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Constructing common-factor portfolios
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2012-04-19)
In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic ...
Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model
(2016-08-23)
This dissertation is aimed at evaluating the risk-return relationship of stocks by incrementing the Fama and French five-factor model (F. FAMA and R. FRENCH, 2015) with two new variables. This was done by creating a ...
Outer Factor 2-D MA Models for Purely Random Fields and Fields and Wold-Tipe Texture Decompositions
(2007-06-29)
In this paper, we propose a new method to compute the parameters of finite approximations of 2-D MA infinite models associated with purely indeterministic stationary fields, by using spectral factorizations. This method ...
Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data
(Escola de Pós-Graduação em Economia da FGV, 2003-06-30)
Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ...
Short communication: Principal components and factor analytic models for test-day milk yield in Brazilian Holstein cattle
(Elsevier B.V., 2012-04-01)
A total of 46,089 individual monthly test-day (TD) milk yields (10 test-days), from 7,331 complete first lactations of Holstein cattle were analyzed. A standard multivariate analysis (MV), reduced rank analyses fitting the ...
Modeling electromagnetic form factors of light and heavy pseudoscalar mesons
(2008-01-01)
The electromagnetic form factors of light and heavy pseudoscalar mesons are calculated within two covariant constituent-quark models, viz., a light-front and a dispersion relation approach. We investigate the details and ...
Comparison of factor-analytic and reduced rank models for test-day milk yield in Gyr dairy cattle (Bos indicus)
(2013-09-27)
We analyzed 46,161 monthly test-day records of milk production from 7453 first lactations of crossbred dairy Gyr (Bos indicus) x Holstein cows. The following seven models were compared: standard multivariate model (M10), ...