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Persistent link: https://www.econbiz.de/10013167786
We estimate the latent factors in high-dimensional panel non-Gaussian data using Higher-order multi-cumulant Factor Analysis (HFA). HFA consists of an eigenvalue ratio test to select the number of non-Gaussian factors and uses alternating regressions to estimate both Gaussian and non-Gaussian...
Persistent link: https://www.econbiz.de/10013247171
In this paper we present two new composite leading indicators of economic activity in Germany estimated using a dynamic factor model with and without regime switching. The obtained optimal inferences of business cycle turning points indicate that the two-state regime switching procedure leads to...
Persistent link: https://www.econbiz.de/10013320780
This article provides a selective overview of the recent developments in factor models and their applications in econometric learning. We focus on the perspective of the low-rank structure of factor models and particularly draw attention to estimating the model from the low-rank recovery point...
Persistent link: https://www.econbiz.de/10013321975
We survey recent methodological contributions in asset pricing using factor models and machine learning. We organize these results based on their primary objectives: estimating expected returns, factors, risk exposures, risk premia, and the stochastic discount factor, as well as model comparison...
Persistent link: https://www.econbiz.de/10013322001
In this paper a dynamic factor model with mixed frequency is proposed (FaMIDAS), where the past observations of high frequency indicators are used following the MIDAS approach. This structure is able to represent with richer dynamics the information content of the economic indicators and...
Persistent link: https://www.econbiz.de/10013138914
This paper introduces a new methodology to estimate time‐varying alphas and betas in conditional factor models, which allows substantial flexibility in a time‐varying framework. To circumvent problems associated with the previous approaches, we introduce a Bayesian time‐varying parameter...
Persistent link: https://www.econbiz.de/10013232624
Education sector has been identified as a thrust area for growth of the nation with faculty being the major constituent for the dissemination of knowledge. Faculty and their retention have become pertinent for institutions lest they lose them to competitors. The current study has been undertaken...
Persistent link: https://www.econbiz.de/10013232644
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