Using Irregularly Spaced Returns to Estimate Multi-factor Models: Application to Brazilian Equity Data
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DOI: 10.1080/13518470600763489
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- Veiga, Alvaro & Souza, Leonardo Rocha, 2003. "Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 487, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
References listed on IDEAS
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Keywords
Multi-factor model; missing data; irregularly spaced returns;All these keywords.
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