摘要翻译：
本文介绍了高维基于因子的Ito过程的统一模型，通过在连续瞬时因子波动过程中嵌入离散随机波动(SV)模型，可以同时适应连续时间Ito扩散和离散时间随机波动(SV)模型。我们称之为SV-Ito模型。基于日积分因子波动率矩阵估计量序列，我们提出了拟极大似然和最小二乘估计方法。建立了它们的渐近性质。我们将所提出的方法应用于未来大规模波动矩阵的预测，并研究了其渐近行为。通过仿真研究验证了所提出的估计和预测方法的有限样本性能。通过实证分析，验证了SV-Ito模型在波动率预测和投资组合配置问题中的优势。
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英文标题：
《Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time
  Ito Models for Combining Inference Based on Low-Frequency and High-Frequency》
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作者：
Donggyu Kim, Xinyu Song, Yazhen Wang
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最新提交年份：
2020
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分类信息：

一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
  This paper introduces unified models for high-dimensional factor-based Ito process, which can accommodate both continuous-time Ito diffusion and discrete-time stochastic volatility (SV) models by embedding the discrete SV model in the continuous instantaneous factor volatility process. We call it the SV-Ito model. Based on the series of daily integrated factor volatility matrix estimators, we propose quasi-maximum likelihood and least squares estimation methods. Their asymptotic properties are established. We apply the proposed method to predict future vast volatility matrix whose asymptotic behaviors are studied. A simulation study is conducted to check the finite sample performance of the proposed estimation and prediction method. An empirical analysis is carried out to demonstrate the advantage of the SV-Ito model in volatility prediction and portfolio allocation problems.
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PDF链接：
https://arxiv.org/pdf/2006.12039