Selection Between Linear Factor Models and Latent Profile Models Using Conditional Covariances

Multivariate Behavioral Research ◽

10.1080/00273171.2010.532361 ◽

2010 ◽

Vol 45 (6) ◽

pp. 910-934 ◽

Author(s):

Peter F. Halpin ◽

Michael D. Maraun

Keyword(s):

Factor Models ◽

Linear Factor ◽

Latent Profile ◽

Latent Profile Models

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A General Importance Sampling Algorithm for Estimating Portfolio Loss Probabilities in Linear Factor Models

SSRN Electronic Journal ◽

10.2139/ssrn.2556527 ◽

2015 ◽

Author(s):

Alexandre Scott ◽

Adam Metzler

Keyword(s):

Importance Sampling ◽

Factor Models ◽

Sampling Algorithm ◽

Linear Factor ◽

General Importance ◽

Loss Probabilities ◽

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An examination of linear factor models in country equity asset allocation strategies

The Quarterly Review of Economics and Finance ◽

10.1016/s1062-9769(02)00192-8 ◽

2005 ◽

Vol 45 (4-5) ◽

pp. 808-823 ◽

Author(s):

Jonathan Fletcher ◽

Joe Hillier

Keyword(s):

Asset Allocation ◽

Factor Models ◽

Linear Factor ◽

Allocation Strategies

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Analysis of Linear Factor Models with Multivariate Stochastic Volatility for Stock and Bond Returns

SSRN Electronic Journal ◽

10.2139/ssrn.423980 ◽

2003 ◽

Author(s):

Federico Nardari ◽

John T. Scruggs

Keyword(s):

Stochastic Volatility ◽

Factor Models ◽

Linear Factor ◽

Bond Returns ◽

Multivariate Stochastic Volatility

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Tests of risk premia in linear factor models

Journal of Econometrics ◽

10.1016/j.jeconom.2009.01.013 ◽

2009 ◽

Vol 149 (2) ◽

pp. 149-173 ◽

Author(s):

Frank Kleibergen

Keyword(s):

Risk Premia ◽

Factor Models ◽

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Estimation of high-dimensional linear factor models with grouped variables

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2011.10.001 ◽

2012 ◽

Vol 105 (1) ◽

pp. 348-367 ◽

Author(s):

Chris Heaton ◽

Victor Solo

Keyword(s):

Factor Models ◽

High Dimensional ◽

Linear Factor ◽

Grouped Variables

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Linear Factor Models and the Term Structure of Interest Rates

Annales d Économie et de Statistique ◽

10.2307/20076015 ◽

1995 ◽

pp. 37

Author(s):

Clement ◽

Gouriéroux ◽

Monfort

Keyword(s):

Interest Rates ◽

Term Structure ◽

Factor Models ◽

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Valuing information using utility functions: how much should we pay for linear factor models?

European Journal of Finance ◽

10.1080/1351847042000286630 ◽

2005 ◽

Vol 11 (1) ◽

pp. 1-16 ◽

Author(s):

Soosung Hwang ◽

Steve E. Satchell †

Keyword(s):

Factor Models ◽

Utility Functions ◽

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When a Factor is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models

SSRN Electronic Journal ◽

10.2139/ssrn.1931648 ◽

2011 ◽

Author(s):

Todd Prono

Keyword(s):

Factor Models ◽

Conditional Heteroskedasticity ◽

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A First Approach to Hedge Fund Replication - Linear Factor Models and Time Series Replication Models

Alternative Beta Strategies and Hedge Fund Replication ◽

10.1002/9781119207108.ch6 ◽

2015 ◽

pp. 157-181

Keyword(s):

Time Series ◽

Factor Models ◽

Linear Factor ◽

Hedge Fund Replication

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Model comparison tests of linear factor models in U.K. stock returns

Finance Research Letters ◽

10.1016/j.frl.2018.05.005 ◽

2019 ◽

Vol 28 ◽

pp. 281-291 ◽

Author(s):

Jonathan Fletcher

Keyword(s):

Stock Returns ◽

Model Comparison ◽

Factor Models ◽

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