http://rdf.ncbi.nlm.nih.gov/pubchem/patent/WO-2012044373-A1
Outgoing Links
Predicate | Object |
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assignee | http://rdf.ncbi.nlm.nih.gov/pubchem/patentassignee/MD5_44183dd395e63c9944d79a68e8615d87 http://rdf.ncbi.nlm.nih.gov/pubchem/patentassignee/MD5_5e2e82607ae602706515dcf2f2d39c8a http://rdf.ncbi.nlm.nih.gov/pubchem/patentassignee/MD5_7fb3ee7a92adff147f2786c5dd19a0b5 http://rdf.ncbi.nlm.nih.gov/pubchem/patentassignee/MD5_449777f4695aa771ee5c5024c6793af7 |
classificationCPCInventive | http://rdf.ncbi.nlm.nih.gov/pubchem/patentcpc/G06Q40-06 http://rdf.ncbi.nlm.nih.gov/pubchem/patentcpc/G06Q40-08 |
classificationIPCInventive | http://rdf.ncbi.nlm.nih.gov/pubchem/patentipc/G06Q40-00 |
filingDate | 2011-05-19-04:00^^<http://www.w3.org/2001/XMLSchema#date> |
inventor | http://rdf.ncbi.nlm.nih.gov/pubchem/patentinventor/MD5_405ad0842443bd1c749461ccf7614a81 http://rdf.ncbi.nlm.nih.gov/pubchem/patentinventor/MD5_199aba304c9df60876e0bc2641cf38de http://rdf.ncbi.nlm.nih.gov/pubchem/patentinventor/MD5_4da45a264e47b7689cdaddeda32b081a |
publicationDate | 2012-04-05-04:00^^<http://www.w3.org/2001/XMLSchema#date> |
publicationNumber | WO-2012044373-A1 |
titleOfInvention | Returns-timing for multiple market factor risk models |
abstract | Until recently, risk models have been built using low frequency data, such as weekly or monthly data. This approach has resulted in a necessary compromise between model stability for which one needs a long history of data, and model responsiveness, for which, the shorter the history, the better. Stability plus responsiveness can be achieved if one uses daily data, which allows for a large number of observations to be used in model estimation without using long out-of-date data. Daily data have other problems, however, as the differing closing times of markets worldwide may induce spurious relationships across model factors. In particular, correlations between markets may appear lower than they truly are due to a market lag effect. To address such issues, a stable, daily data-based factor risk model is described which takes account of the differing market closing times and corrects the model factor correlations and specific returns accordingly. |
isCitedBy | http://rdf.ncbi.nlm.nih.gov/pubchem/patent/WO-2014108763-A1 |
priorityDate | 2010-09-27-04:00^^<http://www.w3.org/2001/XMLSchema#date> |
type | http://data.epo.org/linked-data/def/patent/Publication |
Incoming Links
Total number of triples: 36.