Search Results - subject:"factor construction"

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Neural network-based automatic factor construction

Fang, Jie; Lin, Jianwu; Xia, Shutao; Xia, Zhikang; Hu, … - In: Quantitative finance 20 (2020) 12, pp. 2101-2114

Persistent link: https://www.econbiz.de/10012313587

Factoring characteristics into returns : a clinical study on the SMB and HML portfolio construction methods

Lambert, Marie; Fays, Boris; Hübner, Georges - In: Journal of banking & finance 114 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012489144

Multi-factor asset pricing models : factor construction choices and the revisit of pricing factors

Skočir, Matevž; Lončarski, Igor - In: Journal of international financial markets, … 55 (2018), pp. 65-80

Persistent link: https://www.econbiz.de/10011984094

Improved Construction of diffusion indexes for macroeconomic forecasting

Heij, C.; Dijk, D.J.C. van; Groenen, P.J.F. - Erasmus University Rotterdam, Econometric Institute - 2006

. Keywords forecasting, principal components, factor construction JEL classiflcation C32, C53, E17 ⁄Corresponding author … considered lag. 4 2.2 Modifled factor construction The quality of the PCR forecasts depends on the quality of (i) the forecast …

Persistent link: https://www.econbiz.de/10004972197

Improved Construction of diffusion indexes for macroeconomic forecasting

van Dijk, Dick; Groenen, Patrick; Heij, Heij, C. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

This article proposes a modified method for the construction of diffusion indexes in macroeconomic forecasting using principal component regres- sion. The method aims to maximize the amount of variance of the origi- nal predictor variables retained by the diffusion indexes, by matching the data...

Persistent link: https://www.econbiz.de/10010731613