Narrow search
Showing 1 - 10 of 6,380
Cover Image
A factor model for co-movements of commodity prices
West, Kenneth D.; Wong, Ka-fu - In: Journal of international money and finance 42 (2014), pp. 289-309
Persistent link: https://www.econbiz.de/10010372655
Cover Image
Real-time forecasting in a data-rich environment
Liebermann, Joe͏̈lle - 2012
Persistent link: https://www.econbiz.de/10010219898
Cover Image
Forecasting stock returns with large dimensional factor models
Giovannelli, Alessandro; Massacci, Daniele; Soccorsi, … - 2020
Persistent link: https://www.econbiz.de/10012299362
Cover Image
Robustness and the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting
Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - In: International journal of forecasting 37 (2021) 4, pp. 1520-1534
Persistent link: https://www.econbiz.de/10013274311
Cover Image
On the robustness of the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting
Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - 2019
Persistent link: https://www.econbiz.de/10012179660
Cover Image
International Propagation of Shocks : A Dynamic Factor Model Using Survey Forecasts
Lahiri, Kajal - 2018
This paper studies the pathways for the propagation of shocks across G7 and major Asia-Pacific countries using multi-horizon forecasts of real GDP growth from 1995 to 2017. We show that if the forecasts are efficient in the long run, results obtained using the forecasts are comparable to those...
Persistent link: https://www.econbiz.de/10012911318
Cover Image
Mortality forecasting using factor models : time-varying or time-invariant factor loadings?
He, Lingyu; Huang, Fei; Shi, Jianjie; Yang, Yanrong - In: Insurance / Mathematics & economics 98 (2021), pp. 14-34
Persistent link: https://www.econbiz.de/10012545273
Cover Image
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Cover Image
Multi-level factor analysis of bond risk premia
Kim, Dukpa; Kim, Yunjung; Bak, Yuhyeon - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 5, pp. 1-19
Persistent link: https://www.econbiz.de/10011897566
Cover Image
Equity factor predictability
Carl, Ulrich - In: Essays in equity portfolio management, (pp. 1-47). 2016
Alle Kapitel dieser Doktorarbeit beleuchten das Thema Aktienfaktoren, allerdings aus unterschiedlichen Perspektiven. Das zentrale Ziel ist es, zum Verständnis von einigen der ältesten und anerkanntesten Aktienfaktoren beizutragen. Das erste Kapitel geht über die Vorhersagbarkeit von...
Persistent link: https://www.econbiz.de/10011575893