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Lecture 15 Factor Models - MIT OpenCourseWare

Factor ModelsFactor ModelsMIT KempthorneFall 2013 MIT 15: Factor Models1 Factor ModelsLinear Factor ModelMacroeconomic Factor ModelsFundamental Factor ModelsStatistical Factor Models : Factor AnalysisPrincipal Components AnalysisStatistical Factor Models : Principal Factor MethodOutline1 Factor ModelsLinear Factor ModelMacroeconomic Factor ModelsFundamental Factor ModelsStatistical Factor Models : Factor AnalysisPrincipal Components AnalysisStatistical Factor Models : Principal Factor MethodMIT Models2 Factor ModelsLinear Factor ModelMacroeconomic Factor ModelsFundamental Factor ModelsStatistical Factor Models : Factor AnalysisPrincipal Components AnalysisStatistical Factor Models : Principal Factor MethodLinear Factor ModelData:massets/instruments/indexes:i= 1,2.

gis m-variate white noise with: E[ t] = 0. m. Cov[ t] = E[ t 0t] = Cov[ t; 0] = E[ t 0] = 0. t. 0. 8t 6=t. 0. is the (m 2m) diagonal matrix with entries (˙ 2;˙ 2;:::;˙ ) where. 1 2 m ˙ 2 = var( i i;t), the variance of the ith asset speci c factor. The two processes ff. t. gand f t. ghave null cross-covariances: MIT 18.S096. E[(f. t f ...

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