Search Results - subject:"Factor Models"

Approximate option pricing under a two-factor Heston-Kou stochastic volatility model

El-Khatib, Youssef; Makumbe, Zororo S.; Vives, Josep - In: Computational management science 21 (2024) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10014393433

An examination of linear factor models in U.K. stock returns in the presence of dynamic trading

Fletcher, Jonathan - In: Review of quantitative finance and accounting 63 (2024) 3, pp. 1121-1147

Persistent link: https://www.econbiz.de/10015178476

Jump tail risk exposure and the cross-section of stock returns

Alexiou, Lykourgos; Rompolis, Leonidas S. - In: Journal of empirical finance 79 (2024), pp. 1-29

Persistent link: https://www.econbiz.de/10015179720

The anatomy of government bond yields synchronization in the Eurozone

Barbieri, Claudio; Guerini, Mattia; Napoletano, Mauro - In: Macroeconomic dynamics 28 (2024) 8, pp. 1635-1672

Persistent link: https://www.econbiz.de/10015154395

A comparative study of factor models for different periods of the electricity spot price market

Laudagé, Christian; Aichinger, Florian; Desmettre, Sascha - In: Journal of commodity markets : JCM 36 (2024), pp. 1-29

Persistent link: https://www.econbiz.de/10015162606

Dynamic factor models and fractional integration : with an application to US real economic activity

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Econometrics : open access journal 12 (2024) 4, pp. 1-13

This paper makes a twofold contribution. First, it develops the dynamic factor model of by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable information on the degree...

Persistent link: https://www.econbiz.de/10015272692

New indicators for measuring financial conditions in a financially dollarized economy

Pérez Forero, Fernando - 2024

Persistent link: https://www.econbiz.de/10015165291

Factor-augmented sparse MIDAS regressions with an application to nowcasting

Beyhum, Jad; Striaukas, Jonas - 2024

Persistent link: https://www.econbiz.de/10015152856

Are minimum variance portfolios in multi-factor models long in low-beta assets?

Steland, Ansgar - In: Mathematics and Financial Economics 18 (2024) 1, pp. 151-170

multi-factor models: For multi-factor models we derive a similar criterion in terms of the betas with explicit closed … results rely on recursive inverse-free formulas for the precision matrix, which hold for multi-factor models and allow quick …

Persistent link: https://www.econbiz.de/10015373500

Measuring costly behavioral bias factors in portfolio management: a review

Gorzon, David; Bormann, Marc; von Nitzsch, Ruediger - In: Financial Markets and Portfolio Management 38 (2024) 2, pp. 265-295

Various factor models extended by Jensen’s (J Financ 23:389–416, 1968) alpha have been used to measure the retail …

Persistent link: https://www.econbiz.de/10015373547