Search Results - subject:"factor Models"

Asai, Manabu; McAleer, Michael; Yu, Jun - East Asian Bureau of Economic Research (EABER) - 2006

MSV models is presented according to various categories, namely (i) asymmetric models; (ii) factor models; (iii) time …

Persistent link: https://www.econbiz.de/10009365381

Using factor models to construct composite indicators from BCS data - a comparison with European Commission confidence indicators

Gayer, Christian; Genet, Julien - Directorate-General Economic and Financial Affairs, … - 2006

This paper compares different approaches to constructing composite business cycle indicators based on series from the Joint Harmonised EU Programme of Business and Consumer Surveys (BCS). The currently computed Confidence Indicators are used as benchmarks in gauging four different...

Persistent link: https://www.econbiz.de/10008595809

SDF-based estimation of linear factor models with alternative loss functions

Longarela, Iñaki R. - In: International Journal of Financial Markets and Derivatives 3 (2013) 2, pp. 137-178

been wildly used in recent years in order to estimate the parameters of linear factor models. Given the observed asymmetry …

Persistent link: https://www.econbiz.de/10011130271

Cash-flows, earnings, and time-varying expected stock returns

Simlai, Prodosh Eugene - In: Journal of Economic and Administrative Sciences 29 (2013) 1, pp. 42-62

portfolios using their systematic components. The methodology is implemented by extending various characteristic-based factor … models of returns. Findings – The main finding of the study suggests that there is strong information transmission – both in …

Persistent link: https://www.econbiz.de/10010814489

Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions

Allen, David E.; Singh, Abhay Kumar; Powell, Robert - In: Global Business and Economics Review 15 (2013) 1, pp. 88-109

Traditionally, ordinary least square (OLS) regression methods are used to test asset pricing models. This study focuses on the use of quantile regression as an alternative approach to the analysis of risk and return distributions in quantitative finance. It empirically examines the behaviour of...

Persistent link: https://www.econbiz.de/10010816574

Risk premiums over varying market conditions

Das, Praveen K. - In: American Journal of Finance and Accounting 3 (2013) 1, pp. 57-76

Bhardwaj and Brooks (1993) and Kim and Burnie (2002) look at the size effect during expansion and recession but come to different conclusions. While Bhardwaj and Brooks report reversal of size effects, Kim and Burnie show that the size effect is strong during economic expansion. A possible...

Persistent link: https://www.econbiz.de/10010816695

A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management

Caporin, Massimiliano; Lisi, Francesco - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 236-249

presence and impact of active management strategies. Based on the conditional factor models literature, we introduce a …

Persistent link: https://www.econbiz.de/10010730238

Direct vs bottom–up approach when forecasting GDP: Reconciling literature results with institutional practice

Esteves, Paulo Soares - In: Economic Modelling 33 (2013) C, pp. 416-420

How should we forecast GDP? Should we forecast directly the overall GDP or aggregate the forecasts for each of its components using some level of disaggregation? The search for the answer continues to motivate several horse races between these two approaches. Nevertheless, independently of the...

Persistent link: https://www.econbiz.de/10010738025

Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set

Favero, Carlo A.; Niu, Linlin; Sala, Luca - 2013

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework that encompasses different existing discrete-time yield curve models. Within such framework we analyze the impact of two modelling choices, namely the imposition of no-arbitrage...

Persistent link: https://www.econbiz.de/10010892123

Short-term forecasting of French GDP growth using dynamic factor models

Bessec, Marie; Doz, Catherine - In: OECD Journal: Journal of Business Cycle Measurement and … 2013 (2013) 2, pp. 11-50

In recent years, central banks and international organisations have been making ever greater use of factor models to …, financial, and international variables. An out-of-sample pseudo real-time evaluation over the past decade shows that factor … models provide a gain in accuracy relative to the usual benchmarks. However, the forecasts remain inaccurate before the start …

Persistent link: https://www.econbiz.de/10010903573