Search Results - subject:"factor Models"

Dynamic semiparametric factor models in risk neutral density estimation

Giacomini, Enzo; Härdle, Wolfgang; Krätschmer, Volker - In: AStA Advances in Statistical Analysis 93 (2009) 4, pp. 387-402

Persistent link: https://www.econbiz.de/10008491511

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2009

most promising existing alternatives, namely, factor models, large scale Bayesian VARs, and multivariate boosting …

Persistent link: https://www.econbiz.de/10008528528

Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models

Saidane, Mohamed; Lavergne, Christian - In: Computational Economics 34 (2009) 4, pp. 323-364

Persistent link: https://www.econbiz.de/10008531536

Pooling versus model selection for nowcasting with many predictors: An application to German GDP

Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - C.E.P.R. Discussion Papers - 2009

frequencies and publication delays. Two model classes suited in this context are factor models based on large datasets and mixed …

Persistent link: https://www.econbiz.de/10005123534

A Bayesian Analysis Strategy for Cross-Study Translation of Gene Expression Biomarkers

Lucas, Joseph; Carvalho, Carlos; West, Mike - In: Statistical Applications in Genetics and Molecular Biology 8 (2009) 1, pp. 11-11

human observational data, analysis using sparse latent factor models can yield multiple quantitative factors characterizing …

Persistent link: https://www.econbiz.de/10005246499

Minimizing Loss at Times of Financial Crisis: Quantile Regression as a Tool for Portfolio Investment Decisions

Allen, David E; Singh, Abhay Kumar - School of Business, Edith Cowan University - 2009

The worldwide impact of the Global Financial Crisis on stock markets, investors and fund managers has lead to a renewed interest in tools for robust risk management. Quantile regression is a suitable candidate and deserves the interest of financial decision makers given its remarkable...

Persistent link: https://www.econbiz.de/10009642867

Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives

Papageorgiou, Evan; Sircar, Ronnie - In: Applied Mathematical Finance 16 (2009) 4, pp. 353-383

computing the portfolio loss distribution from the individual firms' default time distributions. Factor models, a widely used …

Persistent link: https://www.econbiz.de/10008609606

Stocks and Mutual Funds: Common Risk Factors?

Matos, Paulo Rogerio Faustino; Rocha, José Alan Teixeira da - In: Brazilian Business Review 6 (2009) 1, pp. 21-41

, using the capital asset pricing model (CAPM) and the factor models developed by Fama and French (1993) and Carhart (1997 … that the factor models perform better in pricing and in-sample forecasting of the returns of funds that outperform the …

Persistent link: https://www.econbiz.de/10010631410

A Multivariate Analysis of Factors Affecting Stock Returns on the JSE

Chimanga, Artwell; Kotze, Danelle - In: The African Finance Journal 11 (2009) 2, pp. 80-96

further explores the sensitivities of the factors identified in bull and bear markets. Evidence supporting the use of multi-factor … models in explaining the return generating process on the JSE is found. The results provide additional support for Van …

Persistent link: https://www.econbiz.de/10008467138

ACCURATE OF VAR CALCULATED USING EMPIRICAL MODELS OF THE TERM STRUCTURE

ABAD, PILAR; BENITO, SONIA - In: International Journal of Theoretical and Applied … 12 (2009) 06, pp. 811-832

: the multi-factor model and the volatility measurement. With respect to multi-factor models, the presented evidence …

Persistent link: https://www.econbiz.de/10008474828