Constructing multinational macroeconomic factor models: Experience from Europe

P Burns ()
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P Burns: Schroder Salomon Smith Barney

Journal of Asset Management, 2000, vol. 1, issue 2, No 2, 131 pages

Abstract: Abstract This paper covers practical issues involved in the construction of factor models for equities using macroeconomic data. The discussion provides a point of reference for users to evaluate models, as well as aiding those setting about creating such models. Decisions and problems encountered while building a model for Europe are highlighted.

Keywords: Arbitrage Pricing Theory; factor model; robust regression; graphical presentation (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1057/palgrave.jam.2240009

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