Search Results - subject:"Factor Models"

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019

Persistent link: https://www.econbiz.de/10012183847

The power of (non-)linear shrinking : a review and guide to covariance matrix estimation

Ledoit, Olivier; Wolf, Michael - 2019

performance improvement, especially if overlaid with stylized facts such as time-varying co-volatility or factor models. …

Persistent link: https://www.econbiz.de/10012018920

Synthetic difference in differences

Arkhangelsky, Dmitry; Athey, Susan; Hirshberg, David A.; … - 2019

Persistent link: https://www.econbiz.de/10012021802

Estimation of weak factor models

Uematsu, Yoshimasa; Yamagata, Takashi - 2019

weaker than the typical assumption on the recent factor models, in which all the r largest eigenvalues diverge proportionally … to N, and is frequently referred to as the weak factor models. We extend the sparse orthogonal factor regression (SOFAR …

Persistent link: https://www.econbiz.de/10012024724

The Greenium matters : evidence on the pricing of climate risk

Lucia, Alessi; Elisa, Ossola; Roberto, Panzica - 2019

This study provides evidence on the existence of a negative Greenium, i.e. a green risk premium, based on European individual stock returns and portfolios. By defining a green factor which is priced by the market, we offer a tool to assess a portfolio exposure to climate risk and hedge against...

Persistent link: https://www.econbiz.de/10012053558

Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?

Maiti, Moinak - In: Future Business Journal 5 (2019) 5, pp. 1-12

four-factor model over 2 three-factor models. For all MC- and IVOL-based portfolios, idiosyncratic volatility is negatively …

Persistent link: https://www.econbiz.de/10012137461

Factors influencing SRI fund performance

Kiymaz, Halil - In: Journal of capital markets studies 3 (2019) 1, pp. 68-81

factor models, including Jensen single-factor model, Fama-French three-factor model, Carhart four-factor model and Fama … factor models and cross-sectional regression analysis. The findings are relevant for investors who demand responsible …

Persistent link: https://www.econbiz.de/10012114570

One-Sided Representations of Generalized Dynamic Factor Models

Hallin, Marc; Forni, Mario; Lippi, Marco; Zaffaroni, Paolo - European Centre for Advanced Research in Economics and … - 2011

data. Those methods rely on various factor models which all are particular cases of the Generalized Dynamic Factor Model …

Persistent link: https://www.econbiz.de/10009203554

Forecast ranked tailored equity portfolios

Buncic, Daniel; Stern, Cord - In: Journal of international financial markets, … 63 (2019), pp. 1-16

Persistent link: https://www.econbiz.de/10012263321

Nowcasting world GDP growth with high-frequency data

Jardet, Caroline; Meunier, Baptiste - In: Journal of forecasting 41 (2022) 6, pp. 1181-1200

Persistent link: https://www.econbiz.de/10013465691

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