Social Sharing
Extended Viewer
Model Insight - Using Statistical Models to Capture Missing Fundamental Factor Risk - April 2013
Apr 12, 2013
In this Model Insight, we investigate whether statistical models can capture sources of risk that are missing from a fundamental factor model. We also study whether statistical models are more effective at detecting missing factors during periods of market turmoil. We conclude that the statistical model effectively identified sources of risk that were missing from a fundamental model. Furthermore, we show that the strength of these missing factors peaked during times of market turmoil.
Regulation
Cookie Preferences
Accept all cookies
This website uses cookies to remember users and understand ways to enhance their experience.
For more information, please visit our Cookie Notice.
Strictly Necessary, Functionality and Performance Cookies
We use cookies to enable you to move around our website and use its features, to provide you with functionality by remembering choices you make and provide enhanced features, and to learn how our website is performing and make improvements.
For more information, please visit our Cookie Notice.