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Keywords: factor models
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Journal Articles
An augmented macroeconomic linear factor model of South African industrial sector returns
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (5): 517–541.
Published: 30 November 2020
...Jan Jakub Szczygielski; Leon Brümmer; Hendrik Petrus Wolmarans Purpose This study aims to investigate the impact of the macroeconomic environment on South African industrial sector returns. Design/methodology/approach Using standardized coefficients derived from time-series factor models...
Journal Articles
On portfolio optimization: Forecasting asset covariances and variances based on multi-scale risk models
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2016) 17 (3): 295–309.
Published: 16 May 2016
... decompose daily return series of common risk factors and of all stocks listed in the Dow Jones Industrial Index (DJI) from 2000 to 2015 into different time scales to separate short-term noise from long-run trends. Then, the authors apply various (multi-scale) factor models to determine variance-covariance...
