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Institutional Repository of School of Entrepreneurship and Management
Bayesian parametric and semiparametric factor models for large realized covariance matrices | |
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...
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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. |
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