Search Results - subject:"Factor Models"

A common pattern across asset pricing anomalies

Božović, Miloš - In: Finance research letters 48 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013464296

Economic evaluation of asset pricing models under predictability

Hansen, Erwin - In: Journal of empirical finance 68 (2022), pp. 50-66

Persistent link: https://www.econbiz.de/10013464435

Nonlinear factor models for network and panel data

Chen, Mingli; Fernández-Val, Iván; Weidner, Martin - 2018

Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables, which include logit, probit, ordered probit and Poisson...

Persistent link: https://www.econbiz.de/10011941492

A Residual-based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models

Kapetanios, George; Pesaran, M. Hashem; Reese, Simon - 2018

The importance of units with pervasive impacts on a large number of other units in a network has become increasingly recognized in the literature. In this paper we propose a new method to detect such influential or dominant units by basing our analysis on unit-specific residual error variances...

Persistent link: https://www.econbiz.de/10011957217

Factor models for portfolio selection in large dimensions: The good, the better and the ugly

De Nard, Gianluca; Ledoit, Olivier; Wolf, Michael - 2018

returns. Existing factor models struggle to model the covariance matrix of residuals in the presence of conditional … models, exogenous factor models, sparsity-based models, and structure-free dynamic models. This new estimator can be used to … superior all-around performance on historical data against a variety of state-of-the-art competitors, including static factor …

Persistent link: https://www.econbiz.de/10011969201

Sampling the multivariate standard normal distribution under a weighted sum constraint

Vrins, Frédéric - In: Risks 6 (2018) 3, pp. 1-13

Statistical modeling techniques-and factor models in particular-are extensively used in practice, especially in the …

Persistent link: https://www.econbiz.de/10011996624

Estimating the volatility of asset pricing factors

Becker, Janis; Leschinski, Christian - 2018

standard tool for liquid individual assets, this measure is not available for factor models, due to their construction from the …

Persistent link: https://www.econbiz.de/10012030917

Financial Cycles Around the World

Adarov, Amat - 2018

1960Q1 to 2015Q4. We use dynamic factor models and state-space techniques to estimate ﬁnancial cycles in credit, housing …

Persistent link: https://www.econbiz.de/10012099974

Estimation of Aggregate and Segment-specific Financial Cycles for a Global Sample of Countries

Adarov, Amat - 2018

financial cycles for each country in the sample. To this end we use stationary and non-stationary dynamic factor models and …

Persistent link: https://www.econbiz.de/10012100000

Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models

van Vlodrop, Andries C.; Lucas, André - 2018

factor models (FFMs). FFMs are the typical benchmark in the asset management industry and depart from the usual statistical … factor models and the factor models with observed factors used in the statistical and finance literature. Little is known …

Persistent link: https://www.econbiz.de/10012114751