博士课程金融工程课件下篇.pdf

Chapter 10 Chapter 10 GMM in Explicit GMM in Explicit Discount Factor Models Discount Factor Models Main Content Main Content • The Basic Idea Of The GMM • The Basic Idea Of The GMM • The Recipe • The Recipe • Interpreting The GMM Procedure • Interpreting The GMM Procedure • Applying GMM • Applying GMM The Basic Idea of GMM The Basic Idea of GMM • The asset pricing model predicts • The asset pricing model predicts E ( p ) E (m(data , parameters )x ) t t+1 t+1 • The most natural way to check this prediction is to • The most natural way to check this prediction is to examine sample averages, i.e. to calculate examine sample averages, i.e. to calculate T 1 T 1 [ ( , ) ] ∑ p t and ∑m datat+1 paramenters xt+1 and T t 1 T t 1 • GMM estimates the parameters by making the • GMM estimates the parameters by making the sample averages as close to each other as sample averages as close to each other as possible. possible. • It suggests that we evaluate the model by looking • It suggests that we evaluate the model by looking at how close the sample averages of price and at how close the sample averages of price and discounted payoff are to each other. discounted payoff are to each other. • For Example: use GMM method to estimate • For Example: use GMM method to estimate the degrees of freedom of t distribution. the degrees of freedom of t distribution. τ[(v+1)/2] 2 −(v+1)/2 f (y ;v ) [1 (y /v )]