Now showing items 1-1 of 1
Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data
(Escola de Pós-Graduação em Economia da FGV, 2003-06-30)
Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ...