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About Focardi Sergio
This dissertation examines the theoretical assumptions underlying approximate factor models of financial returns. It argues that static factor models cannot uniquely represent returns due to dynamic factors and price cointegration. The author proposes criteria to determine when approximate factor models apply and introduces dynamic factor and cointegration models to better explain returns. Specifically, the author finds that for large return panels, eigenvalue decay is smooth, violating assumptions for unique static factors. Dynamic effects and price mean-reversion likely cause this, suggesting static models provide only a partial view of return correlations. The dissertation contributes new theoretical perspectives on distinguishing appropriate factor models and represents a step toward more accurately modeling return dynamics.
Detailed Information
| Author: | ['Prasad Hegde'] |
|---|---|
| Publication Year: | 2016 |
| Pages: | 125 |
| Language: | English |
| Format: | |
| Price: | FREE |
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