Bayesian analysis of the factor model with finance applications
Publication in refereed journal


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摘要The factor analysis model has been widely applied to study finance problems. The purpose of this paper is to introduce a Bayesian approach for analysing the factor analysis model. The advantages of the proposed Bayesian approach over the classical maximum likelihood rest on its capability to incorporate additional prior information, to determine the number of factors in an objective manner, and to produce parameter and factor score estimates with good statistical properties. Based on recently developed tools in statistical computing, such as the Gibbs sampler and path sampling, methods for obtaining the Bayesian estimates of the parameters and factor scores, and a procedure for computing the Bayes factor for selecting the appropriate number of factors in the model, are developed. The proposed new methodologies are applied to analyse a data set taken from the Hong Kong stock security market. It is found that a three-factor model with a generic market factor can be used to describe the systematic components of asset returns.
著者Lee SY, Poon WY, Song XY
期刊名稱Quantitative Finance
出版年份2007
月份6
日期1
卷號7
期次3
出版社ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
頁次343 - 356
國際標準期刊號1469-7688
電子國際標準期刊號1469-7696
語言英式英語
關鍵詞arbitrage pricing theory (APT); Bayes factor; factor model; factor scores; Gibbs sampler; path sampling
Web of Science 學科類別Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS; Mathematical Methods In Social Sciences; Mathematics; Mathematics, Interdisciplinary Applications; MATHEMATICS, INTERDISCIPLINARY APPLICATIONS; Social Sciences, Mathematical Methods; SOCIAL SCIENCES, MATHEMATICAL METHODS

上次更新時間 2022-17-01 於 00:27