Search Results - subject:"common factor analysis"

The impact of restrictive measures on the price discovery function of stock index futures : evidence from CSI 500 stock index futures

Wu, Maoguo; Zhu, Zhehao - In: International journal of financial research 9 (2018) 4, pp. 117-125

Persistent link: https://www.econbiz.de/10012237176

Spurious Common Factors

Becker, Bettina; Hall, Stephen G - School of Business and Economics, Loughborough University - 2012

We conduct Monte Carlo simulations of principal components analyses of unrelated time series in order to investigate whether the stationarity properties of the data matter, as they do for least-squares regression analysis. We find that for stationary series the results are standard and reflect...

Persistent link: https://www.econbiz.de/10010585810

Spurious common factors

Becker, Bettina; Hall, Stephen G. - 2012

Persistent link: https://www.econbiz.de/10009663218

Private investment and financial development in a globalized world

Huang, Yongfu - School of Economics, Finance and Management, University … - 2006

; Global Interdependence; Common Factor Analysis; Panel Unit Root Test; Panel Cointegration Test JEL Classi…cation: F36; F41; E … explained by using a common factor analysis in which macroeconomic variables such as aggregate output, consumption and … models in a more general setting. Below is a brief description of common factor analysis due to Bai and Ng (2004). To …

Persistent link: https://www.econbiz.de/10005022147