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Model averaging and value-at-risk based evaluation of large multi-asset volatility models for risk management

Pesaran, M. Hashem; Zaffaroni, Paolo - 2005

Persistent link: https://www.econbiz.de/10003224850

Detection of units with pervasive effects in large panel data models

Kapetanios, George; Pesaran, M. Hashem; Reese, S. - In: Journal of econometrics 221 (2021) 2, pp. 510-541

Persistent link: https://www.econbiz.de/10012619248

Factors and risk premia in individual international stock returns

Chaieb, Ines; Langlois, Hugues; Scaillet, Olivier - In: Journal of financial economics 141 (2021) 2, pp. 669-692

Persistent link: https://www.econbiz.de/10013259849

A diagnostic criterion for approximate factor structure

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Journal of econometrics 212 (2019) 2, pp. 503-521

Persistent link: https://www.econbiz.de/10012304081

Chapter 3. Estimation of large dimensional conditional factor models in finance

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Handbook of econometrics : Volume 7A, (pp. 219-282). 2020

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

Persistent link: https://www.econbiz.de/10014024924