[PDF] Top 20 Essays on Factor Models, Application to the Energy Markets

... commodity markets at- tributable to the lower correlation with other …nancial assets which provided diversi…cation ...commodity markets is attributable to the general economic situation towards general ... See full document

... dynamic factor model originally proposed by Forni et ...common factor not only for a broad sample of thirty-one commodity futures’ returns but also for subgroups of agriculture, metals, precious metals, ... See full document

... The policy scenarios are implemented in the MAGNET model, a multi-regional, recursive- dynamic, applied general equilibrium model based on neo-classical microeconomic theory (Nowicki et al. 2009, van Meijl et al. 2006). ... See full document

... a factor on a forecast error metric were adopted, that also included 95% confidence ...per factor combination was increased to 100 (30 were used by Zhang et ... See full document

... possibility that an unobserved factor affects the CDS trading and corporate investment relation. In other words, the observed effect on corporate investment might not be a result of CDS trading. To account for ... See full document

... separately factor in inter-cluster variations to better understand individual country experiences with reserve holdings and any generic patterns reflected in the ...section models (just the main effects). ... See full document

... housing markets. Location is the most important factor in determining housing ...residential markets, two housing units in one building share the same location but may still have different ... See full document

... the application of network theory to financial markets has only just ...OTC markets by extending the model in Vives (2011) to games in ...network models to study OTC markets, others ... See full document

... and energy consumer in the world, there has seen a small literature on the relationship between energy price shocks and China’s macroeconomic variables (Tang et ...modeling energy price shocks has ... See full document

... Emerging markets normally give a real challenge to standard econometric models which are initially designed to work with data from more integrated or developed ...volatility models fail to explain ... See full document

... of models including Longstaff’s and Schwartz’s (1995), Leland’s and Toft’s (1996) and Collin – Dufresne’s and Goldstein’s ...a factor to capture cyclical market risk premium Huang and Huang found that for ... See full document

... spillovers transpire. These channels can be broadly categorized into information– based and liquidity supply–based channels. Information–based channels conjecture that, in the presence of correlated or common ... See full document

... market friction, but a number of papers include other preference shocks, that affect marginal utility of consumption (e.g, Rabanal & Rubio-Ramirez, 2005, Khan & Thomas, 2007a) or marginal utility of leisure (e.g. ... See full document

... Papers attempting to measure the relative size of a surprise in a given announcement follow one of two paths. The first is to use some form of econometric modeling to estimate the expected return and then subtract that ... See full document

... In models M2 and M3, we augment model M1 with the two funding liquidity proxies ...sign. Models M4 and M5 investigate the effect of funding illiquidity changes on CDS spread changes when controlling for ... See full document

... In turn, the first order stochastic dominance of wage distributions of cognitive specialists and generalists over distributions of low-skilled and manual specialists has become more pron[r] ... See full document

... Trades in the OTC derivatives market are typically much larger than trades in the exchange-traded derivatives market. In the OTC derivatives market, dealers negotiate directly with each other to tailor the amount and ... See full document

... In this chapter, we empirically tested whether designated sponsors have an influence on magnitude and components of bid-ask spreads on the electronic limit order platform Xetra. We first presented an instrumental ... See full document

... Market efficiency is the backbone of asset pricing and understanding its mechanisms is key in understanding factor investing. Abnormal price reaction around S&P 500 index changes has been considered as strong ... See full document

... O) factor is calculated following Stambaugh and Yuan (2017) using the mispricing score (M ISP ) from Robert Stambaugh’s ...market factor, based on the daily data over the past ... See full document