The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Abstract Details
Activity Number:
|
636
|
Type:
|
Invited
|
Date/Time:
|
Thursday, August 4, 2011 : 10:30 AM to 12:20 PM
|
Sponsor:
|
Business and Economic Statistics Section
|
Abstract - #300228 |
Title:
|
Common Volatility in Evolutionary Panels
|
Author(s):
|
Giovanni Motta*+ and Matteo Barigozzi
|
Companies:
|
Maastricht University and London School of Economics and Political Science
|
Address:
|
Tongersestraat 53, Maastricht, 6211 LM, Netherlands
|
Keywords:
|
Approximate Factor Models ;
Local Stationarity ;
Asymptotic Principal Components
|
Abstract:
|
Large panels of equity returns typically exhibit strong evidence of co-movement. In this work we consider a factor model for multivariate processes whose second order structure smoothly varies over time.
We factorize the evolutionary loadings as the product of a scalar smooth time-varying component that captures the long run common volatility, and ARMA filters describing the short run stationary dynamics. Specific non-pervasive behaviours of returns are left in the idiosyncratic components.
We then estimate the common volatility in a fully non-parametric way and derive its asymptotic properties. The performance of the methodology is illustrated by means of simulation exercises.
Finally, we provide an application to a panel of equity returns on the S&P 500 constituents. Empirical results show that there is a strong evidence of a factor structure and that, a large portion of the overall volatility is explained by the common volatility of the market.
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2011 program
|
2011 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.