Factor models
Fundamental Factor Models Using Machine Learning
... Fundamental factor models are one of the important methods for the quantit- ative active investors (Quants), so many investors and researchers use funda- mental factor models in their ...
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2-Factor Models in Credit and Energy Markets
... – factor models in the literature on commodity ...one-factor models rely on the spot price. There have been several one-factor models in the literature on commodity ...These ...
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Macroeconomic Risks and Characteristic Based Factor Models
... discount factor and the risk premia are often close to those found on the unconditional test ...discount factor and their risk premia are no longer ...discount factor and also obtains a significant ...
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Factor models and the credit risk of a loan portfolio
... Factor models and the credit risk of a loan portfolio Palombini, Edgardo.[r] ...
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Essays on Factor Models, Application to the Energy Markets
... of factor models and, therefore, my thesis contributes the most to the factor models ...on factor models in the area of developing higher estimator ...years factor model ...
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Estimating factor models for multivariate volatilities : an innovation expansion method
... of factor models for conditional variance (volatility) of a multivariate time ...the factor loading space and the number of factors by a stepwise optimization algorithm on expanding the “white noise ...
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Conditionally heteroskedastic factor models with skewness and leverage effects
... both models drop sharply in the ACHF model compared with the DR (2006) ...(2006) models are of the same magnitude and are significantly lower than the volatility persistence from the (Gaussian) dynamic ...
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Performance of Bayesian Latent Factor Models in Measuring Pricing Errors
... static factor models dominate the literature and they are the most widely used tools to value return on risky ...linear factor structures are only obtained when one imposes strong assumptions on the ...
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When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models
... triangular models where mea- surement error or endogeneity e¤ects one of the ...of models include (i) asset return factor models where one of the factors is either measured inaccurately or an ...
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Detecting big structural breaks in large factor models
... large factor models is to assume the constancy of the factor ...time-varying factor loadings, focused on characterizing the properties of mild instabilities, under which the constructed ...
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Best of the best: a comparison of factor models
... different factor models: the capital asset pricing model (CAPM) of Sharpe (1964) and Lintner (1965); the Fama and French (1993) three-factor (FF3) model; the Fama and French (1993) and Carhart (1997) ...
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Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models
... linear factor models whereby particular factors are increased or decreased in relative importance within the ...customise models and, as such, reflect those factors that the client and modeller may ...
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Testing for one factor models versus stochastic volatility models
... Similar findings to those of A¨ıt-Sahalia (1996) have been also provided by Stanton (1997) and Jiang (1998). Durham (2003) also rejects most of the popular models; in his case rejections are mainly due to ...
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Modelling systemic price cojumps with Hawkes factor models
... our models in their ability of reproducing the multiple jumps of a single stock in a given time window and the cross jumps, ...Hawkes factor model approach, showing how to estimate it and the results ...
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Stochastic Discount Factor Models and the Equity Premium Puzzle
... discount factor, for plausible values of risk aversion, is too low to be consistent with consumption and asset return ...(ii) models with frictions avoid this sensitivity ...the models almost always ...
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Latent Factor Models for Credit Scoring in P2P Systems
... scoring models for connected and not-connected nodes ...imperative factor of bank’s service offering and main determinant of the accuracy of their scoring ...
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Personalized Recommendation of User Comments via Factor Models
... years. For instance, Billsus and Pazanni (2007) de- scribes an approach to build user profile models for adaptive personalization in the context of mobile content access. Their approach is based on a hybrid model ...
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Testing Measurement Invariance for a Second-Order Factor. A Cross-National Test of the Alienation Scale
... confirmatory factor analysis has become the most common technique for assessing measurement ...higher-order factor modeling is less fre- quently discussed in this ...second-order factor ...
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Overview of data-synthesis in systematic reviews of studies on outcome prediction models
... prediction models and prognostic factor ...prognostic factor studies only, or the objective was ...prognostic factor reviews that investigated more than one variable in addition to non- ...
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Network Models for Cognitive Development and Intelligence
... One option is to discard the question. It is remarkable that in thousands of publications on factor models of general intelligence this basic question is largely ignored. In Jensen’s famous book on the ...
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