论文标题
多元随机波动性的动态因素，杠杆作用和实现协方差
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
论文作者
论文摘要
在多元每日股票回报的随机波动率模型中，已经发现，随着收益范围的增加，参数的估计值变得不稳定。为了解决这个问题，我们专注于多个回报的因子结构，并考虑两个其他信息来源：首先，已实现的与市场因素相关的已实现股票指数，其次，已实现的协方差矩阵是根据高频数据计算得出的。提出的具有杠杆作用和实现措施的动态因子模型适用于组成与SP500指数的投资回报相关的交换交易基金的十个股票，并且该模型显示在投资组合绩效方面具有稳定的优势。
In the stochastic volatility models for multivariate daily stock returns, it has been found that the estimates of parameters become unstable as the dimension of returns increases. To solve this problem, we focus on the factor structure of multiple returns and consider two additional sources of information: first, the realized stock index associated with the market factor, and second, the realized covariance matrix calculated from high frequency data. The proposed dynamic factor model with the leverage effect and realized measures is applied to ten of the top stocks composing the exchange traded fund linked with the investment return of the SP500 index and the model is shown to have a stable advantage in portfolio performance.
