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Identification of Factor Models for Forecasting Returns

Identification of Factor Models for Forecasting Returns A data-driven approach for forecasting returns of asset prices is introduced. Special emphasis is given to data-driven specification and to dimension reduction. Specification is performed by a modified AIC, BIC-based An-algorithm. Quasi-static principal component analysis, quasi-static factor models with idiosyncratic errors and reduced rank regression are considered. The forecasting results obtained are compared. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Financial Econometrics Oxford University Press

Identification of Factor Models for Forecasting Returns

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Publisher
Oxford University Press
Copyright
© The Author 2005. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oupjournals.org.
ISSN
1479-8409
eISSN
1479-8417
DOI
10.1093/jjfinec/nbi011
Publisher site
See Article on Publisher Site

Abstract

A data-driven approach for forecasting returns of asset prices is introduced. Special emphasis is given to data-driven specification and to dimension reduction. Specification is performed by a modified AIC, BIC-based An-algorithm. Quasi-static principal component analysis, quasi-static factor models with idiosyncratic errors and reduced rank regression are considered. The forecasting results obtained are compared.

Journal

Journal of Financial Econometrics – Oxford University Press

Published: Jan 1, 2005

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