Liu, Fang; Sercu, Piet; Vandebroek, Martina - In: Journal of International Money and Finance 51 (2015) C, pp. 245-263
raw variable itself. For example, the exposure of a stock's return to exchange rate changes is conventionally estimated by … market factor cannot subsume part of the exposure present in a stock's return, and the standard error (se) of the estimate … two-step variant, with the orthogonalization, produce the same exposure estimate, given the sample, their precision must …