Search Results - subject:"factor Models"

Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach

Cheng, Xu; Hansen, Bruce E. - Department of Economics, University of Pennsylvania - 2012

This paper considers forecast combination with factor-augmented regression. In this framework, a large number of forecasting models are available, varying by the choice of factors and the number of lags. We investigate forecast combination using weights that minimize the Mallows and the...

Persistent link: https://www.econbiz.de/10010593661

Nowcasting German GDP: A comparison of bridge and factor models

Antipa, Pamfili; Barhoumi, Karim; Brunhes-Lesage, Véronique - In: Journal of Policy Modeling 34 (2012) 6, pp. 864-878

allowing for the economic interpretation of the data. We do also forecast German GDP by dynamic factor models. The combination …

Persistent link: https://www.econbiz.de/10010594839

Some Comments on a Macro-Finance Model with Stochastic Volatility

Laurini, Márcio; Caldeira, João Frois - IBMEC Business School - Rio de Janeiro - 2012

This paper assesses the relation between the yield curve and the main macroeconomic variables in the U.S. between early 1970s and 2000. We revisit the macro-finance model of Diebold et al. (2006) with the inclusion of a stochastic volatility structure for the latent factors and macroeconomic...

Persistent link: https://www.econbiz.de/10010539836

Is momentum really momentum?

Novy-Marx, Robert - In: Journal of Financial Economics 103 (2012) 3, pp. 429-453

Momentum is primarily driven by firms' performance 12 to seven months prior to portfolio formation, not by a tendency of rising and falling stocks to keep rising and falling. Strategies based on recent past performance generate positive returns but are less profitable than those based on...

Persistent link: https://www.econbiz.de/10010571658

Estimation of high-dimensional linear factor models with grouped variables

Heaton, Chris; Solo, Victor - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 348-367

We introduce a generalization of the approximate factor model that divides the observable variables into groups, allows for arbitrarily strong cross-correlation between the disturbance terms of variables that belong to the same group, and for weak correlation between the disturbances of...

Persistent link: https://www.econbiz.de/10010572275

Do disaggregated CPI data improve the accuracy of inflation forecasts?

Ibarra, Raul - In: Economic Modelling 29 (2012) 4, pp. 1305-1313

for Mexico. We find that the factor models that include disaggregated data outperform the benchmark autoregressive model … and the factor models containing alternative groups of macroeconomic variables. We provide evidence that using … disaggregated price data improves forecasting performance. The forecasts of the factor models that extract the information from the …

Persistent link: https://www.econbiz.de/10010573296

Recent French relative export performance: Is there a competitiveness problem?

Kabundi, Alain; Nadal De Simone, Francisco - In: Economic Modelling 29 (2012) 4, pp. 1408-1435

French economic activity is significantly affected by economic activity in the rest of the world. In recent years, the export performance of France relative to its own past and relative to a major trading partner, Germany, deteriorated. That deterioration seems related to the trend growth of...

Persistent link: https://www.econbiz.de/10010573327

A medium-N approach to macroeconomic forecasting

Cubadda, Gianluca; Guardabascio, Barbara - In: Economic Modelling 29 (2012) 4, pp. 1099-1105

This paper considers methods for forecasting macroeconomic time series in a framework where the number of predictors, N, is too large to apply traditional regression models but not sufficiently large to resort to statistical inference based on double asymptotics. Our interest is motivated by a...

Persistent link: https://www.econbiz.de/10010573387

An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union

Ammann, Manuel; Odoni, Sandro; Oesch, David - School of Finance, Universität St. Gallen - 2012

) factor model in addition to traditional factor models in international empirical finance research … properties of the European factors are comparable to those of the U.S. factors. Second, we show that the alternative three-factor … model’s explanatory power is either equal or superior to the explanatory power of traditional models when applied to five …

Persistent link: https://www.econbiz.de/10010687544

Socially responsible investing in the global market : the performance of us and European funds

Cortez, Maria Ceu - In: International journal of finance & economics : IJFE 17 (2012) 3, pp. 254-271

Persistent link: https://www.econbiz.de/10015179946