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页数:6页
时间:2019-05-27
《TESTS OF GAUSSIAN TEMPORAL FACTOR LOADINGS IN FINANCIAL APT》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库。
1、TESTSOFGAUSSIANTEMPORALFACTORLOADINGSINFINANCIALAPTKaiChunChiuandLeiXuDepartmentofComputerScienceandEngineering,TheChineseUniversityofHongKong,HongKong,P.R.ofChinaE-mail:kcchiu@cse.cuhk.edu.hk(CorrespondingAuthor)lxu@cse.cuhk.edu.hkFaxNo.:+(852)2603-530
2、2ABSTRACTcovariancematrixincreasewithoutboundasthenumberofThemaindifficultyoffinancialAPTanalysisconcernsiden-securitiesinthepopulationincreases,thentheelementsoftifyingunambiguouslythehiddenstatisticalfactors.Lackthecorrespondingkeigenvectorsofthecovaria
3、ncematrixofeffectivetechniquestoretrievethetruefactorsoftenleadscanbeusedasfactorsensitivities.ConnorandKorajczyktoinappropriateinterpretationoftheunderlyingfactorstruc-[7]furthershowthatthisconclusionholdsforthesampleture.Inliterature,PCAandMLFA,assumi
4、ngmultivariatecovariancematrixaswell.Gaussiandistributions,andICA,assumingnon-GaussianHowever,ShuklaandTrzcinka[8]criticizethisapproachdistributions,areusedtoextractfactorsanddeterminetheonthegroundthateigenvectorsbeingusedinsteadofsta-correspondingfact
5、orloadings.Recently,anewtechniquetisticalfactorloadingsinthereturns-generatingmodelforcalledTFAisproposedin[1,2]whichseekstosolvethealargeeconomy,possiblywithinfinitelymanyassets,doesproblemofrotationindeterminacyencounteredinconven-notnecessarilyimplyth
6、attheycanbeusedinacross-sectionaltionalfactoranalysis.Inthispaperwewillfocusonstatisti-modelofsecuritypricinginfiniteeconomies.ThereasoniscaltestsandinferenceontheAPTtemporalfactorloadingsthatPCAisverydifferentfromfactoranalysisincontextofrecoveredbyTFA.
7、finitenumberofsecurities.PCAismoreconstrainedthanfactoranalysisfortheapplicationinAPTbecauseittends1.INTRODUCTIONtooverlookidiosyncraticrisks.Inrecentyears,BackandWeigend[9]applyIndepen-ArbitragePricingTheory(APT)asanassetpricingmodeldentComponentAnalysi
8、s(ICA)tomultivariatefinancialhasattractedconsiderableinterestfrompractitionersinthetimeseriestorecoverstatisticallyindependentnon-GaussianfinancefieldsinceitwasproposedbyRoss[3]in1976.distributedfactors.Itiswell-knownthatICAwillexpl
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