Multifactor Models : Examining the potential of signal processing techniques
Jay, Emmanuelle; Duvaut, Patrick; Darolles, Serge; Chretien, Arnaud (2011), Multifactor Models : Examining the potential of signal processing techniques, IEEE Signal Processing Magazine, 28, 5, p. 37-48. http://dx.doi.org/10.1109/MSP.2011.941550
Type
Article accepté pour publication ou publiéDate
2011Journal name
IEEE Signal Processing MagazineVolume
28Number
5Publisher
Institute of Electrical & Electronics Engineers
Pages
37-48
Publication identifier
Metadata
Show full item recordAbstract (EN)
This article surveys the existing literature on the most widely used factor models employed in the realm of a financial asset pricing field. Through the concrete application of evaluating risks in the hedge fund industry, this article demonstrates that signal processing techniques are an interesting alternative to the selection of factors and can provide more efficient estimation procedure than classical techniques.Subjects / Keywords
Multifactor Models; signal processing techniques; Hedge fundsRelated items
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