Title :
Multifactor systematic risk analysis based on Piecewise Mean Reverting model
Author :
Luan Vo ; Xiao-Ping Zhang ; Fang Wang
Author_Institution :
Dept. of Electr. & Comput. Eng., Ryerson Univ., Toronto, ON, Canada
Abstract :
A new Piecewise Mean Reverting (PMR) model is proposed in this paper to capture the time-varying characteristic of the multifactor systematic risk defined by Fama-French three factor model. Simulations and empirical tests based on the multivariate Kalman Filter show that the new model is able to track the systematic risk more accurately compared to the time-invariant or random walk (RW) model.
Keywords :
investment; pricing; risk analysis; time series; Fama-French three factor model; PMR model; multifactor systematic risk analysis; multivariate Kalman filter; piecewise mean reverting model; time-varying characteristic; Analytical models; Computational modeling; Educational institutions; Mathematical model; Risk analysis; Systematics; Time-varying systems;
Conference_Titel :
Global Conference on Signal and Information Processing (GlobalSIP), 2013 IEEE
Conference_Location :
Austin, TX
DOI :
10.1109/GlobalSIP.2013.6737105
