Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 109 for “"Factor Models"”.
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Essays on Factor Models
… of three chapters describing the applications of factor models in different fields of asset pricing. The first chapter addresses the following issue: Prominent volatility-based factor pricing models focus exclusively on the second moment of asset returns, and hence, tend to identify volatile …
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Modelling conditional covariances with orthogonal factor models
The recent sub prime crisis has resulted in an increased focus on risk management and monitoring in the financial industry. One of the essential components of risk management and monitoring is a reliable ex-ante covariance matrix of various financial time series. Therefore a reliable model which …
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2-Factor Models in Credit and Energy Markets
… and during the credit crisis. In Part B a 2 – factor model with local volatility for oil market is developed. For the first part three structural form models; Merton’s (1974), Leland – Toft (1996) and Longstaff – Schwartz (1995); were implemented using different assumptions for volatility and …
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Bayesian Factor Models for Clustering and Spatiotemporal Analysis
… presents significant analytical challenges. Factor models can offer an effective tool to address issues associated with large-scale datasets. In this dissertation, we propose two novel Bayesian factors models. These models are designed to effectively reduce the dimensionality of the data, as …
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Nowcasting Brazilian GDP: a performance assessment of dynamic factor models
This work compares dynamic factor model’s forecasts for Brazilian GDP. Our approach takes into account mixed frequencies and can handle missing data. We implement three models: the first is based on the Principal Components Analysis methodology; the second employs a two-step estimation method with …
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Geographic and Social Space in Latent Factor Models - Four Essays
… of human interaction. When building statistical models, their consideration is vital: They all cause dependency between individual observations, violating assumptions of independence and exchangeability. While this can be problematic and inhibit the unbiased inference of parameters, it can also …
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Make Some Noise: Methods for Generating Data from Imperfect Factor Models
… studies involving covariance structure models (e.g., the common factor model) have increasingly recognized the importance of incorporating error due to model misfit in simulated data. Incorporating this model error acknowledges that all models are literally false, and no covariance …
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Structure of Aggression among Urban Youth: Competing Factor Models of Subtypes of Physical and Relational Aggression
… vs. relational/social harm) using confirmatory factor analyses. Additionally, this study examined relations between aggression subtypes and hypothesized correlates, including peer deviancy, delinquency, drug use, and social intelligence. Further, this study assessed both the factor structures …
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Revisiting the CAPM and the Fama-French Multi-Factor Models: Modeling Volatility Dynamics in Financial Markets
… is to revisit the CAPM and the Fama-French multi-factor models with a view to evaluate the validity of the probabilistic assumptions imposed (directly or indirectly) on the particular data used. By thoroughly testing the assumptions underlying these models, several departures are found and the …
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Approaches to personality disorder diagnosis: Comparing the cognitive affective processing and the five factor models of personality
… of the situation. This differs from the Five Factor Model (FFM) of personality, in which personality is believed to be composed of five broad trait domains that are observed consistently across multiple situations. This study compares the diagnostic accuracy of 202 licensed members of the …
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What is common may be as important as what is different: examining the general factor shared by dispositional shame and guilt using bi-factor models
… studies, we addressed this issue by employing bi-factor models to examine the general factor shared by shame and guilt, and its relationship to several important personality traits and two broad liability factors of psychopathology (i.e., externalizing and internalizing psychopathology). As …
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Three Essays in Finance
Dynamic factor models for forecasting stock return covariance matrix. Factor models are quite popular for forecasting covariances as they reduce the impact of the idiosyncratic return component on forecasts based on the full sample covariance matrix. I examine empirically whether introducing factor …
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Hedging performance of interest-rate models
… swap market are hedged using two short-rate models, namely the Hull and White (1990) one-factor model and the subsequent Hull and White (1994) two-factor extension. This is achieved by using the equivalent Gaussian additive-factor models (G1++ and G2++) outlined by Brigo and Mercurio (2007). …
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The cost of using misspecified models to exercise and hedge American options on coupon bearing bonds
… investigates the cost of using single-factor models to exercise and hedge American options on South African coupon bearing bonds, when the simulated market term structure is driven by a two-factor model. Even if the single factor models are re-calibrated on a daily basis to the term …
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Essays on comovement
… they find the motivation to use 3- and 4-factor models to estimate excess comovement. Finally, they use PE ratios to test the reason behind the comovement. The first essay (Chapter 2) finds that the univariate betas of 36-46% of our sample of 733 added stocks 1976-2015 decrease each year …
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Collaborative Genre Tagging
… of users in the absence of any metadata. Latent factor models have been used to achieve state-of-the-art accuracy in many CF settings, playing an especially large role in beating the benchmark set in the Netflix Prize in 2008. These models learn latent features for users and items to predict the …
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Essays in asset pricing and international finance
… of data snooping on the performance of linear factor models at explaining asset pricing anomalies. We gather 22 anomalies established in the literature and create three-factor models from sorting firms into portfolios with respect to these anomalies. From 1950-2007, half of the factor models we …
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Risk factors for offending: A developmental approach
… conducted to identify the risk and protective factors for offending primarily in juveniles; however this research has not extended to high security adult offenders who represent the most significant risk to society. This thesis utilised previously researched risk factor models to identify …
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Deep Time: Deep Learning Extensions to Time Series Factor Analysis with Applications to Uncertainty Quantification in Economic and Financial Modeling
… to be utilized in economic and financial factor models in state space form, building on recent developments in the application of neural networks to factor models with applications to financial and economic time series analysis. Finally, we demonstrate the efficacy of the proposed methods …
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