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Dokumenttyp:
Masterarbeit 
Autor(en):
Kramlinger , Peter 
Titel:
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...    »
 
Aufgabensteller:
PD Dr. Aleskey Min 
Betreuer:
PD Dr. Aleskey Min 
Jahr:
2015 
Sprache:
de 
Sprache der Übersetzung:
de 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Bearbeitungsende:
16.04.2016