Extracting Factors from Heteroskedastic Asset Returns

By Jones Christopher
Journal of Financial Economics (2001)

  • Christopher Jones

    University of Southern California

    USA

Created

October 1, 2013

Last update

June 20, 2016

Software

Matlab

Ranking

65

Visits

2348

Downloads

170

Description

This code implements two factor extraction methods: the heteroskedastic factor analysis (HFA) of Jones (2001) and the asymptotic principal components procedure (CK) of Connor and Korajczyk (1986). The HFA method can improve the quality of the extracted factors by allowing for heteroskedastic residuals. Besides, it does not require any extra assumptions to those in CK. The user must specify a T*N matrix of returns and the number of factors to extract. The number of iterations in the optimization process is by default set to 5. The minimum allowable average ideosyncratic standard deviation is by default set equal to .001.

Too Much of a Good Thing?

International Journal of Research in Marketing (2019)

Gaustad Tarje, M. Bendik, Warlop Luk, and Fitzsimons Gavan J.

Evaluating marketplace synergies of ingredient brand alliances

International Journal of Research in Marketing (2018)

Bowman Douglas

Smart Systemic-Risk Scores

Working Paper (2018)

Benoit Sylvain

Shaping Consumer Preference Using Alignable Attributes: The Roles of Regulatory Orientation and Construal Level

International Journal of Research in Marketing (2018)

Sun Jin, Keh Hean Tat, and Lee Angela Y.

Backtesting Expected Shortfall via Multi-Quantile Regression

Working Paper (2018)

Couperier Ophélie and Leymarie Jérémy

Wealth Distribution with Random Discount Factors

Journal of Monetary Economics (2018)

Toda Alexis Akira

2018-09-07

Matlab

810

167

100

Targeting Online Display Ads: Choosing Their Frequency and Spacing

International Journal of Research in Marketing (2018)

Försch Steffen and de Haan Evert

Financial distress, refinancing, and debt structure

Journal of Banking and Finance (2018)

Yin Qie and Dudley Evan

On the Monetary Impact of Fashion Design Piracy

International Journal of Research in Marketing (2018)

Appel Gil, Libai Barak, and Muller Eitan

0 comment

Add comment

You need to log in to post a comment.