Search results for "Factor model"

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.

Co-movement of public spending in the G7

2010

Abstract The size of government in the G7 countries in the last fifty years follows a common pattern (see the left panel of Fig. 1 below): it grows in the first three decades, and then turns flat at the beginning of the nineties, for all countries alike. We highlight this common pattern in a dynamic factor model, and argue that a satisfactory explanation for it would be desirable.

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, the authors 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 co-movement of commodity prices.

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…

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.

Interest rate co-movements, global factors and the long end of the term spread

2010

Potential influence of Type A personality on plasma C-reactive protein levels in people with diabetes

2016

IF 4.693; Aim. Type A personality, although classically known as a factor linked to increased vascular risk, has recently been associated with increased survival in patients with diabetes. As low-grade inflammation predicts a poor outcome, the present study explored the potential associations between Type A and plasma levels of C-reactive protein (CRP) in diabetes. Methods. Type A personality was assessed by the Bortner questionnaire in people with diabetes. The association between Type A and plasma CRP levels was examined by multivariable linear regression, and structural equation modelling (SEM) was performed to determine the impact of the major clinical, biological and psychological conf…

The influence of personality on the effect of iTBS after being stressed on cortisol secretion

2019

Over the last years, individualization of repetitive Transcranial Magnetic Stimulation (rTMS) parameters has been a focus of attention in the field of non-invasive stimulation. It has been proposed that in stress-related disorders personality characteristics may influence the clinical outcome of rTMS. However, the underlying physiological mechanisms as to how personality may affect the rTMS response to stress remains to be clarified. In this sham-controlled crossover study, after being stressed by the Trier Social Stress Test, 38 healthy females received two sessions of intermittent theta burst stimulation (iTBS) applied to the left dorsolateral prefrontal cortex. To take possible personali…

Correlation, hierarchies, and networks in financial markets

2010

We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in financial markets. Specifically, we discuss how to define and obtain hierarchical trees, correlation based trees and networks from a correlation matrix. The hierarchical clustering and other procedures performed on the correlation matrix to detect statistically reliable aspects of the correlation matrix are seen as filtering procedures of the correlation matrix. We also discuss a method to associate a hierarchically nested factor model to a hierarchical tre…