報告題目：Factor Models with Downside Risk
主 講 人：LORENZO TRAPANI
報告地點：騰訊會議 會議 ID：102 802 779
報告摘要：We propose a conditional model of asset returns in the presence of common factors and downside risk. Specifically, we generalize existing latent factor models in three ways: we allow for downside risk via a threshold specification which allows for the estimation of the ‘disappointment’ event, which therefore does not need to be assumed arbitrarily; we permit different factor structures (and number of factors) in different regimes; we show how to recover the observable factors risk premia from the estimated latent ones in different regimes. The usefulness of this generalized model is illustrated through two applications to cross-sections of asset returns in equity markets and other major asset classes.
主講人介紹： LORENZO TRAPANI is a professor of econometrics at School of Economics,
University of Nottingham. He also acts as the director of Sir Clive Granger Research Centre for Time Series Econometrics. His main research interest includes econometric theory, asymptotic theory, factor models, randomised tests and so on. He has published his work on TOP econometrics and statistics journals such as Journal of Econometrics, Journal of American Statistical Association, Econometric Theory.