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近日，我院刘广应教授的论文《Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps》，被Journal of Econometrics杂志录用，目前可以在线查阅。此论文研究金融高频数据波动率的波动率，主要估计波动率自身的波动率，检验分析波动率过程特征，并将理论结果应用在...
State-Observation Sampling and the Econometrics of Learning Models
Hidden Markov model particle filter state-observation sampling learning indirect inference forecasting state space model value at risk
2011/6/20
In nonlinear state-space models, sequential learning about the hidden state can proceed
by particle filtering when the density of the observation conditional on the state is available
analytically (...
Parametric and nonparametric models and methods in financial econometrics
Diffusion model hidden Markov model jump diffusionmodel Markov chain model validation nonlinear time series nonparametric density estimate nonparametric curve estimate stochastic differential equation stochastic volatility
2009/2/11
Financial econometrics has become an increasingly popular research field. In this paper we review a few parametric and nonparametric models and methods used in this area. After introducing several wid...