Notes on the convergence of the estimated risk factor matrix in linear regression models

被引：0

作者：

Riposo, Julien ^{[1
]}

Klepfish, E. G. ^{[1
]}

机构：

[1] Quant Aspects, Quantitat Res, London, England

来源：

JOURNAL OF ASSET MANAGEMENT | 2023年 / 24卷 / 02期

关键词：

D O I：

10.1057/s41260-022-00285-x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A two-step iterative estimation of a risk model, alternating between a cross-sectional and time-series regression, aims to achieve an in-sample consistent representation of risk factors, such that the security exposure matrix input of the cross-sectional step is equal to the output exposure matrix estimated in the subsequent time-series step. The sequence of estimated exposure matrices is proven to converge to a fixed point. The condition for a fixed point is identified and proven necessary and sufficient. The presented mathematical proof of viability of the two-step iterative estimation is complementary to earlier research in this area.

引用

页码：97 / 107

页数：11

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