Search Results - subject:"factor structure"

Relationship between service gap and perception for mapping of quality attributes into four service quality factors

Sia, Mal-Kong - In: International Journal of Services, Economics and Management 3 (2011) 1, pp. 36-61

complaints and compliments, have been used to identify its factor structure. This paper proposes the relationship between service …

Persistent link: https://www.econbiz.de/10009353001

The Construct Validity of the Utrecht Work Engagement Scale: Multisample and Longitudinal Evidence

Seppälä, Piia; Mauno, Saija; Feldt, Taru; Hakanen, Jari; … - In: Journal of Happiness Studies 10 (2009) 4, pp. 459-481

Persistent link: https://www.econbiz.de/10005061267

Reduced-Rank Identification of Structural Shocks in VARs

Gorodnichenko, Yuriy - EconWPA - 2005

This paper integrates imposing a factor structure on residuals in vector autoregressions (VARs) into structural VAR …-known problem of studying the effects of monetary policy in open economy VAR models. The use of factor structure in identifying … factor structure on the shocks. …

Persistent link: https://www.econbiz.de/10005126128

Diversification and the Optimal Construction of Basis Portfolios

Lehmann, Bruce N.; Modest, David M. - In: Management Science 51 (2005) 4, pp. 581-598

Nontrivial diversification possibilities arise when a factor model describes security returns. This paper catalogs the merits of alternative strategies for constructing basis portfolios to mimic the common factors. We show how to use the \chi <sup>2</sup> statistic for the joint significance of mean basis...

Persistent link: https://www.econbiz.de/10009197916

The Subjective Well-being Construct: A Test of its Convergent, Discriminant, and Factorial Validity

Arthaud-day, Marne; Rode, Joseph; Mooney, Christine; … - In: Social Indicators Research 74 (2005) 3, pp. 445-476

Persistent link: https://www.econbiz.de/10009403119

Approximate factor structures, macroeconomic and financial factors, unique and stable return generating processes and market anomalies: An empirical investigation of the robustness of the arbitrage pricing theory

Priestley, R - 1994

stocks follow an approximate factor structure and tests of the APT are sensitive to the specified form of the return … generating process. We provide an efficient estimation methodology for the case when stocks follow an approximate factor … structure. The second issue we raise is that of the appropriate factors, the role of the market portfolio and the performance of …

Persistent link: https://www.econbiz.de/10009465549

The Generalized Dynamic Factor Model: Representation Theory

Forni, Mario; Lippi, Marco - C.E.P.R. Discussion Papers - 2000

This paper, along with the companion paper Forni, Hallin, Lippi and Reichlin (1999), introduces a new model-the generalized dynamic factor model-for the empirical analysis of financial and macroeconomic data sets characterized by a large number of observations both cross-section and over time....

Persistent link: https://www.econbiz.de/10005123749

Arbitrage Pricing, Factor Structure, Eigenvectors and all Thatâ€”An Exposition

Luedecke, Bernd P. - In: Australian Journal of Management 11 (1986) 1, pp. 67-85

This paper re-presents the essentials of Ross' (1976) derivation of his Arbitrage Pricing Theory (APT) and explains the empirical implications of recent extensions to the APT due to Chamberlain & Rothschild (1983). The natural statistical methodology for empirically testing Ross' for Mulation is...

Persistent link: https://www.econbiz.de/10010769500

Aspects of the Factor Structure Implicit in the Australian Industrial Equity Market: February 1958 to August 1977

Sinclair, N. A. - In: Australian Journal of Management 9 (1984) 1, pp. 23-36

cases of the Arbitrage Pricing Theory (APT). This paper examines aspects of the factor structure implicit in securities … paribus, the implicit factor structure is consistent with a one factor APT of which the mean-variance CAPM is a special case. …

Persistent link: https://www.econbiz.de/10010769356