Multi-Factor Models and Signal Processing Techniques : Survey and Examples

This paper surveys the existing literature on the most widely-used factor models employed in the realm of financial asset pricing field. Through the concrete application of evaluating risks in the hedge fund industry, this paper demonstrates that signal processing techniques are an interesting alternative to the selection of factors and can provide more efficient estimation procedures than the classical ones

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Year of publication:	2015
Authors:	Emmanuelle, Jay
Other Persons:	Duvaut, Patrick (contributor) ; Darolles, Serge (contributor) ; Chrétien, Arnaud (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Signalling

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Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: IEEE Signal Processing Magazine - Special Issue on Financial Applications, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2011 erstellt
Classification:	C13 - Estimation ; C21 - Cross-Sectional Models; Spatial Models ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013037996