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摘要翻译：
本文的主要目的是应用贝叶斯推理检验金融工具的风险与收益之间的关系。在跨期CAPM模型的基础上，我们建立了一个适用于分析这种关系的通用抽样模型。我们的假设最重要的特点是，收益条件分布的偏度被用作风险和收益关系的替代来源。本通用规范涉及GARCH-In-Mean模型。为了使财务收益的条件分布发生偏态，我们考虑了一种基于逆概率积分变换的构造性方法。特别地，我们应用了隐截断机制，反尺度因子的两种等价方法，序统计量概念，Beta和Bernstein分布变换，以及构造性方法。基于华沙证券交易所指数的日超额收益，检验了条件偏度假设对华沙证券市场风险与收益关系的经验重要性。我们给出了所有竞争规范的后验概率以及被检验关系的正征后验分析。
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英文标题：
《On the Empirical Importance of the Conditional Skewness Assumption in
Modelling the Relationship Between Risk and Return》
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作者：
Mateusz Pipien
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最新提交年份：
2008
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分类信息：
一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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英文摘要：
The main goal of this paper is an application of Bayesian inference in testing the relation between risk and return on the financial instruments. On the basis of the Intertemporal CAPM model we built a general sampling model suitable in analysing such a relationship. The most important feature of our assumptions is that the skewness of the conditional distribution of returns is used as an alternative source of relation between risk and return. This general specification relates to GARCH-In-Mean model. In order to make conditional distribution of financial returns skewed we considered a constructive approach based on the inverse probability integral transformation. In particular, we apply the hidden truncation mechanism, two equivalent approaches of the inverse scale factors, order statistics concept, Beta and Bernstein distribution transformations, and also the constructive method. Based on the daily excess returns on the Warsaw Stock Exchange Index we checked the empirical importance of the conditional skewness assumption on the relation between risk and return on the Warsaw Stock Market. We present posterior probabilities of all competing specifications as well as the posterior analysis of positive sign of the tested relationship.
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PDF链接：
https://arxiv.org/pdf/712.4161
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