Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
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DOI：
10.1080/01621459.2018.1543598
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发表时间：
2018-05
影响因子：
3.7
通讯作者：
T. Ando;Jushan Bai
中科院分区：
文献类型：
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作者：
T. Ando;Jushan Bai
摘要基于因子结构的大规模面板数据模型，介绍了一种分析大量金融时间序列分位数协动性的新方法。该方法试图基于对解释变量和不可观测因素结构的敏感性来捕捉每个金融时间序列的不可观测的异质性。在我们的模型中，公共因素结构的维度在分位数之间变化，并且允许解释变量依赖于因素结构。所提出的方法同时考虑了金融市场中常见的横截面相关性和序列相关性以及异方差。我们提出了新的频域框架和贝叶斯框架的估计方法。建立了该估计量的相合性和渐近正态性质。我们还提出了一种新的模型选择标准来确定公因子的个数，并提供了理论支持。我们应用该方法分析了来自60多个国家的6000多只国际股票在次贷危机、欧洲主权债务危机以及随后的一段时间内的回报。实证分析表明，公因子结构在不同的分位数之间存在差异。我们发现，分位数的公因子和平均数的公因子是不同的。这篇文章的补充材料可以在网上找到。
Abstract This article introduces a new procedure for analyzing the quantile co-movement of a large number of financial time series based on a large-scale panel data model with factor structures. The proposed method attempts to capture the unobservable heterogeneity of each of the financial time series based on sensitivity to explanatory variables and to the unobservable factor structure. In our model, the dimension of the common factor structure varies across quantiles, and the explanatory variables is allowed to depend on the factor structure. The proposed method allows for both cross-sectional and serial dependence, and heteroscedasticity, which are common in financial markets. We propose new estimation procedures for both frequentist and Bayesian frameworks. Consistency and asymptotic normality of the proposed estimator are established. We also propose a new model selection criterion for determining the number of common factors together with theoretical support. We apply the method to analyze the returns for over 6000 international stocks from over 60 countries during the subprime crisis, European sovereign debt crisis, and subsequent period. The empirical analysis indicates that the common factor structure varies across quantiles. We find that the common factors for the quantiles and the common factors for the mean are different. Supplementary materials for this article are available online.