Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Title "Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data"

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

Souza, Leonardo Rocha; Veiga, Alvaro
2002

Multi-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 ...