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。

On the other hand, the more important thing is because the urban housing is a kind of heterogeneity products.

另一方面，更重要的是由于城市住房是一种异质性产品。

Climate histogram is the fall that collects place measure calm value, cent serves as cross axle for a few equal interval, the area that the frequency that the value appears according to place is accumulated and becomes will be determined inside each interval, discharge the graph that rise with post, also be called histogram.

气候直方图是将所收集的降水量测定值，分为几个相等的区间作为横轴，并将各区间内所测定值依所出现的次数累积而成的面积，用柱子排起来的图形，也叫做柱状图。