Identification of Factor Models for Forecasting Returns

Manfred Deistler

Journal of Financial Econometrics, 2005, vol. 3, issue 2, 256-281

Abstract: A data-driven approach for forecasting returns of asset prices is introduced. Special emphasis is given to data-driven specification and to dimension reduction. Specification is performed by a modified AIC, BIC-based An-algorithm. Quasi-static principal component analysis, quasi-static factor models with idiosyncratic errors and reduced rank regression are considered. The forecasting results obtained are compared. Copyright 2005, Oxford University Press.

Date: 2005
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