Dynamic component detection in a multifactor model for stock returns

DOI10.1007/BF02589038MaRDI QIDQ3598295zbMATH OpenOpenAlexFDO

Authors Michele Costa

Publication date 3 February 2009

Published in Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02589038

zbMATH Keywords

asset returnsdynamic factor analysisinformation criteria

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Estimating the dimension of a model
• Factor analysis and AIC
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• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• Some identification and estimation results for regression models with stochastically varying coefficients

Cited in

(6)

• Measuring the temporary component of stock prices: robust multivariate analysis
• Factor analysis of the Lithuanian equity market indices
• Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds
• scientific article; zbMATH DE number 1961519 (Why is no real title available?)
• Dynamic factor models for multivariate count data: an application to stock-market trading activity
• Synergy frontier of multi-factor stock selection model

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