Advanced search
Publication Cover
Statistics
A Journal of Theoretical and Applied Statistics
Volume 53, 2019 - Issue 3
Submit an article Journal homepage
173
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

A misspecification test for the higher order co-moments of the factor model

Wanbo LuSchool of Statistics, Southwestern University of Finance and Economics, Chengdu, People's Republic of ChinaCorrespondence[email protected]
View further author information
,
Dong YangSchool of Statistics, Southwestern University of Finance and Economics, Chengdu, People's Republic of China;Solvay Business School, Vrije Universiteit Brussel, Brussel, BelgiumView further author information
&
Kris BoudtSolvay Business School, Vrije Universiteit Brussel, Brussel, Belgium;School of Business and Economics, Vrije Universiteit Amsterdam, Amsterdam, NetherlandsView further author information
Pages 471-488 | Received 20 Jan 2018, Accepted 06 Jan 2019, Published online: 17 Jan 2019

References

  • Boudt K, Peterson B, Croux C. Estimation and decomposition of downside risk for portfolios with non-normal returns. J Risk. 2008;11:79–103. doi: 10.21314/JOR.2008.188
  • Boudt K, Carl P, Peterson B. Asset allocation with conditional value-at-risk budgets. J Risk. 2013;15:39–68. doi: 10.21314/JOR.2013.258
  • Boudt K, Cornilly D, Verdonck T. A coskewness shrinkage approach for estimating the skewness of linear combinations of random variables. J Financ Econom, forthcoming.
  • Boudt K, Cornilly D, Verdonck T. Nearest comoment estimation with unobserved factors. 2018. Available from SSRN: https://ssrn.com/abstract=3087336.
  • Jondeau E, Rockinger M. Optimal portfolio allocation under higher moments. Eur Financ Manag. 2006;12:29–55. doi: 10.1111/j.1354-7798.2006.00309.x
  • Martellini L, Ziemann V. Improved estimates of higher-order comoments and implications for portfolio selection. Rev Financ Stud. 2010;23:1467–1502. doi: 10.1093/rfs/hhp099
  • Boudt K, Lu WB, Peeters B. Higher order comoments of multi factor models and asset allocation. Financ Res Lett. 2015;13:225–233. doi: 10.1016/j.frl.2014.12.008
  • Brandt MW, Santalara P, Valkanov R. Parametric portfolio policies: exploiting characteristics in the cross-section of equity returns. Rev Financ Stud. 2009;22:3411–3447. doi: 10.1093/rfs/hhp003
  • Fama EF, French KR. Common risk factors in the returns on stocks and bonds. J Financ Econ. 1993;33:153–193. doi: 10.1016/0304-405X(93)90023-5
  • Fama EF, French KR. A five-factor asset pricing model. J Financ Econ. 2015;116:1–22. doi: 10.1016/j.jfineco.2014.10.010
  • Cragg J, Donald S. Inferring the rank of a matrix. J Econom. 1997;76:223–250. doi: 10.1016/0304-4076(95)01790-9
  • Bai JS, Ng S. Determining the number of factors in approximate factor models. Econometrica. 2002;70:191–221. doi: 10.1111/1468-0262.00273
  • Ahn SC, Horenstein AR. Eigenvalue ratio test for the number of factors. Econometrica. 2013;81:1203–1227. doi: 10.3982/ECTA8968
  • Harvey CR, Liechty JC, Liechty MW, et al. Portfolio selection with higher moments. Quant Financ. 2010;10:469–485. doi: 10.1080/14697681003756877
  • Randles RH. On the asymptotic normality of statistics with estimated parameters. Ann Stat. 1982;10:462–474. doi: 10.1214/aos/1176345787
  • Carl P, Peterson B, Performance analytics: econometric tools for performance and risk analysis. R package version 1.5.2.
  • Cornilly D, Peterson B, Performance analytics estimation of higher order moments. Mimeo.
  • Hájek J, Šidák Z, Sen PK. Theory of rank tests. San Diego (CA): Academic Press; 1967.
  • Iman RL, Conover WJ. A distribution-free approach to inducing rank correlation among input variables. Commun Stat–Simul C. 1982;11:311–334. doi: 10.1080/03610918208812265
  • Boudt K, Cornelissen J, Croux C. The Gaussian rank correlation estimator: robustness properties. Stat Comput. 2012;22:471–483. doi: 10.1007/s11222-011-9237-0
  • Fernández C, Steel MFJ. On Bayesian modeling of fat tails and skewness. J Am Stat Assoc. 1998;93:359–371.
  • Lambert P, Laurent S, Modelling financial time series using GARCH-type models and a skewed Student density. Stat Discussion; 2001; Belgium: Université Catholique de Louvain.
  • Sharpe WF. A simplified model for portfolio analysis. Manag Sci. 1963;9:277–293. doi: 10.1287/mnsc.9.2.277

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.