modSetup: Model setup - specification generators

In piotrek-orlowski/divergenceModelR: Divergence pricing and divergence-based affine model estimation

Description

Functions which fix model and data specifications for estimation. These functions are not intended for use for the public. They might get separated from the package in the future and placed in a separate archive.

Usage

specData_DSQ_1M_6M_0115_extraNoise(path.to.data)

specData_DS_1M_6M_0115_extraNoise(path.to.data)

specData_D_1M_6M_0115_extraNoise(path.to.data)

spec_1FtoyModel_extraNoise(U)

spec_3FsepIntModel_erp_extraNoise(U)

spec_3FsepIntModel_portfolio_DJ()

spec_3FsepIntModel_erp_portfolio()

spec_3FsepIntModel_smpl()

specData_PF_DSQ_3Mat(path.to.data)

specData_PF_D_3Mat(path.to.data)

Arguments

U	number of observed pfolios

Details

specData_DSQ_1M_6M_0115_extraNoise returns loads the divergence sample from 2001 to 2015, p= 0.5, maturities 1/12 and 1/2 years. Includes SP500 returns from OMTR and the bootstrapped error correlation matrices.

specData_DS_1M_6M_0115_extraNoise returns loads the divergence sample from 2001 to 2015, p= 0.5, maturities 1/12 and 1/2 years. Includes SP500 returns from OMTR and the bootstrapped error correlation matrices. Excludes quarticity

specData_D_1M_6M_0115_extraNoise returns loads the divergence sample from 2001 to 2015, p= 0.5, maturities 1/12 and 1/2 years. Includes SP500 returns from OMTR and the bootstrapped error correlation matrices. Excludes skewness and quarticity

spec_1FtoyModel_extraNoise Specifies a single-factor model with leverage effect, exponential jumps in volatility and correlated double exponential jumps in the underlying, with same tail parameter on both sides. There are variance parameters for observation noise.

spec_3FsepIntModel_erp_extraNoise Specifies a three-factor model with leverage effect, exponential jumps in volatility and correlated double exponential jumps in the underlying, with same tail parameter on both sides. One of the factors only drives jump intensity, not the continuous volatility. There are variance parameters for observation noise. Plus, there is a more flexible parametrisation of the equity risk premium parameters, with some Q parameters restricted. Finally, the first vol factor has pure-jump dynamics

spec_3FsepIntModel_portfolio_DJ Specifies a three-factor model with leverage effect, exponential jumps in volatility and correlated double exponential jumps in the underlying, with same tail parameter on both sides. One of the factors only drives jump intensity, not the continuous volatility. There is a more flexible parametrisation of the equity risk premium parameters, with some Q parameters restricted. Finally, the first vol factor has pure-jump dynamics

spec_3FsepIntModel_erp Specifies a three-factor model with leverage effect, exponential jumps in volatility and correlated double exponential jumps in the underlying, with same tail parameter on both sides. One of the factors only drives jump intensity, not the continuous volatility. There is a more flexible parametrisation of the equity risk premium parameters, with some Q parameters restricted. Finally, the first vol factor has pure-jump dynamics

spec_3FsepIntModel_smpl specifies a three-factor model with minimalist erp form and two jump transforms: one for asset/vol, second for vol/intensity

specData_DSQ_3Mat returns loads the divergence sample from 2001 to 2015, p= 0.5, maturities 1/12 and 1/2 years. Includes SP500 returns from OMTR and the bootstrapped error correlation matrices. Excludes quarticity

specData_PF_D_3Mat returns loads the divergence sample from 2001 to 2015, p= 0.5, maturities 1/12 and 1/2 years. Only divergence portfolios are taken. Includes SP500 returns from OMTR and the bootstrapped error correlation matrices. Excludes quarticity

Value

model.spec and data.structure objects

piotrek-orlowski/divergenceModelR documentation built on July 21, 2020, 11:51 a.m.