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| Author: | Ebner, M. Neumann, T. |
| Title: | Time-varying factor models for equity portfolio construction |
| Journal: | European Journal of Finance
2008 : JUL-SEP, VOL. 14:5-6, p. 381-395 |
| Index terms: | portfolio selection estimation time stock returns models factor analysis USA |
| Freeterms: | risk model variance-covariance matrix time-varying estimation stock betas portfolio construction |
| Language: | eng |
| Abstract: | Based on accounts for correlation instabilities in US stock returns and derive VCMs from time-varying factor model estimates.Using three different estimation approaches: (1) moving window least squares, (2) flexible least squares and (3) the random walk model. The paper results suggest that a time-varying estimation of return correlations fits the data considerably better than time-invariant estimation and thus, increases the efficiency of risk estimation and portfolio selection. |
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