Factor representing portfolios in large asset markets

DOI10.1016/S0304-4076(03)00197-0zbMath1282.91271MaRDI QIDQ2439044

Enrique Sentana

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Kalman filter; factor models; APT; intertemporal asset pricing; basis portfolios

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B84: Economic time series analysis

91G10: Portfolio theory

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