Factor representing portfolios in large asset markets

DOI10.1016/S0304-4076(03)00197-0zbMath1282.91271MaRDI QIDQ2439044

Enrique Sentana

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Kalman filterfactor modelsAPTintertemporal asset pricingbasis portfolios

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Portfolio theory (91G10)

Related Items (8)

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks ⋮ Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation ⋮ Marginalization and contemporaneous aggregation in multivariate GARCH processes ⋮ The uncertainties about the relationships risk-return-volatility in the Spanish stock market ⋮ Factor representing portfolios in large asset markets ⋮ Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios ⋮ A spectral EM algorithm for dynamic factor models ⋮ Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators

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