基金风险改变了投资者的业绩敏感程度吗？——基于基金业绩波动与资金净流量关系的实证研究

本文利用我国2005年至2011年期间开放式基金的面板数据,研究了基金业绩波动对投资者业绩敏感程度的影响。在验证了基金资金净流量与基金业绩的正相关关系后,实证研究发现:(1)基金业绩波动降低了投资者对基金业绩的敏感程度:基金业绩波动越大,相同业绩提升带来的资金净流量越少;(2)对于不同业绩类型的基金,业绩波动对基金“业绩—资金净流量”关系的反向影响程度也有所不同:这一影响主要体现在绩劣基金中,中等业绩基金次之,在明星基金中反而体现为正向影响。     

A note on wavelet density deconvolution for weakly dependent data

In this paper we investigate the performance of a linear wavelet-type deconvolution estimator for weakly dependent data. We show that the rates of convergence which are optimal in the case of i.i.d. data are also (almost) attained for strongly mixing observations, provided the mixing coefficients decay fast enough. The results are applied to a discretely observed continuous-time stochastic volatility model.     

Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes

We consider the problem of estimating the covariance of two diffusion-type processes when they are observed only at discrete times in a nonsynchronous manner. In our previous work in 2003, we proposed a new estimator which is free of any ‘synchronization’ processing of the original data and showed that it is consistent for the true covariance of the processes as the observation interval shrinks to zero; Hayashi and Yoshida (Bernoulli, 11, 359–379, 2005). This paper is its sequel. Specifically, it establishes asymptotic normality of the estimator in a general nonsynchronous sampling scheme.     

国内外股市波动溢出效应——基于多元GARCH模型的实证研究

通过对多个股票市场间波动溢出效应的研究,可以了解波动风险在市场间的传导路径和方向,以及在股市因外部冲击动荡前做出短期预测。本文以美国、日本、香港和我国沪市作为研究对象,采用多元GARCH模型对国内外股市波动溢出关系进行了研究。结果表明:只有香港股市对沪市具有显著的波动溢出,美、日股市对沪市的波动溢出则不显著,但由于美、日股市波动均对香港股市具有传染效应,它们可以借助对香港股市波动的影响间接地引起我国沪市的波动。所以,对我国沪市外部波动风险的把握在短期上应主要关注香港股市波动,其次还必须关注日本和美国股市的波动,尤其是美国股市的波动。     

中国股市和债市波动溢出效应的MV-GARCH分析

股市和债市的波动溢出效应是研究金融市场信息流动、风险传递的重要内容。在估计了股市和债市候选MV-GARCH模型参数基础上,通过AIC准则等拟合优度方法选择了t分布型BEKK为最优模型,因为它更好的捕捉到了金融时序尖峰、厚尾的特征.结果显示,中国股市和债市波动溢出具有明显时变特征,波动影响不对称,股市对债市影响大于债市对股市影响。动态相关系数偏弱说明两个市场在资源配置能力、信息流动等方面存在显著的缺陷.     

波动率服从有限的马尔可夫过程的期权定价

通过对服从有限马儿可夫过程的标的资产价格波动率进行分析,得出了在未来时刻波动的预测模型,并给出了相应的期权定价方法。     

Multifactor Heston's stochastic volatility model for European option pricing

In this study, we extend the multiscale stochastic volatility model of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254] by incorporating a slow varying factor of volatility. The resulting model can be viewed as a multifactor extension of the Heston model with two additional factors driving the volatility levels. An asymptotic analysis consisting of singular and regular perturbation expansions is developed to obtain an approximation to European option prices. We also find explicit expressions for some essential functions that are available only in integral formulas in the work of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254]. This finding basically leads to considerable reduction in computational time for numerical calculation as well as calibration problems. An accuracy result of the asymptotic approximation is also provided. For numerical illustration, the multifactor Heston model is calibrated to index options on the market, and we find that the resulting implied volatility surfaces fit the market data better than those produced by the multiscale stochastic volatility model of [Fouque J‐P, Lorig MJ, SIAM J Financial Math. 2011;2(1):221‐254], particularly for long‐maturity call options.     

On the no-arbitrage condition in option implied trees

The aim of this paper is to discuss the no-arbitrage condition in option implied trees based on forward induction and to propose a no-arbitrage test that rules out the negative probabilities problem and hence enhances the pricing performance. The no-arbitrage condition takes into account two main features: the position of the node in the tree and the relation between the dividend yield and the risk-free rate. The proposed methodology is tested in and out of sample with Italian index options data and findings support a good pricing performance.     

A general framework for pricing Asian options under stochastic volatility on parallel architectures

In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and experimentally. In addition, to speed up the valuation process, we employ high-performance computing technologies. More specifically, we develop a parallel option pricing system that can be easily reproduced on parallel computers, also realized as a cluster of personal computers. Numerical results showing the accuracy, speed and efficiency of the procedure are reported in the paper.     

Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.