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Spectral Factor Models and Pricing in Financial Markets - BQE Lecture

Spectral Factor Models and Pricing in Financial Markets - BQE Lecture

NYU Tandon School of Engineering via YouTube Direct link

the matrix H

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the matrix H

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Spectral Factor Models and Pricing in Financial Markets - BQE Lecture

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  1. 1 motivation
  2. 2 Wold representation
  3. 3 new basis
  4. 4 the matrix H
  5. 5 change of basis 11
  6. 6 consumption components
  7. 7 spectral factor models
  8. 8 spectral betas
  9. 9 stocks and bonds
  10. 10 aggregation !
  11. 11 agregation and pricing
  12. 12 predictability
  13. 13 economics
  14. 14 conclusions

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