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A performance comparison of large-n factor estimators
Chen, Zhuo; Connor, Gregory; Korajczyk, Robert A. - 2014
Persistent link: https://www.econbiz.de/10011486394
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A Performance Comparison of Large-n Factor Estimators
Chen, Zhuo - 2018
We evaluate the performance of various methods for estimating factor returns in an approximate factor model. Differences across estimators are most pronounced when there is cross-sectional heteroskedasticity, or when cross-sectional sample sizes, n, are below 4,000 assets. Estimators...
Persistent link: https://www.econbiz.de/10012938133
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Confidence intervals in regressions with estimated factors and idiosyncratic components
Fosten, Jack - In: Economics letters 157 (2017), pp. 71-74
Persistent link: https://www.econbiz.de/10011847312
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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
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Tests of equal accuracy for nested models with estimated factors
Gonçalves, Sílvia; McCracken, Michael W.; Perron, Benoit - In: Journal of econometrics 198 (2017) 2, pp. 231-252
Persistent link: https://www.econbiz.de/10011818789
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Factor-based forecasting in the presende of outliers : are factors better selected and estimated by the median than by the mean?
Kristensen, Johannes Tang - 2012
Persistent link: https://www.econbiz.de/10009546012
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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data
Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015
The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic variables without a priori assumptions concerning causality and generate forecasts without additional assumptions regarding regressors. With application of tendency survey data...
Persistent link: https://www.econbiz.de/10010512536
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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data
Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015
The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...
Persistent link: https://www.econbiz.de/10011349021
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Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
Veredas, David - 2013
We introduce an approximate dynamic factor model for modeling and forecasting large panels of realized volatilities. Since the model is estimated by means of principal components and low dimensional maximum likelihood, it does not suffer from the curse of dimensionality. We apply the model to a...
Persistent link: https://www.econbiz.de/10013092430
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The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk
Bianchi, Stephen - 2019
In this article, the authors measure the impact of estimation error on latent factor model forecasts of portfolio risk … find that an estimation period of 250 days may be adequate to accurately forecast risk and factor exposures for an equally … an estimation period of 1000 days. This underscores the importance of testing risk models on optimized portfolios …
Persistent link: https://www.econbiz.de/10012903199