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Study mode:
on
1
motivation
2
Wold representation
3
new basis
4
the matrix H
5
change of basis 11
6
consumption components
7
spectral factor models
8
spectral betas
9
stocks and bonds
10
aggregation !
11
agregation and pricing
12
predictability
13
economics
14
conclusions
Description:
Explore a lecture from the Brooklyn Quant Experience Lecture Series featuring Federico Bandi, the James Carey Endowed Professor and Professor of Finance at Johns Hopkins University's Carey Business School. Delve into topics such as world representation, new basis, the matrix H, change of basis, consumption components, spectral factor models, and spectral betas. Examine the relationships between stocks and bonds, aggregation and pricing, predictability, and economics. Gain insights into quantitative finance and economic modeling through this comprehensive 47-minute presentation delivered at New York University's Department of Finance and Risk Engineering.

Spectral Factor Models and Pricing in Financial Markets - BQE Lecture

New York University (NYU)
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