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- W2020132756 abstract "Abstract Multi-factor models are useful tools to explain cross-sectional covariance in equities returns. In this paper a new estimation method is proposed that makes use of irregularly spaced returns and an empirical example is provided with the 389 most liquid equities in the Brazilian Market. The market index shows itself capable of explaining equity returns while the US$/Brazilian real exchange rate and the Brazilian short interest rate do not. The example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide interval forecasts." @default.
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- W2020132756 date "2006-10-01" @default.
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- W2020132756 title "Using Irregularly Spaced Returns to Estimate Multi-factor Models: Application to Brazilian Equity Data" @default.
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- W2020132756 doi "https://doi.org/10.1080/13518470600763489" @default.
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