Dynamic stock selection strategies: A structured factor model framework

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dc.contributor.authorCarvalho, Carlos M
dc.contributor.authorHEDIBERT FREITAS LOPES
dc.contributor.authorAguilar, Omar
dc.coverage.paisReino Unidopt_BR
dc.creatorCarvalho, Carlos M
dc.creatorAguilar, Omar
dc.date.accessioned2022-12-15T18:20:04Z
dc.date.available2022-12-15T18:20:04Z
dc.date.issued2011
dc.description.otherWe propose a novel framework for estimating the time-varying covariation among stocks. Our work is inspired by asset pricing theory and associated developments in Financial Index Models. We work with a family of highly structured dynamic factor models that seek the extraction of the latent struc ture responsible for the cross-sectional covariation in a large set of financial securities. Our models incorporate stock specific information in the estima tion of commonalities and deliver economically interpretable factors that are used both, as a vehicle to estimate large time-varying covariance matrix, and as a potential tool for stock selection in portfolio allocation problems. In an empirically oriented, high-dimensional case study, we showcase the use of our methodology and highlight the flexibility and power of the dynamic factor model framework in financial econometrics.pt_BR
dc.format.extentp. 69-90pt_BR
dc.format.mediumFísicopt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4969
dc.language.isoInglêspt_BR
dc.publisherOxford University Presspt_BR
dc.relation.isreferencedbyBayesian Statisticspt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsDynamic Factor Modelspt_BR
dc.subject.keywordsFinancial Index Modelspt_BR
dc.subject.keywordsPortfolio Selectionpt_BR
dc.subject.keywordsSparse Factor Modelspt_BR
dc.subject.keywordsStructured Loadingspt_BR
dc.titleDynamic stock selection strategies: A structured factor model frameworkpt_BR
dc.typebook part
dspace.entity.typePublication
local.identifier.sourceUrihttp://hedibert.org/wp-content/uploads/2013/12/CLA-2011.pdf
local.subject.cnpqCiências Exatas e da Terrapt_BR
local.typeCapítulo de Livropt_BR
relation.isAuthorOfPublication41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
relation.isAuthorOfPublication.latestForDiscovery41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca

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