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 Identification of Global and Local Shocks in International Financial Markets Via General Dynamic Factor Models written by Matteo Barigozzi and published by . This book was released on 2017 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We employ a two-stage general dynamic factor model to analyze co-movements between returns and between volatilities of stocks from the US, European, and Japanese financial markets. We find two common shocks driving the dynamics of volatilities - one global shock and one US-European shock - and four local shocks driving returns, but no global one. Co-movements in returns and volatilities increased considerably in the period 2007-2012 associated with the Great Financial Crisis and the European Sovereign Debt Crisis. We interpret this finding as the sign of a surge, during crises, of interdependencies across markets, as opposed to contagion. Finally, we introduce a new method for structural analysis in general dynamic factor models which is applied to the identification of volatility shocks via natural timing assumptions. The global shock has homogeneous dynamic effects within each individual market but more heterogeneous effects across them, and is useful for predicting aggregate realized volatilities.
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 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 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 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 The Financial Crisis Inquiry Report written by Financial Crisis Inquiry Commission and published by Cosimo, Inc.. This book was released on 2011-05-01 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.
Download or read book Applied Dynamic Factor Modeling in Finance written by Ross Askanazi and published by . This book was released on 2017 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I study model misspecification in applications of dynamic factor models to finance. In Chapter 1, my co-author Jacob Warren and I examine factors for volatility of equities. Historical literature on the subject decomposes volatility into a factor component and an idiosyncratic remainder. Recent work has suggested that idiosyncratic volatility of US equities data has a factor structure, with the factor highly correlated with, and possibly precisely the market volatility. In this paper we attempt to characterize the underlying factor and find that it can be decomposed into a statistical (PCA) and structural (market volatility) factor. We also show that this feature is not unique to equities, appearing in diverse sets of financial data. Lastly, we find that this dual-factor approach is slightly dominated in forecasting environments by a single statistical factor, suggesting that accurate measurement of the factors provides a direction for future work. In Chapter 2, I explore the use of dynamic factor models in yield curve forecasting and an exploration of the spanning hypothesis--that is, whether all information necessary for forecasting yields is contained in the current yield curve. Only linear tests of the spanning hypothesis are typically conducted in the literature, and the results are subject to substantial disagreement. In this paper, I explore a key modern nonlinearity, namely the zero lower bound (ZLB). I first demonstrate in simulation that only very small nonlinearities in the measurement equation are necessary to break down the assumed linear spanning relationship. Because bond yields are determined by forward-looking behavior of investors, the effect of the ZLB affects spanning results as early as 1995. New nonlinear spanning tests are found to behave appropriately. Using the full set of yields instead of truncating to a small number of principal components is quantitatively important but does not eliminate the omitted nonlinearity effect.
Download or read book Factor Analysis of a Model of Stock Market Returns Using Simulation based Estimation Techniques written by Diana Zhumabekova and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Long Run Equilibrium Relationships in the International Stock Market Factor Systems written by Hyung-Suk Choi and published by . This book was released on 2015 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this paper is to investigate the international linkages among local, country-specific stock market factors in order to better understand the dependence structure of increasingly integrated world financial markets. The seeming discordance between Fama and French (1998) and Griffin (2002) regarding the multi-factor model in the international stock markets motivates us to study the international relationship among local factors. With the individual stock data from the six major developed countries in the international stock market, we compose daily returns to the Fama-French three factors (i.e. market, size, and value) and the momentum factor over the period from January 2000 to June 2010. We investigate the international linkages among local stock market factors, focusing on their equilibrium relationship in the integrated world financial market. The cointegration analysis indicates that local factor indices, constructed from the cumulative factor returns, are cointegrated for each of the four factor classes. Thus, we conclude that local factors are globally bound to each other through a long-run equilibrium relationship and that although stock market factors may be local, rather than global, individual stock returns are driven by common global stochastic trends.
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Download or read book Global Stock Markets written by Wolfgang Drobetz and published by Springer Science & Business Media. This book was released on 2000-10-30 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Download or read book Long run and Short run Modeling of Asset Return Volatility written by Gary Guojun Lee and published by . This book was released on 1994 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Introduction to Econophysics written by Rosario N. Mantegna and published by Cambridge University Press. This book was released on 1999-11-13 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.
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 Proceedings of the 7th International Conference on Economic Management and Green Development written by Xiaolong Li and published by Springer Nature. This book was released on with total page 2095 pages. Available in PDF, EPUB and Kindle. Book excerpt:
