楼主: 第七小分队
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有谁看过RALITSA PETKOVA 06年的文章:Do the Fama–French Factors Proxy for Innova [推广有奖]

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楼主
第七小分队 发表于 2013-5-31 15:58:30 |AI写论文
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有谁看过RALITSA PETKOVA 06年的文章:Do the Fama–French Factors Proxy for Innovations in Predictive Variables?
想与看过的大神们交流一下文章内容,尤其是文章中VAR Estimation部分的理解,
The innovation in the excess
market return is unaffected, the orthogonalized innovation in DIV is the
component of the original DIV innovation orthogonal to the excess market
return, and so on.8 The orthogonalized innovation to DIV is a change in the
dividend/price ratio with no change in the market return; therefore, it can be
interpreted as a shock to the dividend. Similarly, shocks to the term spread,
default spread, short-term rate, and the FF factors are orthogonal to the contemporaneous
stock market return. As in Campbell (1996), I also scale all innovations
to have the same variance as the innovation in the excess market
return.
以上这段如何理解呢?谢谢各位

关键词:factors FRENCH factor proxy INNOV innovation orthogonal therefore
One day ... I promise!

沙发
第七小分队 发表于 2013-5-31 16:26:46
这句话 Orthogonalizing the innovations to the state variables with respect to the
excess market return
One day ... I promise!

藤椅
第七小分队 发表于 2013-5-31 19:55:06
我还剩这句话没理解 不知道如何操作:
I also scale all innovations
to have the same variance as the innovation in the excess market
return.
One day ... I promise!

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