STAT244.Lecture.05.06 7

STAT244.Lecture.05.06 7 - Factor Model Rt = Bft at N stocks...

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Factor Model I R t = α + Bf t + a t ; N stocks, K -factors; Cov ( a t ) = Σ. I I Industrial production I Yield spread between high risk and low risk corporate bonds I Difference between short and long term interest rate I Unanticipated inflation
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This note was uploaded on 10/16/2010 for the course STAT 244 taught by Professor Dr.velu during the Summer '10 term at Stanford.

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