scholarly journals A Two-Way Transformed Factor Model for Matrix-Variate Time Series

2021 ◽  
Author(s):  
Zhaoxing Gao ◽  
Ruey S. Tsay
Keyword(s):  
Time Series ◽  
Factor Model

scholarly journals The Impact of Model Uncertainty on Index-Based Longevity Hedging and Measurement of Longevity Basis Risk

Risks ◽  
2020 ◽  
Vol 8 (3) ◽  
pp. 80
Author(s):  
Uditha Balasooriya ◽  
Johnny Siu-Hang Li ◽  
Jackie Li
Keyword(s):  
Time Series ◽  
Model Selection ◽  
Model Uncertainty ◽  
Factor Model ◽  
Common Factor ◽  
Weighted Average ◽  
Pension Plan ◽  
Basis Risk ◽  
Common Factor Model ◽  
The Impact

We investigate the impact of model uncertainty on hedging longevity risk with index-based derivatives and assessing longevity basis risk, which arises from the mismatch between the hedging instruments and the portfolio being hedged. We apply the bivariate Lee–Carter model, the common factor model, and the M7-M5 model, with separate cohort effects between the two populations, and various time series processes and simulation methods, to build index-based longevity hedges and measure the hedge effectiveness. Based on our modeling and simulations on hypothetical scenarios, the estimated levels of hedge effectiveness are around 50% to 80% for a large pension plan, and the model selection, particularly in dealing with the computed time series, plays a very important role in the estimation. We also experiment with a modified bootstrapping approach to incorporate the uncertainty of model selection into the modeling of longevity basis risk. The hedging results under this approach may approximately be seen as a “weighted” average of those calculated from the different model candidates.

scholarly journals The Effect of Firm Profitability on Expected Stock Return in ASEAN Stock Market

2021 ◽  
Vol 25 (3) ◽  
pp. 642-655
Author(s):  
Nathania Clara ◽  
Sung Suk Kim
Keyword(s):  
Time Series ◽  
Stock Returns ◽  
Stock Return ◽  
Time Series Data ◽  
Factor Model ◽  
Total Sample ◽  
Series Data ◽  
Operating Profit ◽  
Firm Profitability ◽  
Expected Stock Returns

This research discusses and analyzes the company's profitability related to the company's stock return performance Profitability of the firm is related to the firm's performance of stock return. This study uses time-series data with a total sample of 1,010 firms from five countries in ASEAN (Indonesia, Thailand, Malaysia, Philippines, and Vietnam) from January 2010 to December 2019. Fama-French 3 factor model based on two different profitability showed that profitability positively affects the stock return in ASEAN markets. Fama-MacBeth's (1973) regression confirms that firm profitability scaled by operating profit-to-equity or operating profit-to-assets positively influences expected stock returns in the ASEAN market.DOI: 10.26905/jkdp.v25i3.5598

scholarly journals Modelling and forecasting GDP using factor model: An empirical study from Bosnia and Herzegovina

2020 ◽  
Vol 6 (1) ◽  
pp. 10-26
Author(s):  
Ademir Abdić ◽  
Emina Resić ◽  
Adem Abdić
Keyword(s):  
Time Series ◽  
Factor Model ◽  
Principal Component ◽  
Developed Countries ◽  
Sample Period ◽  
Final Choice ◽  
Out Of Sample ◽  
Total Variability ◽  
The Given ◽  
Orthogonal Varimax Rotation

AbstractIn the most developed countries the first estimations of Gross Domestic Product (GDP) are available 30 days after the end of the reference quarter. In this paper, possibilities of creating an econometric model for making short-term forecasts of GDP in B&H have been explored. The database consists of more than 100 daily, monthly and quarterly time series for the period 2006q1-2016q4. The aim of this study was to estimate and validate different factor models. Due to the length limit of the series, the factor analysis included 12 time series which had a correlation coefficient with a quarterly GDP at the absolute value greater than 0.8. The principal component analysis (PCA) and the orthogonal varimax rotation of the initial solution were applied. Three principal components are extracted from the set of the series, thus together accounting for 73.34% of the total variability of the given set of series. The final choice of the model for forecasting quarterly B&H GDP was selected based on a comparative analysis of the predictive efficiency of the analysed models for the in-sample period and for the out-of-sample period. The unbiasedness and efficiency of individual forecasts were tested using the Mincer-Zarnowitz regression, while a comparison of the accuracy of forecast of two models was tested by the Diebold-Mariano test. We have examined the justification of a combination of two forecasts using the Granger-Ramanathan regression. A factor model involving three factors has shown to be the most efficient factor model for forecasting quarterly B&H GDP.

The Relationships of Prior Information and Interval Partition on the Forecasting Effect of Fuzzy Time Series Two-Factor Model

2014 ◽  
Vol 509 ◽  
pp. 159-164
Author(s):  
Yueh Ju Lin ◽  
Chi Chen Wang
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Foreign Exchange ◽  
Prior Information ◽  
Factor Model ◽  
Auxiliary Variable ◽  
Factor Models ◽  
Fuzzy Time Series ◽  
Optimum Number ◽  
Data Sets

This study uses two data sets, Taiwanese export values as the prediction varialbe and its foreign exchange spot rates as the auxiliary variable, to discuss two forecasting issues in the fuzzy time series analysis by using One-and Two-factor models. First, disregarding the length of information period, when window basis is two, a better forecasting result is obtained. Second, the optimum number of partition equal intervals is to select 14 intervals to have the smallest MSE in all models. However, if partitioning the information into more than 14 equal intervals, MSE can not be reduced but presents a waving pattern.

Long-run equity performance of firms that restate financial statements

2019 ◽  
Vol 46 (1) ◽  
pp. 92-108
Author(s):  
Gisung Moon ◽  
Hongbok Lee ◽  
Doug Waggle
Keyword(s):  
Time Series ◽  
Factor Model ◽  
Abnormal Returns ◽  
Financial Statements ◽  
Regression Analyses ◽  
Time Series Regression ◽  
Content Type ◽  
Long Run ◽  
Abnormal Performance ◽  
Three Factor

Purpose The authors investigate how the stock market reacts to financial restatements using the restatements data from the United States Government Accountability Office (GAO-06-678). In particular, the purpose of this paper is to examine the long-run equity performance of the restating firms, for holding periods of one to five years after the announcements of restatements. Design/methodology/approach This paper measures the long-run stock performance of restating firms with the buy-and-hold abnormal returns and time-series regression analyses based on Fama–French’s (1993) three-factor model and Carhart’s (1997) four-factor model. Findings The authors find that restating firms significantly underperform in the long run compared with their peers matched by industry, size and book-to-market. Restating firms’ underperformance is confirmed with time-series regression analyses based on Fama–French’s (1993) three-factor model and Carhart’s (1997) four-factor model. Further, the authors find the negative long-run abnormal performance of restating firms is primarily driven by large firms. The authors also report that self-prompted restatements and improper revenue accounting-triggered restatements result in worse long-run abnormal performance. Originality/value This paper is the first paper that thoroughly investigates the long-run stock returns of the firms that restate financial statements by fully considering the size effect.

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