Factor representing portfolios in large asset markets

Journal of Econometrics

Volumn 119, Issue 2, 2004, Pages 257-289

  Sentana, Enrique ^a  

^a CEMFI   (Spain)

Author keywords

APT; Basis portfolios; Factor models; Intertemporal asset pricing; Kalman filter

Indexed keywords

CORRELATION METHODS; KALMAN FILTERING; MATHEMATICAL MODELS; MATRIX ALGEBRA; PARAMETER ESTIMATION; RISK ASSESSMENT; STATISTICAL METHODS;

APT; BASIS PORTFOLIOS; FACTOR MODELS; INTERTEMPORAL ASSET PRICING;

ECONOMICS;

EID: 1642327291     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00197-0     Document Type: Conference Paper

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