search query: @author Jones, C.S. / total: 2
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| Author: | Jones, C.S. |
| Title: | Extracting factors from heteroskedastic asset returns |
| Journal: | Journal of Financial Economics
2001 : NOV, VOL. 62:2, p. 293-325 |
| Index terms: | ASSETS FACTOR ANALYSIS HETEROSCEDASTICITY STOCK MARKETS |
| Language: | eng |
| Abstract: | This paper proposes an alternative to the asymptotic principal components procedure of Connor and Korajczyk (J. Financial Econom. 15 (1986) 373) that is robust to time series heterskedasticity in the factor model residurals. The new method is simple to use and requires no assumptions stronger than those made by Connor and Korajczyk. It is demonstrated through simulations and analysis of actual stock market data that allowing heterskedasticity sometimes improves the quality of the extracted factors quite dramatically. |
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