Search results for "Factor model"
showing 10 items of 28 documents
Illiquidity Risk and the Long-Run Underperformance of Seasoned Equity Issues in the Spanish Market
2008
This paper presents new evidence on potential risk-based explanations for the low SEO returns in the year after the issue. Specifically, we analyse whether the issue leads to a long-term higher stock liquidity that implies that SEO stocks have lower expected return due to lower exposure to liquidity risk factor. Therefore, we investigate if Spanish SEO firms experience significant changes in long-term liquidity after the issue. Results suggest that SEO-firm liquidity increases significantly in the year after the issue. Finally, we explore the post-performance of SEO firms explicitly accounting for liquidity risk. In particular, we employ the three factor model by Fama and French (1993) exte…
Transdiagnostic dimensions of psychopathology at first episode psychosis: findings from the multinational EU-GEI study.
2019
Background\ud The value of the nosological distinction between non-affective and affective psychosis has frequently been challenged. We aimed to investigate the transdiagnostic dimensional structure and associated characteristics of psychopathology at First Episode Psychosis (FEP). Regardless of diagnostic categories, we expected that positive symptoms occurred more frequently in ethnic minority groups and in more densely populated environments, and that negative symptoms were associated with indices of neurodevelopmental impairment.\ud \ud Method\ud This study included 2182 FEP individuals recruited across six countries, as part of the EUropean network of national schizophrenia networks st…
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
2009
Abstract In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997–1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data
2008
The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest the use of the principal component methodology of Stock and Watson [Stock, J.H., Watson, M.W., 2002. Macroeconomic forecasting using diffusion indices. Journal of Business and Economic Statistics, 20, 147–162] for the stochastic volatility factor model discussed by Harvey, Ruiz, and Shephard [Harvey, A.C., Ruiz, E., Shephard, N., 1994. Multivariate Stochastic Variance Models. Review of Economic Studies, 61, 247–264]. We provide theoretical and Monte Carlo results on this method and apply it to S&P data.
Primary Commodity Prices: Co-movements, Common Factors and Fundamentals
2011
The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, we document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on the co-movement of commodity prices.
Interest rate co-movements, global factors and the long end of the term spread
2010
Faktoru modeļu priekšrocības ekonomiskās aktivitātes īstermiņa prognozēšanā
2014
Promocijas darba anotācija Pēdējā desmitgadē Latvijas tautsaimniecības attīstība bijusi īpaši svārstīga, kas sarežģīja ekonomiskās politikas lēmumu pieņemšanu ekonomiskās situācijas stabilizēšanai. Lai atvieglotu lēmumu pieņemšanu, ekonomisko aktivitāti īstermiņā var prognozēt ar ekonometriskiem modeļiem. Promocijas darba mērķis ir novērtēt faktoru modeļu priekšrocības ekonomiskās aktivitātes prognozēšanas kontekstā un noteikt Latvijas gadījumā nepieciešamo instrumentu un metožu klāstu īstermiņa prognozēšanai. Promocijas darbā tiek sniegtas atbildes uz faktoru modeļu lietošanas problēmjautājumiem īstermiņa prognozēšanā, kā arī novērtēti daži faktoru modeļu lietošanas aspekti. Faktoru modeļu…
Traits and emotions
2000
This paper reviews literature on traits and emotions focusing on both structure and management, or 'having' and 'doing'. The cognitive perspective of this paper implies that traits and emotions are viewed as provisions to frame people and their behaviours in situations in meaningful ways. The focus on the structure of traits thus implies considering the now broadly acknowledged Big Five model as a dimensional framework by which traits of people can be meaningfully organized. A similar position is taken with respect to emotions, given the recurrent finding of a two-dimensional model of emotions with Positive Affect and Negative Affect (PA and NA). Maintaining relevant distinctions between tr…
Harmonization of Neuroticism and Extraversion phenotypes across inventories and cohorts in the Genetics of Personality Consortium:an application of I…
2014
Mega- or meta-analytic studies (e.g. genome-wide association studies) are increasingly used in behavior genetics. An issue in such studies is that phenotypes are often measured by different instruments across study cohorts, requiring harmonization of measures so that more powerful fixed effect meta-analyses can be employed. Within the Genetics of Personality Consortium, we demonstrate for two clinically relevant personality traits, Neuroticism and Extraversion, how Item-Response Theory (IRT) can be applied to map item data from different inventories to the same underlying constructs. Personality item data were analyzed in >160,000 individuals from 23 cohorts across Europe, USA and Australia…
Interest rate co-movements, global factors and the long end of the term spread
2012
The disconnect between rising short and low long interest rates has been a distinctive feature of the 2000s. Both research and policy circles have argued that international forces, such as global monetary policy (e.g. Rogoff, 2006); international business cycles (e.g. Borio and Filardo, 2007); or a global savings glut (e.g Bernanke, 2005) may be responsible. In this paper, we employ recent advances in panel data econometrics to document the disconnect and link it explicitly to the existence of a global latent factor that dominates the long end of the term spread for the recent period; the saving glut story emerges as the most likely contender for the global factor.