因子模型

this paper introduces the development of the theory of asset pricing, mainly of random discount factor model.

本文简要介绍了资产定价理论的发展，主要分析了随机折现因子模型。

Assessing specification errors in stochastic discount factor models.

评估随机贴现因子模型的规格错误。

Random matrices; empirical spectral distribution function; Stieltjes transform; convergence rate; factor model; time series

基础科学，数学，概率论、数理统计随机矩阵；经验谱分布； Stieltjes变换；收敛速度；因子模型；时间序列

Moreover, we find the first and second factors are the real indictors and the third factor is the price indictor.

此外利用动态因子模型所产生的十二个因子当中，我们发现第一个与第二个因子可以表示为实质指标，而第三个因子可以表示为物价指标。

What 's more, the effect of skewness on Fama-French three-factor model is much smaller than that on CAPM.

并且偏态因素对三因子模型的影响远不如对传统CAPM的影响。

PCA is to perform the variable transformation, whereas factor analysis needs to form a factor model.

主元分析只是进行一定的变量变换，而因子分析则需构成因子模型。

The assuption that independence between different sector risk factors is an obvious drawback of the original CreditRisk+ model. The amened model such as the single factor model, the compound gamma CreditRisk+ model and the two stage CreditRisk+ model still have their own problems.

行业风险因子之间相互独立的假设是原CreditRisk+模型的明显缺陷，随后对其进行修正的单因子模型、复合Gamma CreditRisk+模型和两阶段CreditRisk+模型仍存在问题。

Finally, the empirical result of the single systemic factor model showed that the common factor Z had periodicity existed; that is to say, if Z was negative in average within the first quarter, then that meant the overall economic situation in that quarter was not good, and affected every enterprises credit ratings declining.

最后，单一因子模型的实证发现，共同因子存在一个周期性，即每年的第一季Z均为负，表示该季总体经济状况不好，使得平均每一家企业的信用评等均下降，每年的二四季Z均为正，表示这三季的总体经济状况良好，使得平均每一家企业的信用评等提升。

Introducing volatility index in French etal(1987) and based on the above four-factor model, we bring forward a new perspective to discuss idiosyncratic risk, and we also bring forward a new model of intra-day liquidity to investigate the corresponding risk premium.

引入了French et al（1987）波动率指标，基于因子模型给出了一种考察个股风险的新视角，同时提出了一种新的刻划日内流动性风险模型，来研究流动性风险的风险溢价。

Considering the complexity of models, this research recommenced using 6-factors model.

经检验，此2种模型的模拟精度均较高，考虑到模型的复杂性等，研究中推荐使用6因子模型。

Means the parent directory, so this command means to execute "toolchain.sh," which is in the current directory.

代表父目录，所以这个命令就是执行当前目录下的"toolchain.sh"。

Yes,In fact,I'm on our city ream.

是的。事实上我是我们市队的。