Identification of Factor Models for Forecasting Returns

A data-driven approach for forecasting returns of asset prices is introduced. Special emphasis is given to data-driven specification and to dimension reduction. Specification is performed by a modified AIC, BIC-based An-algorithm. Quasi-static principal component analysis, quasi-static factor models with idiosyncratic errors and reduced rank regression are considered. The forecasting results obtained are compared. Copyright 2005, Oxford University Press.

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Year of publication:	2005
Authors:	Deistler, Manfred
Published in:	Journal of Financial Econometrics. - Society for Financial Econometrics - SoFiE, ISSN 1479-8409. - Vol. 3.2005, 2, p. 256-281
Publisher:	Society for Financial Econometrics - SoFiE

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005746403