Similar Search Results

Narrow search

Is momentum really momentum?

Novy-Marx, Robert - In: Journal of financial economics 103 (2012) 3, pp. 429-453

Persistent link: https://www.econbiz.de/10009520656

Analyzing business and financial cycles using multi-level factor models

Breitung, Jörg; Eickmeier, Sandra - 2014

This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero …

Persistent link: https://www.econbiz.de/10010373684

Mixed-frequency macro-finance factor models : theory and applications

Andreou, Elena; Gagliardini, Patrick; Ghysels, Eric; … - In: Journal of financial econometrics 18 (2020) 3, pp. 585-628

Persistent link: https://www.econbiz.de/10012316703

International comovements of public debt

Isomitdinov, Hasan; Arčabić, Vladimir; Lee, Junsoo; … - In: Economic inquiry 62 (2024) 2, pp. 722-747

Persistent link: https://www.econbiz.de/10014541511

Feasible weighted projected principal component analysis for semi-parametric factor models

Choi, Sung Hoon - In: The econometrics journal 26 (2023) 2, pp. 215-234

Persistent link: https://www.econbiz.de/10014319342

Which Factor Model? A Systematic Return Covariation Perspective

Ahmed, Shamim; Bu, Ziwen; Symeonidis, Lazaros; … - 2023

We examine which factor model best captures systematic return covariation by focusing on the economic implications for portfolio risk control. The pairwise variance equality test and the model confidence set procedure suggest that the Fama and French (2015) five-factor model, the Barillas and...

Persistent link: https://www.econbiz.de/10014350762