ETF Risk Models

@article{Kakushadze2021ETFRM,
  title={ETF Risk Models},
  author={Zura Kakushadze and Willie Yu},
  journal={Econometric Modeling: Capital Markets - Asset Pricing eJournal},
  year={2021}
}
  • Zura Kakushadze, Willie Yu
  • Published 5 September 2021
  • Economics
  • Econometric Modeling: Capital Markets - Asset Pricing eJournal
We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based on these risk factors by utilizing the heterotic risk model construction of https://ssrn.com/abstract=2600798 (for binary classifications) or general risk model construction of https://ssrn.com/abstract=2722093 (for non-binary classifications). We discuss… 

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