Search Results - subject:"Factor Models"

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011

factors of standard multi-factor models. Based on the returns of all stocks listed in the German composite index CDAX (all … portfolios, sorted by market capitalization and book-to-market equity, are captured substantially better by multi-factor models …

Persistent link: https://www.econbiz.de/10010307494

An investigation on asset allocation and performance measurement for unit trust funds in Malaysia using multifactor model : a post crisis period analysis

Ali Ahmed, Huson Joher; Lee, Ten Lee; Shaikh, Junaid M. - 2011

This study examines the pattern of asset allocation and the performance of unit trust in Malaysia over the post crisis period by using risk-adjusted performance measures and multi-factor model from the year 2000 to 2004. Evidence from the statistics suggests that an active asset allocation...

Persistent link: https://www.econbiz.de/10009483763

Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets

Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - 2011

This paper analyzes the empirical performance of two alternative ways in which multi-factor models with time …

Persistent link: https://www.econbiz.de/10010409453

Cycles Inside Cycles. Spanish Regional Aggregation

Gadea, Maria Dolores; Gomez Loscos, Ana; Montañes, Antonio - 2011

This paper sets out a comprehensive framework to identify regional business cycles within Spain and analyses their stylised features and the degree of synchronisation among them and the Spanish economy. We show that the regional cycles are quite heterogeneous although they display some degree of...

Persistent link: https://www.econbiz.de/10011435320

Dynamic Portfolio Construction and Portfolio Risk Measurement

Mazibas, Murat - 2011

The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....

Persistent link: https://www.econbiz.de/10009440952

Forecasting Macroeconomic Variables Using Disaggregate Survey Data

Martinsen, Kjetil; Ravazzolo, Francesco; Wulfsberg, Fredrik - 2011

Norway. We propose several factor models based on regional and sectoral information given by the survey. The analysis … different variables and horizons. Results show that several factor models beat an autoregressive benchmark in forecasting … inflation and unemployment rate. However, the factor models are most successful in forecasting GDP growth. Forecast combinations …

Persistent link: https://www.econbiz.de/10012143769

Myths and Facts About the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns

Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - 2011

This paper uses a multi-factor pricing model with time-varying risk exposures and premia to examine whether the 2003-2006 period has been characterized, as often claimed by a number of commentators and policymakers, by a substantial missprcing of publicly traded real estate assets (REITs). The...

Persistent link: https://www.econbiz.de/10012143784

Comparing China's GDP statistics with coincident indicators

Mehrotra, Aaron; Pääkkönen, Jenni - 2011

We use factor analysis to summarize information from various macroeconomic indicators, effectively producing coincident indicators for the Chinese economy. We compare the dynamics of the estimated factors with GDP, and compare our factors with other published indicators for the Chinese economy....

Persistent link: https://www.econbiz.de/10012148620

Maternal autonomy and the education of the subsequent generation: Evidence from three contrasting states in India

Alfano, Marco; Arulampalam, Wiji; Kambhampati, Uma - 2011

This paper makes a significant contribution on both conceptual and methodological fronts, in the analysis of the effect of maternal autonomy on school enrolment age of children in India. The school entry age is modelled using a discrete time duration model where maternal autonomy is entered as a...

Persistent link: https://www.econbiz.de/10010280693

Aggregation in large dynamic panels

Pesaran, Mohammad Hashem; Chudik, Alexander - 2011

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10010285520