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  • Search: subject:"approximate factor model"
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Year of publication
Subject
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Factor analysis 22 Faktorenanalyse 22 Approximate factor model 21 Theorie 16 Theory 16 CAPM 14 approximate factor model 13 Estimation 10 Estimation theory 10 Schätztheorie 10 Schätzung 10 Panel 8 Panel study 8 Portfolio selection 8 Portfolio-Management 8 Correlation 6 Korrelation 6 Capital income 5 Kapitaleinkommen 5 Modellierung 5 Scientific modelling 5 Forecasting model 4 Principal components 4 Prognoseverfahren 4 Time series analysis 4 Zeitreihenanalyse 4 High dimensionality 3 Risikoprämie 3 Risk premium 3 large panel 3 principal components 3 weak factors 3 Analysis of variance 2 Börsenkurs 2 Common factor 2 Emerging economies 2 Hauptkomponentenanalyse 2 Heterogeneity in price setting 2 Large panel 2 Linear algebra 2
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Online availability
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Undetermined 21 Free 11
Type of publication
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Article 25 Book / Working Paper 10
Type of publication (narrower categories)
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Article in journal 23 Aufsatz in Zeitschrift 23 Arbeitspapier 6 Working Paper 6 Graue Literatur 5 Non-commercial literature 5
Language
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English 31 Undetermined 4
Author
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Scaillet, Olivier 5 Fan, Jianqing 4 Liao, Yuan 4 Chaieb, Ines 3 Daniele, Maurizio 3 Langlois, Hugues 3 Chou, Ray Yeutien 2 Gagliardini, Patrick 2 Kaufmann, Daniel 2 Kurozumi, Eiji 2 Ossola, Elisa 2 Pohlmeier, Winfried 2 Seregina, Ekaterina 2 Tanaka, Shinya 2 Tsay, Ruey S. 2 Wu, Jianhong 2 Yen, Tso-Jung 2 Yen, Yu-min 2 Zagidullina, Aygul 2 Amengual, Dante 1 Ando, Tomohiro 1 Cesa-Bianchi, Ambrogio 1 Chen, Jiaqin 1 Cheung, Ying Lun 1 Choi, Jungjun 1 Ferrero, Andrea 1 Grenouilleau, Daniel 1 Kung, Ko-Lun 1 Kuo, Weiyu 1 Kwon, HyukJun 1 Lee, Tae-hwy 1 Lein, Sarah 1 Lein, Sarah M. 1 Leng, Chenlei 1 Li, Degui 1 Liu, Han 1 Liu, Jinshan 1 MacMinn, Richard D. 1 Mincheva, Martina 1 Pan, Jiazhu 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Directorate-General Economic and Financial Affairs, European Commission 1 Institute of Economic Research, Hitotsubashi University 1
Published in...
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Journal of econometrics 5 Econometric reviews 2 Economics letters 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 MPRA Paper 2 Research paper series / Swiss Finance Institute 2 CEMFI working paper 1 Economics Letters 1 European Economic Review 1 European Economy - Economic Papers 1 European economic review : EER 1 Global COE Hi-Stat Discussion Paper Series 1 HEC Paris research paper series 1 Insurance / Mathematics & economics 1 International journal of forecasting 1 Journal of banking & finance 1 Journal of financial econometrics 1 Journal of financial econometrics : official journal of the Society for Financial Econometrics 1 Journal of financial economics 1 Journal of money, credit and banking : JMCB 1 Quantitative finance 1 Staff working papers / Bank of England 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1 The econometrics journal 1 Working papers 1
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Source
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ECONIS (ZBW) 29 RePEc 6
Showing 11 - 20 of 35
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Demand-side strategy, relational advantage and partner-driven corporate scope : the case for client-led diversification
Chaieb, Ines; Langlois, Hugues; Scaillet, Olivier - 2018
Persistent link: https://www.econbiz.de/10012109298
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Nonparametric estimation of large covariance matrices with conditional sparsity
Wang, Hanchao; Peng, Bin; Li, Degui; Leng, Chenlei - In: Journal of econometrics 223 (2021) 1, pp. 53-72
Persistent link: https://www.econbiz.de/10012619958
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The transmission of Keynesian supply shocks
Cesa-Bianchi, Ambrogio; Ferrero, Andrea - 2021
Persistent link: https://www.econbiz.de/10012795125
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Factors and risk premia in individual international stock returns
Chaieb, Ines; Langlois, Hugues; Scaillet, Olivier - In: Journal of financial economics 141 (2021) 2, pp. 669-692
Persistent link: https://www.econbiz.de/10013259849
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A diagnostic criterion for approximate factor structure
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2016 - This version: July 2016
We build a simple diagnostic criterion for approximate factor structure in large panel datasets. Given observable factors, the criterion checks whether the errors are weakly cross-sectionally correlated or share at least one unobservable common factor (interactive effects). A general version...
Persistent link: https://www.econbiz.de/10011518993
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Macroeconomic forecasting using approximate factor models with outliers
Chou, Ray Yeutien; Yen, Tso-Jung; Yen, Yu-min - In: International journal of forecasting 36 (2020) 2, pp. 267-291
Persistent link: https://www.econbiz.de/10012414745
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A diagnostic criterion for approximate factor structure
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Journal of econometrics 212 (2019) 2, pp. 503-521
Persistent link: https://www.econbiz.de/10012304081
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Robust covariance estimation for approximate factor models
Fan, Jianqing; Wang, Weichen; Zhong, Yiqiao - In: Journal of econometrics 208 (2019) 1, pp. 5-22
Persistent link: https://www.econbiz.de/10012139773
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Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus - In: Journal of econometrics 208 (2019) 1, pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
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Testing a large number of hypotheses in approximate factor models
Amengual, Dante; Repetto, Luca - 2014
Persistent link: https://www.econbiz.de/10011408282
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