The Out-of-Sample Predictability of Asymmetric Dependence of Portfolio Returns - The Multivariate Copula Distribution Function Approach (포트폴리오 수익률 분포의 비대칭적 의존성의 표본외 예측가능성: Copula 분포함수에 의한 추정)

2021 ◽  
Author(s):  
Hojin Lee
Keyword(s):  
Distribution Function ◽  
Function Approach ◽  
Portfolio Returns ◽  
Asymmetric Dependence ◽  
Out Of Sample ◽  
Multivariate Copula

A distribution function approach to point target resolution

1986 ◽  
Vol 10 (2) ◽  
pp. 153-170 ◽  
Author(s):  
Salvatore D Morgera ◽  
Narendra K Garg
Keyword(s):  
Distribution Function ◽  
Function Approach ◽  
Point Target

A radial-distribution-function approach for predicting rodent carcinogenicity

2006 ◽  
Vol 12 (6) ◽  
pp. 769-780 ◽  
Author(s):  
Aliuska Morales Helguera ◽  
Miguel Ángel Cabrera Pérez ◽  
Maykel Pérez González
Keyword(s):  
Distribution Function ◽  
Radial Distribution Function ◽  
Radial Distribution ◽  
Function Approach ◽  
Rodent Carcinogenicity

Dynamic Factors and Asset Pricing

2010 ◽  
Vol 45 (3) ◽  
pp. 707-737 ◽  
Author(s):  
Zhongzhi (Lawrence) He ◽  
Sahn-Wook Huh ◽  
Bong-Soo Lee
Keyword(s):  
Asset Pricing ◽  
Factor Model ◽  
Dynamic Factor ◽  
Pricing Model ◽  
Portfolio Returns ◽  
Dynamic Factors ◽  
Ex Ante ◽  
Out Of Sample ◽  
Competing Models ◽  
Fama And French

AbstractThis study develops an econometric model that incorporates features of price dynamics across assets as well as through time. With the dynamic factors extracted via the Kalman filter, we formulate an asset pricing model, termed the dynamic factor pricing model (DFPM). We then conduct asset pricing tests in the in-sample and out-of-sample contexts. Our analyses show that the ex ante factors are a key component in asset pricing and forecasting. By using the ex ante factors, the DFPM improves upon the explanatory and predictive power of other competing models, including unconditional and conditional versions of the Fama and French (1993) 3-factor model. In particular, the DFPM can explain and better forecast the momentum portfolio returns, which are mostly missed by alternative models.

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