Identification of Factor Models for Forecasting Returns
A data-driven approach for forecasting returns of asset prices is introduced. Special emphasis is given to data-driven specification and to dimension reduction. Specification is performed by a modified AIC, BIC-based An-algorithm. Quasi-static principal component analysis, quasi-static factor models with idiosyncratic errors and reduced rank regression are considered. The forecasting results obtained are compared. Copyright 2005, Oxford University Press.
Year of publication: |
2005
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Authors: | Deistler, Manfred |
Published in: |
Journal of Financial Econometrics. - Society for Financial Econometrics - SoFiE, ISSN 1479-8409. - Vol. 3.2005, 2, p. 256-281
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Publisher: |
Society for Financial Econometrics - SoFiE |
Saved in:
Online Resource
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