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- W2364113524 abstract "This paper studied the reasonable estimation of factor coefficients when the multi-factor model is used to describe the return rates of financial assets.New methods to estimate factor coefficients were proposed by examining financial implication of factor coefficients and utilizing the Copula theory.Through modeling the joint distribution of each factor and the return rate of the financial asset with the Archimedean Copula function,the new method estimated factor coefficients in two steps:the sign of the coefficient and its occurring probability were first determined by the Kendall's tau;the fluctuation scale of the factor coefficient was then calculated as the ratio of the variation of the financial asset's return rate with respect to the change of each factor.Moreover,the above method was further improved by emphasizing the influence of distribution tails on the factor coefficient,which was done by introducing the tail correlation.Empirical tests were carried out with trading data from Chinese stock markets.The practicality and advantage of our new methods were demonstrated by calculating the R-square value,the mean-square deviation of the random error term,and the corresponding tail mean-square deviation of the determined multi-factor models with different factor coefficient estimation methods,as well as their application to the value-at-risk and conditional value-at-risk calculations of the portfolio.Empirical results show that the improved new method is the best,while the new method is obviously better than the traditional linear regression method." @default.
- W2364113524 created "2016-06-24" @default.
- W2364113524 creator A5085067864 @default.
- W2364113524 date "2013-01-01" @default.
- W2364113524 modified "2023-09-26" @default.
- W2364113524 title "Application of Copula functions in the factor coefficient estimation" @default.
- W2364113524 hasPublicationYear "2013" @default.
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