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- W2113486661 abstract "The inception of Markowitz's (1952) modern portfolio theory has also fuelled the development of asset pricing models for empirical finance, ranging from linear single-factor models like the capital asset pricing model to fairly complex multi-factor models such as the arbitrage pricing theory (APT). It is well-known in the literature of finance that APT could be used for modelling the underlying security returns generation process. We investigate a generalized version of the APT model, called the macroeconomics modulated independent state-space model, in terms of model specification adequacy as well as its performance on prediction. Empirical results reveal that the model is not only well-specified, but also superior to the temporal factor analysis model in stock price and index forecasting, thanks to its salient capabilities of modelling both short-term and long-term market dynamics." @default.
- W2113486661 created "2016-06-24" @default.
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- W2113486661 date "2003-12-22" @default.
- W2113486661 modified "2023-09-27" @default.
- W2113486661 title "On generalized arbitrage pricing theory analysis: empirical investigation of the macroeconomics modulated independent state-space model" @default.
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- W2113486661 doi "https://doi.org/10.1109/cifer.2003.1196253" @default.
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