Gagliardini, Patrick; Gourieroux, Christian - Swiss National Centre of Competence in Research North … - 2008
We consider an homogeneous class of assets, whose returns are driven by an unobservablefactor. We derive approximated prediction and pricing formulas for the future factorvalues and their proxies, when the size n of the class is large. Up to order 1=n, these approximationsinvolve solely...