Abstract
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.
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© 1997 Springer Science+Business Media New York
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Gouriéroux, C. (1997). Factor Models, Diversification and Efficiency. In: ARCH Models and Financial Applications. Springer Series in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-1860-9_8
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DOI: https://doi.org/10.1007/978-1-4612-1860-9_8
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4612-7314-1
Online ISBN: 978-1-4612-1860-9
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