |
dc.subject.keywordAuthor | Quasi-maximum likelihood estimation | - |
dc.subject.keywordAuthor | Stochastic volatility model | - |
dc.subject.keywordPlus | MATRIX ESTIMATION | - |
dc.subject.keywordPlus | COVARIANCE-MATRIX | - |
dc.subject.keywordPlus | MICROSTRUCTURE NOISE | - |
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