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  • Search: subject:"Spurious factor"
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Subject
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Factor analysis 2 Faktorenanalyse 2 Spurious factor 2 Theorie 2 Theory 2 Asset pricing anomaly 1 Beta risk 1 Betafaktor 1 CAPM 1 Capital income 1 Discounting 1 Diskontierung 1 Dynamic factor model 1 Economic forecast 1 Estimation 1 Forecast 1 Forecasting model 1 Frühindikator 1 Kapitaleinkommen 1 Leading indicator 1 Out-of-sample forecast 1 Overfitting 1 Portfolio selection 1 Portfolio-Management 1 Principal component 1 Prognose 1 Prognoseverfahren 1 Rank condition 1 Reduced-rank beta 1 Schätzung 1 Stochastic discount factor 1 Stochastic process 1 Stochastischer Prozess 1 Structural change 1 Strukturwandel 1 Time series analysis 1 USA 1 United States 1 Wirtschaftsprognose 1 Zeitreihenanalyse 1
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Undetermined 2
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2
Author
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Sun, Yang 1 Yamamoto, Yohei 1 Zhang, Xuan 1 Zhang, Zhekai 1
Published in...
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International review of financial analysis 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1
Source
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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The reduced-rank beta in linear stochastic discount factor models
Sun, Yang; Zhang, Xuan; Zhang, Zhekai - In: International review of financial analysis 84 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013472971
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Forecasting with nonspurious factors in U.S. macroeconomic time series
Yamamoto, Yohei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 81-106
Persistent link: https://www.econbiz.de/10011691219
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