Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data

dc.contributorEscolas::EPGE
dc.contributorFGV
dc.creatorSouza, Leonardo Rocha
dc.creatorVeiga, Alvaro
dc.date.accessioned2015-01-05T14:54:47Z
dc.date.accessioned2019-05-22T13:46:48Z
dc.date.available2015-01-05T14:54:47Z
dc.date.available2019-05-22T13:46:48Z
dc.date.created2015-01-05T14:54:47Z
dc.date.issued2002
dc.identifierhttp://hdl.handle.net/10438/13014
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/2686403
dc.description.abstractMulti-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide intervaI forecasts.
dc.languageeng
dc.publisherFundação Getulio Vargas. Escola de Pós-graduação em Economia
dc.relationSeminários de Almoço da EPGE
dc.rightsTodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveis
dc.subjectMulti-Factor ModeI, Missing Data
dc.titleUsing irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data
dc.typeDocumentos de trabajo


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