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Factor Selection

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDarolles, Serge*
hal.structure.identifier
dc.contributor.authorDuvaut, Patrick*
hal.structure.identifier
dc.contributor.authorJay, Emmanuelle*
dc.date.accessioned2014-06-17T13:30:55Z
dc.date.available2014-06-17T13:30:55Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13494
dc.language.isoenen
dc.subjectcovariance matrix estimationen
dc.subjecteigenfactorsen
dc.subjectempirical ad hoc approachen
dc.subjectfactor selectionen
dc.subjectmultiple signal characterization (MUSIC) algorithmen
dc.subject.ddc332en
dc.subject.classificationjelC.C3.C30en
dc.subject.classificationjelC.C5.C50en
dc.titleFactor Selectionen
dc.typeChapitre d'ouvrage
dc.description.abstractenThis chapter focuses on the empirical ad hoc approach and presents three reference models that are widely used in the literature. These models are all based on the factor representation, but highlight the nature of the factors to be used to explain specific asset class returns. In a section, the authors denote by eigenfactors the factors obtained from the observations using the eigenvector decomposition of the covariance matrix of the returns. The chapter describes some classical techniques, arising from the information theory. It provides complementary sections which provide some light on related problems to this approach such as the estimation of the covariance matrix of the data, the similarity of the approach with subspace methods and the extension of this approach to large panel data.en
dc.identifier.citationpages23–58en
dc.relation.ispartoftitleMulti-factor models and signal processing techniques: application to quantitative financeen
dc.relation.ispartofeditorDarolles, Serge
dc.relation.ispartofeditorDuvaut, Patrick
dc.relation.ispartofeditorJay, Emmanuelle
dc.relation.ispartofpublnameISTE ; J. Wileyen
dc.relation.ispartofpublcityLondon ; Hoboken, NJen
dc.relation.ispartofdate2013
dc.relation.ispartofpages184en
dc.relation.ispartofurlhttp://dx.doi.org/10.1002/9781118577387en
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-1-84821-419-4en
dc.relation.forthcomingnonen
dc.identifier.doi10.1002/9781118577387.ch2en
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.identifierhal-01632873*
hal.version1*
hal.update.actionupdateMetadata*
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