Factor Models, Diversification and Efficiency

  • Christian Gouriéroux
Part of the Springer Series in Statistics book series (SSS)


The simultaneous study of several financial or currency series often shows similar evolutions. These can be modelled in two different ways, either introducing underlying series, observable or not, that explain this common evolution or identifying approximated relations satisfied by the series. The first approach leads to factor models similar to the ones introduced in chapter 6, and the second approach leads to techniques like cointegration and codependence.


Factor Model Endogenous Factor Residual Term Factor Representation Arbitrage Opportunity 
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Copyright information

© Springer Science+Business Media New York 1997

Authors and Affiliations

  • Christian Gouriéroux
    • 1
  1. 1.Centre de Recherche en Economie et StatistiqueLaboratoire de Finance-AssuranceMalakoff CedexFrance

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