Bayesian parametric and semiparametric factor models for large realized covariance matrices

doi:10.1002/jae.2685

	Bayesian parametric and semiparametric factor models for large realized covariance matrices
	Jin, Xin 1; Maheu, John M.2; Yang, Qiao3
	2019-08
发表期刊	JOURNAL OF APPLIED ECONOMETRICS (IF:2.3[JCR-2023],3.0[5-Year])
ISSN	0883-7252
卷号	34 期号:5 页码:641-660
发表状态	已发表
DOI	10.1002/jae.2685
摘要	This paper introduces a new factor structure suitable for modeling large realized covariance matrices with full likelihood-based estimation. Parametric and nonparametric versions are introduced. Because of the computational advantages of our approach, we can model the factor nonparametrically as a Dirichlet process mixture or as an infinite hidden Markov mixture, which leads to an infinite mixture of inverse-Wishart distributions. Applications to 10 assets and 60 assets show that the models perform well. By exploiting parallel computing the models can be estimated in a matter of a few minutes.
收录类别	SSCI
语种	英语
资助项目	NSFC[71773069]
WOS研究方向	Business & Economics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000478607500002
出版者	WILEY
WOS关键词	AUTOREGRESSIVE WISHART MODEL
原始文献类型	Article
引用统计	正在获取...
文献类型	期刊论文
条目标识符	https://kms.shanghaitech.edu.cn/handle/2MSLDSTB/61147
专题	创业与管理学院_PI研究组_杨乔组
通讯作者	Maheu, John M.
作者单位	1.Shanghai Univ Finance & Econ, Sch Econ, Shanghai, Peoples R China 2.McMaster Univ, DeGroote Sch Business, 1280 Main St West, Hamilton, ON L8S 4M4, Canada 3.ShanghaiTech Univ, Sch Entrepreneurship & Management, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Jin, Xin,Maheu, John M.,Yang, Qiao. Bayesian parametric and semiparametric factor models for large realized covariance matrices[J]. JOURNAL OF APPLIED ECONOMETRICS,2019,34(5):641-660.
APA	Jin, Xin,Maheu, John M.,&Yang, Qiao.(2019).Bayesian parametric and semiparametric factor models for large realized covariance matrices.JOURNAL OF APPLIED ECONOMETRICS,34(5),641-660.
MLA	Jin, Xin,et al."Bayesian parametric and semiparametric factor models for large realized covariance matrices".JOURNAL OF APPLIED ECONOMETRICS 34.5(2019):641-660.