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Article Dans Une Revue IEEE Signal Processing Magazine Année : 2011

Multifactor Models: Examining the potential of signal processing techniques

Emmanuelle Jay
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Serge Darolles
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Arnaud Chretien
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Résumé

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.
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Dates et versions

halshs-00677733 , version 1 (09-03-2012)

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Emmanuelle Jay, Patrick Duvaut, Serge Darolles, Arnaud Chretien. Multifactor Models: Examining the potential of signal processing techniques. IEEE Signal Processing Magazine, 2011, pp.37-48. ⟨10.1109/MSP.2011.000000⟩. ⟨halshs-00677733⟩
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