Download or read book A Multi dynamic factor Model for Stock Returns written by Victor K. Ng and published by . This book was released on 1991 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Factor Model and Predictability of Stock Returns written by Alexandre Kopoin and published by . This book was released on 2013 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Structural Dynamic Factor Model for Daily Global Stock Market Returns written by Oliver Linton and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by OUP USA. This book was released on 2011-07-08 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Download or read book Bayesian Statistics 9 written by José M. Bernardo and published by Oxford University Press. This book was released on 2011-10-06 with total page 717 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian statistics is a dynamic and fast-growing area of statistical research and the Valencia International Meetings provide the main forum for discussion. These resulting proceedings form an up-to-date collection of research.
Download or read book A Latent Factor Model with Global Country and Industry Shocks for International Stock Returns written by Mr.Marco Del Negro and published by INTERNATIONAL MONETARY FUND. This book was released on 2005-03-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by the extent to which firms operate across countries. We show that portfolios consisting of stocks with low exposures to country shocks achieve substantial variance reduction relative to the global market, both in- and out-of-sample. The shock exposures are thus a stock-selection device for international portfolio diversification.
Download or read book Nominal Contracting Effects on Common Stock Returns written by Edward Elias Zakkak and published by . This book was released on 1985 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract.
Download or read book Time Series in High Dimension the General Dynamic Factor Model written by Marc Hallin and published by World Scientific Publishing Company. This book was released on 2020-03-30 with total page 764 pages. Available in PDF, EPUB and Kindle. Book excerpt: Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.
Download or read book Estimation and Optimization of Linear Multi factor Models of Stock Returns and Detection of an Underlying Regime switching Process in the Models written by Kristina Krsteva and published by . This book was released on 2014 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2016 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Factor models can cope with many variables without running into scarce degrees of freedom.
Download or read book Factor Structure of Cross Sectional Stock Returns written by Yuxiao Jiao and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a unsupervised learning approach to construct latent factor model for cross sectional asset returns where firm characteristics instrument for the dynamic factor exposures. Firm characteristics are clustered with consideration to their prior economic content. Our method can also be viewed as a constrained version of Instrumented Principal Components Analysis (IPCA) model by Kelly et al (2019). We apply the method to a set of 94 firm characteristics to form clustered factor models. The model outperforms all benchmark models, and outperforms IPCA latent factor model out-of-sample.
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Download or read book Asset Management written by Andrew Ang and published by Oxford University Press, USA. This book was released on 2014 with total page 717 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stocks and bonds? Real estate? Hedge funds? Private equity? If you think those are the things to focus on in building an investment portfolio, Andrew Ang has accumulated a body of research that will prove otherwise. In this book, Ang upends the conventional wisdom about asset allocation by showing that what matters aren't asset class labels but the bundles of overlapping risks they represent.
Download or read book Dynamic Factors and the Source of Momentum Profits written by Tong Yao and published by . This book was released on 2006 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses the dynamic principal component method to estimate a dynamic factor model for stock returns and identify the source of momentum profits. We find that momentum is a systematic-return phenomenon - momentum profits are primarily due to stock return response to a small number of dynamic systematic factors, and the contribution by the idiosyncratic component of stock return is statistically insignificant. We also find that the estimated dynamic factors can be partially related to observed economic factors.
Download or read book Multi factor Models and Signal Processing Techniques written by Serges Darolles and published by John Wiley & Sons. This book was released on 2013-08-02 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages “embedded” quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented “risk assessment-based” practices. This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an interesting alternative to the selection of factors (both fundamentals and statistical factors) and can provide more efficient estimation procedures, based on lq regularized Kalman filtering for instance. With numerous illustrative examples from stock markets, this book meets the needs of both finance practitioners and graduate students in science, econometrics and finance. Contents Foreword, Rama Cont. 1. Factor Models and General Definition. 2. Factor Selection. 3. Least Squares Estimation (LSE) and Kalman Filtering (KF) for Factor Modeling: A Geometrical Perspective. 4. A Regularized Kalman Filter (rgKF) for Spiky Data. Appendix: Some Probability Densities. About the Authors Serge Darolles is Professor of Finance at Paris-Dauphine University, Vice-President of QuantValley, co-founder of QAMLab SAS, and member of the Quantitative Management Initiative (QMI) scientific committee. His research interests include financial econometrics, liquidity and hedge fund analysis. He has written numerous articles, which have been published in academic journals. Patrick Duvaut is currently the Research Director of Telecom ParisTech, France. He is co-founder of QAMLab SAS, and member of the Quantitative Management Initiative (QMI) scientific committee. His fields of expertise encompass statistical signal processing, digital communications, embedded systems and QUANT finance. Emmanuelle Jay is co-founder and President of QAMLab SAS. She has worked at Aequam Capital as co-head of R&D since April 2011 and is member of the Quantitative Management Initiative (QMI) scientific committee. Her research interests include SP for finance, quantitative and statistical finance, and hedge fund analysis.
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Download or read book Testing the Fama and French Three Factor Model and its Variants for the Indian Stock Returns written by Bhavna Bahl and published by . This book was released on 2006 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: I empirically study the Fama and French three-factor model of stock returns along with its variants, including the one-factor Capital Asset Pricing Model for 79 stocks listed on the BSE-100 stock market index for India. These sample stocks are split into six portfolios sorted on size and book-to-market equity ratio. The factor portfolios that explain the returns are the market factor, size factor (SMB) and value factor (HML). I find strong evidence for the market factor in all the portfolios, it being regarded with having highest explanatory power. The SMB and HML factors can not be clearly ranked in this regard. On the basis of the adjusted R², I confirm that the three-factor model captures better the common variation in the stock returns than the CAPM, the average adjusted R² being 87% for the former model and 76% for the latter model. I further carry out a joint test on the constant term in the portfolio regressions using the GRS test statistic, checking for any abnormal returns that are not captured by the factor portfolios. Using this statistic, I again find that the three-factor model of Fama and French fairs better in explaining the cross-section of returns in the portfolios than its variants and the CAPM. I have also checked for any seasonal effects that could be present in the sample and have found none.
