The Forecasting performance of the Factor model with Martingale Difference errors
带鞅差误差的因子模型的预测表现
This paper analyses the forecasting performance of a new class of factor models with martingale difference errors (FMMDE) recently introduced by Lee and Shao (2018). The FMMDE makes it possible to retrieve a transformation of the original series so that the resulting variables can be partitioned according to whether they are conditionally mean-independent with respect to past information. We contribute to the literature in two respects. First, we propose a novel methodology…