Testing mispricing-augmented factor models in an emerging market: A quest for parsimony
Sign Up to like & getrecommendations! Published in 2021 at "Borsa Istanbul Review"
DOI: 10.1016/j.bir.2021.05.002
Abstract: Abstract This study is the first to test a financing-based misvaluation factor (UMO, undervalued-minus-overvalued), first proposed by Hirshleifer and Jiang (2010), for the Pakistani stock market. I find that the UMO factor, long underpriced (repurchase)… read more here.
Keywords: factor models; mispricing augmented; testing mispricing; factor ... See more keywords
Pore-resolving simulations to study the impacts of char morphology on zone II combustion and effectiveness factor models
Sign Up to like & getrecommendations! Published in 2021 at "Combustion and Flame"
DOI: 10.1016/j.combustflame.2021.111405
Abstract: Abstract Combustion and gasification of pulverized char often occur under zone II conditions, in which the rate of conversion depends on both heterogeneous reaction and gas transport within the particle's porous structure. The morphology of… read more here.
Keywords: pore resolving; factor models; particle; effectiveness factor ... See more keywords
Improved damping reduction factor models for different response spectra
Sign Up to like & getrecommendations! Published in 2021 at "Engineering Structures"
DOI: 10.1016/j.engstruct.2021.113012
Abstract: Abstract The rationality and reliability of the damping reduction factor are of great significance to the seismic design of building structures. However, the values of damping reduction factor predicted by the existing models have great… read more here.
Keywords: factor models; damping reduction; improved damping; reduction factor ... See more keywords
Model comparison tests of linear factor models in U.K. stock returns
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DOI: 10.1016/j.frl.2018.05.005
Abstract: This study uses the Bayesian approach of Barillas and Shanken (2018) and the classical approach of Barillas et al. (2018) to conduct model comparison tests of nine linear factor models in U.K. stock returns. The… read more here.
Keywords: linear factor; factor models; models stock; model comparison ... See more keywords
Analysis of risk bounds in partially specified additive factor models
Sign Up to like & getrecommendations! Published in 2019 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2019.02.007
Abstract: Abstract The study of worst case scenarios for risk measures (e.g. the Value at Risk) when the underlying risk vector (or portfolio of risks) is not completely specified is a central topic in the literature… read more here.
Keywords: factor models; partially specified; risk; factor ... See more keywords
Sufficient Forecasting Using Factor Models.
Sign Up to like & getrecommendations! Published in 2017 at "Journal of econometrics"
DOI: 10.1016/j.jeconom.2017.08.009
Abstract: We consider forecasting a single time series when there is a large number of predictors and a possible nonlinear effect. The dimensionality was first reduced via a high-dimensional (approximate) factor model implemented by the principal… read more here.
Keywords: high dimensional; sufficient forecasting; factor models; method ... See more keywords
A robust procedure to build dynamic factor models with cluster structure
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2020.01.004
Abstract: Dynamic factor models provide a useful way to model large sets of time series. These data often have heterogeneity and cluster structure and the formulation and estimation of dynamic factor models should be adapted to… read more here.
Keywords: dynamic factor; factor models; series; cluster structure ... See more keywords
Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2020.11.002
Abstract: Abstract This paper reestablishes the main results in Bai (2003) and Bai and Ng (2006) for generalized factor models, with slightly stronger conditions on the relative magnitude of N (number of subjects) and T (number… read more here.
Keywords: maximum likelihood; factor models; factor augmented; factor ... See more keywords
Early warning systems using dynamic factor models: An application to Asian economies
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Financial Stability"
DOI: 10.1016/j.jfs.2021.100885
Abstract: Abstract This study develops an early warning system for financial crises with a focus on small open economies. We contribute to the literature by developing macro-financial dynamic factor models that extract useful information from a… read more here.
Keywords: warning systems; dynamic factor; factor models; early warning ... See more keywords
Disentangling symptoms of externalizing disorders in children using multiple measures and informants.
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DOI: 10.1037/pas0001053
Abstract: The trait impulsivity theory suggests that a single, highly heritable externalizing liability factor, expressed as temperamental trait impulsivity, represents the core vulnerability for externalizing disorders. The present study sought to test the application of latent… read more here.
Keywords: factor; factor models; externalizing disorders; trait impulsivity ... See more keywords
A Limited Information Estimator for Dynamic Factor Models
Sign Up to like & getrecommendations! Published in 2019 at "Multivariate Behavioral Research"
DOI: 10.1080/00273171.2018.1519406
Abstract: Abstract Structural equation modeling (SEM) is an increasingly popular method for examining multivariate time series data. As in cross-sectional data analysis, structural misspecification of time series models is inevitable, and further complicated by the fact… read more here.
Keywords: dynamic factor; factor models; estimator; limited information ... See more keywords