Semiparametric Conditional Factor Models

Semiparametric Conditional Factor Models

Author: Qihui Chen

Publisher:

Published: 2023

Total Pages: 0

ISBN-13:

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This paper introduces a simple and tractable sieve estimation of semiparametric conditional factor models with latent factors. We establish large-N-asymptotic properties of the estimators without requiring large T. We also develop a simple bootstrap procedure for conducting inference about the conditional pricing errors as well as the shapes of the factor loading functions. These results enable us to estimate conditional factor structure of a large set of individual assets by utilizing arbitrary nonlinear functions of a number of characteristics without the need to pre-specify the factors, while allowing us to disentangle the characteristics' role in capturing factor betas from alphas (i.e., undiversifiable risk from mispricing). We apply these methods to the cross-section of individual U.S. stock returns and find strong evidence of large nonzero pricing errors that combine to produce arbitrage portfolios with Sharpe ratios above 3. We also document a significant decline in apparent mispricing over time.


Financial Mathematics, Volatility and Covariance Modelling

Financial Mathematics, Volatility and Covariance Modelling

Author: Julien Chevallier

Publisher: Routledge

Published: 2019-06-28

Total Pages: 381

ISBN-13: 1351669095

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This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.


Introduction to Empirical Processes and Semiparametric Inference

Introduction to Empirical Processes and Semiparametric Inference

Author: Michael R. Kosorok

Publisher: Springer Science & Business Media

Published: 2007-12-29

Total Pages: 482

ISBN-13: 0387749780

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Kosorok’s brilliant text provides a self-contained introduction to empirical processes and semiparametric inference. These powerful research techniques are surprisingly useful for developing methods of statistical inference for complex models and in understanding the properties of such methods. This is an authoritative text that covers all the bases, and also a friendly and gradual introduction to the area. The book can be used as research reference and textbook.


Econometric Analysis of Financial and Economic Time Series

Econometric Analysis of Financial and Economic Time Series

Author: Thomas B. Fomby

Publisher: Emerald Group Publishing

Published: 2006-03-01

Total Pages: 407

ISBN-13: 0762312742

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Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.


Semiparametric Odds Ratio Model and Its Applications

Semiparametric Odds Ratio Model and Its Applications

Author: Hua Yun Chen

Publisher: CRC Press

Published: 2021-12-20

Total Pages: 222

ISBN-13: 1351049739

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Beginning with familiar models and moving onto advanced semiparametric modelling tools Semiparametric Odds Ratio Model and its Applications introduces readers to a new range of flexible statistical models and provides guidance on their application using real data examples. This books range of real-world examples and exploration of common statistical problems makes it an invaluable reference for research professionals and graduate students of biostatistics, statistics, and other quantitative fields. Key Features: Introduces flexible statistical models that have yet to systematically introduced in course materials. Discusses applications of the proposed modelling framework in several important statistical problems, ranging from biased sampling designs and missing data, graphical models, survival analysis, Gibbs sampler and model compatibility, and density estimation. Includes real data examples to demonstrate the use of the proposed models, and estimation and inference tools.


Semiparametric Regression with R

Semiparametric Regression with R

Author: Jaroslaw Harezlak

Publisher: Springer

Published: 2018-12-12

Total Pages: 341

ISBN-13: 1493988530

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This easy-to-follow applied book on semiparametric regression methods using R is intended to close the gap between the available methodology and its use in practice. Semiparametric regression has a large literature but much of it is geared towards data analysts who have advanced knowledge of statistical methods. While R now has a great deal of semiparametric regression functionality, many of these developments have not trickled down to rank-and-file statistical analysts. The authors assemble a broad range of semiparametric regression R analyses and put them in a form that is useful for applied researchers. There are chapters devoted to penalized spines, generalized additive models, grouped data, bivariate extensions of penalized spines, and spatial semi-parametric regression models. Where feasible, the R code is provided in the text, however the book is also accompanied by an external website complete with datasets and R code. Because of its flexibility, semiparametric regression has proven to be of great value with many applications in fields as diverse as astronomy, biology, medicine, economics, and finance. This book is intended for applied statistical analysts who have some familiarity with R.


Econometrics of Financial High-Frequency Data

Econometrics of Financial High-Frequency Data

Author: Nikolaus Hautsch

Publisher: Springer Science & Business Media

Published: 2011-10-12

Total Pages: 381

ISBN-13: 364221925X

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The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.


Handbook of Econometrics

Handbook of Econometrics

Author:

Publisher: Elsevier

Published: 2020-11-25

Total Pages: 594

ISBN-13: 0444636544

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Handbook of Econometrics, Volume 7A, examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics and economic data. Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to unimaginable places. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries. - Presents a broader and more comprehensive view of this expanding field than any other handbook - Emphasizes the connection between econometrics and economics - Highlights current topics for which no good summaries exist


Semiparametric Modeling of Implied Volatility

Semiparametric Modeling of Implied Volatility

Author: Matthias R. Fengler

Publisher: Springer Science & Business Media

Published: 2005-12-19

Total Pages: 232

ISBN-13: 3540305912

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This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.


The Frailty Model

The Frailty Model

Author: Luc Duchateau

Publisher: Springer Science & Business Media

Published: 2007-10-23

Total Pages: 329

ISBN-13: 038772835X

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Readers will find in the pages of this book a treatment of the statistical analysis of clustered survival data. Such data are encountered in many scientific disciplines including human and veterinary medicine, biology, epidemiology, public health and demography. A typical example is the time to death in cancer patients, with patients clustered in hospitals. Frailty models provide a powerful tool to analyze clustered survival data. In this book different methods based on the frailty model are described and it is demonstrated how they can be used to analyze clustered survival data. All programs used for these examples are available on the Springer website.