Investigating the Common Latent Component in Stock Returns: Systematic and Systemic Risk Factors

Hayette Gatfaoui

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Abstract: Section 2 introduces the Kalman filter and related EM estimation. Section 3 introduces the data under consideration as well as their statistical properties while section 4 employs Kalman econometric method under our financial network (i.e systematic risk level). Specifically, we consider both US and French data samples. Further investigation is undertaken in section 5 while investigating a common component in both French and US common latent factors (i.e systematic risk level). The impact of systemic return component on French and U.S asset returns is also analyzed. Finally, section 6 draws some concludind remarks and open points for future research.

Date: 2010-07-01
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Published in Bankers Markets & Investors : an academic & professional review, 2010, n°107, pp. 20-44

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00565524

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