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Document type:
Masterarbeit 
Author(s):
Kramlinger , Peter 
Title:
Determining the Number of Factors in Approximate Factor Models 
Abstract:
In the context of large factor models, the classical tools for model selection such as the Akaike and Bayesian Information Criteria (AIC and BIC), deliver, in general, biased estimators for the true number of factors in the model. The present thesis deals with asymptotic consistent model selection criteria for the true number of factors that were presented by Bai and Ng in 2002. Thus, the thesis covers the process of estimating the factors by principal components and it is shown that these estim...    »
 
Supervisor:
PD Dr. Aleskey Min 
Advisor:
PD Dr. Aleskey Min 
Year:
2015 
Language:
de 
Language from translation:
de 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
TUM Institution:
Lehrstuhl für Finanzmathematik 
End of processing:
16.04.2016