Browsing FGV EPGE - Ensaios Econômicos 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

Veiga, Alvaro; Souza, Leonardo Rocha
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 ...