Search Results - subject:"PRINCIPAL COMPONENTS"

Spreads de bonos de deuda soberana para países emergentes: Un ejercicio de análisis factorial para el periodo 1998-2004

Jiménez, Andrés E. Rangel - UNIVERSIDAD JAVERIANA - CALI - 2011

ResumenEl siguiente trabajo toma como referencia el artículo Common factors in emerging market spreads de McGuire, P. y Schrijvers (2003), para analizar el comportamiento diario de los spreads soberanos de 25 países emergentes en el periodo enero de 1998 y agosto de 2004, esto mediante la...

Persistent link: https://www.econbiz.de/10010762702

Travelers’ types

Brañas-Garza, Pablo; Espinosa, María Paz; Rey-Biel, Pedro - In: Journal of Economic Behavior & Organization 78 (2011) 1, pp. 25-36

behavior and the unique equilibrium prediction in a one-shot traveler's dilemma experiment. Principal components analysis …

Persistent link: https://www.econbiz.de/10011048221

Measuring financial market integration over the long run: Is there a U-shape?

Volosovych, Vadym - In: Journal of International Money and Finance 30 (2011) 7, pp. 1535-1561

empirically important. My methodology, based on principal components analysis, is immune to outliers and accounts for global and …

Persistent link: https://www.econbiz.de/10011048491

Application of factor models for the identification of countries sharing international reference-cycles

Santos, Sonia de Lucas; Rodríguez, María Jesús Delgado; … - In: Economic Modelling 28 (2011) 6, pp. 2424-2431

Using the methodology developed in Stock and Watson (2002a), this paper proposes to exploit the information that contains the factor loading to identify the countries sharing common factors. The proposal is illustrated by analyzing the relation with the international reference-cycle of a large...

Persistent link: https://www.econbiz.de/10011048707

Forecast combination through dimension reduction techniques

Poncela, Pilar; Rodríguez, Julio; Sánchez-Mangas, Rocío - In: International Journal of Forecasting 27 (2011) 2, pp. 224-237

principal components, dynamic factor models, partial least squares and sliced inverse regression. …

Persistent link: https://www.econbiz.de/10011051454

Dynamic structure of the US financial systems

Khashanah, Khaldoun; Miao, Linyan - In: Studies in Economics and Finance 28 (2011) 4, pp. 321-339

/methodology/approach – The empirical analysis is conducted through the statistical approach of principal components analysis (PCA) and the graph …

Persistent link: https://www.econbiz.de/10015013643

Dynamic structure of the US financial systems

Khashanah, Khaldoun; Miao, Linyan - In: Studies in Economics and Finance 28 (2011) October, pp. 321-339

/methodology/approach – The empirical analysis is conducted through the statistical approach of principal components analysis (PCA) and the graph …

Persistent link: https://www.econbiz.de/10010551615

The Incompleteness Problem of the APT Model

Karlsson, Peter - In: Computational Economics 38 (2011) 2, pp. 129-151

Persistent link: https://www.econbiz.de/10009326729

Picture of all Solutions of Successive 2-Block Maxbet Problems

Choulakian, Vartan - In: Psychometrika 76 (2011) 4, pp. 550-563

Persistent link: https://www.econbiz.de/10009400076

FIXED-MIX RULES IN AN EVOLUTIONARY MARKET USING A FACTOR MODEL FOR DIVIDENDS

MAVROUDIS, KONSTANTINOS; NOLDER, CRAIG A. - In: International Journal of Theoretical and Applied … 14 (2011) 08, pp. 1247-1277

In this paper we explore the impact of various constant-proportions investment strategies (or Fixed-Mix Rules) in an economic evolutionary market. Dividends are generated according to a new Dividend Factor Model. Furthermore, dividends are estimated and calibrated from data using Principal...

Persistent link: https://www.econbiz.de/10009415367