利用高频动态因子模型选择大维度投资组合

IF 1.8 3区 经济学 Q2 BUSINESS, FINANCE Journal of Financial Econometrics Pub Date : 2024-08-22 DOI:10.1093/jjfinec/nbae018
Simon T Bodilsen
{"title":"利用高频动态因子模型选择大维度投资组合","authors":"Simon T Bodilsen","doi":"10.1093/jjfinec/nbae018","DOIUrl":null,"url":null,"abstract":"This article proposes a new predictive model for large-dimensional realized covariance matrices. Using high-frequency data, we estimate daily realized covariance matrices for the constituents of the S&P 500 Index and a set of observable factors. Using a standard decomposition of the joint covariance matrix, we express the covariance matrix of the individual assets similar to a dynamic factor model. To forecast the covariance matrix, we model the components of the covariance structure using a series of autoregressive processes. A novel feature of the model is the use of the data-driven hierarchical clustering algorithm to determine the structure of the idiosyncratic covariance matrix. A simulation study shows that this method can accurately estimate the block structure as long as the number of blocks is small relative to the number of stocks. In an out-of-sample portfolio selection exercise, we find that the proposed model outperforms other commonly used multivariate volatility models in extant literature.","PeriodicalId":47596,"journal":{"name":"Journal of Financial Econometrics","volume":"46 1","pages":""},"PeriodicalIF":1.8000,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Large-Dimensional Portfolio Selection with a High-Frequency-Based Dynamic Factor Model\",\"authors\":\"Simon T Bodilsen\",\"doi\":\"10.1093/jjfinec/nbae018\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This article proposes a new predictive model for large-dimensional realized covariance matrices. Using high-frequency data, we estimate daily realized covariance matrices for the constituents of the S&P 500 Index and a set of observable factors. Using a standard decomposition of the joint covariance matrix, we express the covariance matrix of the individual assets similar to a dynamic factor model. To forecast the covariance matrix, we model the components of the covariance structure using a series of autoregressive processes. A novel feature of the model is the use of the data-driven hierarchical clustering algorithm to determine the structure of the idiosyncratic covariance matrix. A simulation study shows that this method can accurately estimate the block structure as long as the number of blocks is small relative to the number of stocks. In an out-of-sample portfolio selection exercise, we find that the proposed model outperforms other commonly used multivariate volatility models in extant literature.\",\"PeriodicalId\":47596,\"journal\":{\"name\":\"Journal of Financial Econometrics\",\"volume\":\"46 1\",\"pages\":\"\"},\"PeriodicalIF\":1.8000,\"publicationDate\":\"2024-08-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Econometrics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1093/jjfinec/nbae018\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Econometrics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1093/jjfinec/nbae018","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

摘要

本文提出了一种新的大维度已实现协方差矩阵预测模型。利用高频数据,我们估算了 S&P 500 指数成分股和一组可观测因子的每日已实现协方差矩阵。利用联合协方差矩阵的标准分解,我们可以用类似于动态因子模型的方法来表示单个资产的协方差矩阵。为了预测协方差矩阵,我们使用一系列自回归过程对协方差结构的各组成部分进行建模。该模型的一个新特点是使用数据驱动的分层聚类算法来确定特异性协方差矩阵的结构。模拟研究表明,只要区块数量相对于股票数量较少,该方法就能准确估计区块结构。在样本外投资组合选择练习中,我们发现所提出的模型优于现有文献中其他常用的多元波动率模型。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Large-Dimensional Portfolio Selection with a High-Frequency-Based Dynamic Factor Model
This article proposes a new predictive model for large-dimensional realized covariance matrices. Using high-frequency data, we estimate daily realized covariance matrices for the constituents of the S&P 500 Index and a set of observable factors. Using a standard decomposition of the joint covariance matrix, we express the covariance matrix of the individual assets similar to a dynamic factor model. To forecast the covariance matrix, we model the components of the covariance structure using a series of autoregressive processes. A novel feature of the model is the use of the data-driven hierarchical clustering algorithm to determine the structure of the idiosyncratic covariance matrix. A simulation study shows that this method can accurately estimate the block structure as long as the number of blocks is small relative to the number of stocks. In an out-of-sample portfolio selection exercise, we find that the proposed model outperforms other commonly used multivariate volatility models in extant literature.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
5.60
自引率
8.00%
发文量
39
期刊介绍: "The Journal of Financial Econometrics is well situated to become the premier journal in its field. It has started with an excellent first year and I expect many more."
期刊最新文献
Large-Dimensional Portfolio Selection with a High-Frequency-Based Dynamic Factor Model Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach A Structural Break in the Aggregate Earnings–Returns Relation Large Sample Estimators of the Stochastic Discount Factor Jump Clustering, Information Flows, and Stock Price Efficiency
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1