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We develop a probabilistic variant of Partial Least Squares (PLS) we call Probabilistic Targeted Factor Analysis (PTFA), which can be used to extract common factors in predictors that are useful to predict a set of predetermined target variables. Alo
Externí odkaz:
http://arxiv.org/abs/2412.06688
Autor:
Herculano, Miguel C.
Frazzini and Pedersen (2014) Betting Against Beta (BAB) factor is based on the idea that high beta assets trade at a premium and low beta assets trade at a discount due to investor funding constraints. However, as argued by Campbell and Vuolteenaho (
Externí odkaz:
http://arxiv.org/abs/2409.00416
Publikováno v:
In Journal of Empirical Finance September 2023 73:134-152
Akademický článek
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Autor:
Herculano, Miguel C.
I examine the relevance of contagion in explaining financial distress in the US banking system by identifying the component of bank level probabilities that is due to contagion. Identification is achieved after controlling for macrofinancial and bank
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::fe21425809daf7c6aeb3037e0e654fa6
https://hdl.handle.net/10419/193588
https://hdl.handle.net/10419/193588