Fuentes S.M., Rodrigo; Gregoire C., Jorge; Zurita L., … - In: El Trimestre Económico LXXIII (1) (2006) 289, pp. 125-138
This paper follows the macroeconomic variables tradition of the APT of Ross (1976a), which has the advantage (in comparison with the Factor Analysis approach) of allowing an economic interpretation of both the common factors and the risk premia. Similar to Burmeister and McElroy (1988), we...