Search Results - subject:"factor Models"

Dynamic factor models: A review of the literature

Barhoumi, Karim; Darné, Olivier; Ferrara, Laurent - In: OECD Journal: Journal of Business Cycle Measurement and … 2013 (2013) 2, pp. 73-107

these methods, dynamic factor models have seen rapid growth and become very popular among macroeconomists. In this paper, we … carry out a survey of recent literature on dynamic factor models. We start by presenting the models used before looking at …

Persistent link: https://www.econbiz.de/10010903580

FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST?

FOCARDI, SERGIO M.; FABOZZI, FRANK J. - In: International Journal of Theoretical and Applied … 16 (2013) 04, pp. 1350020-1

In this paper, we analyze factor uniqueness in the S&P 500 universe. The current theory of approximate factor models … models can indeed coexist. We compare three dynamic factor models: a factor model based on principal component analysis, a … Procrustes analysis and correlation analysis. Forecasting performance of the factor models is analyzed by forming active …

Persistent link: https://www.econbiz.de/10010883221

Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities

Dungey, Mardi; Dwyer, Gerald; Flavin, Thomas - In: Open Economies Review 24 (2013) 1, pp. 5-32

The misevaluation of risk in securitized financial products is central to understanding the Financial Crisis of 2007–2008. This paper characterizes the evolution of factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime-mortgage backed...

Persistent link: https://www.econbiz.de/10010865297

REIT Momentum and Characteristic-Related REIT Returns

Goebel, Paul; Harrison, David; Mercer, Jeffrey; Whitby, Ryan - In: The Journal of Real Estate Finance and Economics 47 (2013) 3, pp. 564-581

Recent evidence confirms that in factor-model examinations of the cross-section of REIT returns, REIT momentum emerges as the dominant driver. Acknowledging the importance of momentum, the current study explores whether and how REIT return patterns are linked to the underlying characteristics of...

Persistent link: https://www.econbiz.de/10010989342

Now-casting inflation using high frequency data

Modugno, Michele - In: International Journal of Forecasting 29 (2013) 4, pp. 664-675

This paper proposes a methodology for now-casting and forecasting inflation using data with a sampling frequency which is higher than monthly. The data are modeled as a trading day frequency factor model, with missing observations in a state space representation. For the estimation we adopt the...

Persistent link: https://www.econbiz.de/10011051440

Nowcasting US GDP: The role of ISM business surveys

Lahiri, Kajal; Monokroussos, George - In: International Journal of Forecasting 29 (2013) 4, pp. 644-658

We study the role of the well-known monthly diffusion indices produced by the Institute for Supply Management (ISM) in nowcasting current quarter US GDP growth. In contrast to the existing literature on ISM surveys, we investigate their marginal impact on these nowcasts when large unbalanced...

Persistent link: https://www.econbiz.de/10011051465

On the estimation and inference in factor-augmented panel regressions with correlated loadings

Westerlund, Joakim; Urbain, Jean-Pierre - In: Economics Letters 119 (2013) 3, pp. 247-250

In an influential paper, Pesaran [Pesaran, M.H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74, 967–1012] proposes a very simple estimator of factor-augmented regressions that has since then become very popular. In this note...

Persistent link: https://www.econbiz.de/10011041647

Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach

Akay, Ozgur; Senyuz, Zeynep; Yoldas, Emre - In: Journal of Empirical Finance 22 (2013) C, pp. 16-29

We provide an empirical analysis of two important phenomena influencing the hedge fund industry—contagion and time variation in risk adjusted return (alpha)—in a flexible unified framework. After accounting for standard hedge fund pricing factors, we quantify the common latent factor in...

Persistent link: https://www.econbiz.de/10011042130

Weak and Strong cross-sectional dependence: a panel data analysis of international technology diffusion.

ERTUR, Cem; MUSOLESI, Antonio - Laboratoire d'Économie d'Orléans (LEO), Faculté de … - 2013

Persistent link: https://www.econbiz.de/10011170260

Weak and strong cross-sectional dependence: a panel data analysis of international technology diffusion

Ertur, C.; Musolesi, A. - Laboratoire d'Économie Appliquée de Grenoble, … - 2013

This paper provides an econometric examination of geographic R&D spillovers among countries by focusing on the issue of cross-sectional dependence. By applying several unit root tests, we first show that when the number of lags of the autoregressive component of augmented Dickey Fuller test-type...

Persistent link: https://www.econbiz.de/10010833300