Liu, Fang; Sercu, Piet; Vandebroek, Martina - In: Journal of International Money and Finance 51 (2015) C, pp. 245-263
Regressions often use pre-orthogonalized regressors: prior to the main regression, an independent variable xi is regressed upon the other regressor(s), and its residuals are used in the right-hand side of the main regression instead of the raw variable itself. For example, the exposure of a...