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Estimation risk and shrinkage in vast-dimensional fundamental factor models

Vlodrop, Andries C. van; Lucas, André - 2018

We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental factor models (FFMs). FFMs are the typical benchmark in the asset management industry and depart from the usual statistical factor models and the factor models with observed...

Persistent link: https://www.econbiz.de/10011949129

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called...

Persistent link: https://www.econbiz.de/10012025262

Revisiting vulnerable growth in the euro area : identifying the role of financial conditions in the distribution

Szendrei, Tibor; Varga, Katalin - In: Economics letters 223 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014234171

An AI approach to measuring financial risk

Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - In: The Singapore economic review 68 (2023) 5, pp. 1529-1549

Persistent link: https://www.econbiz.de/10014436192

Estimating contagion mechanism in global equity market with time-zone effect

Wu, Boyao; Huang, Difang; Chen, Muzi - In: Financial management : FM 52 (2023) 3, pp. 543-572

Persistent link: https://www.econbiz.de/10014375506

Japan's output gap estimation and l 1 trend filtering

Yamada, Hiroshi; Jin, Lan - In: Empirical economics : a journal of the Institute for … 45 (2013) 1, pp. 81-88

Persistent link: https://www.econbiz.de/10009779247

Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy

Callot, Laurent; Kristensen, Johannes Tang - 2014

) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are … finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with … of non zero increments grows slower than √T . By simulation experiments we investigate the properties of the Lasso and …

Persistent link: https://www.econbiz.de/10010433901

Estimating global bank network connectedness

Demirer, Mert; Diebold, Francis X.; Liu, Laura; … - 2015

We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top …

Persistent link: https://www.econbiz.de/10011309448

Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation

Callot, Laurent; Kristensen, Johannes Tang - 2015

high dimensional by construction and sparse by assumption, is estimated using the Lasso. We apply this method to the …

Persistent link: https://www.econbiz.de/10010532582

Asset pricing with a general multifactor structure

Ando, Tomohiro; Bai, Jushan - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 556-604

Persistent link: https://www.econbiz.de/10011339275