04. April 2023
5 minutes

OLZ publishes another article in international journal

Our Senior Research Analyst Dr. Gianluca De Nard has published his applied research together with Prof. Michael Wolf and Elliot Beck at the University of Zurich on improving factor model inference for financial market analysis in the International Review of Economics and Finance.

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Improved Inference in Financial Factor Models

The empirical research study shows that for the analysis of factor models, such as the CAPM or Fama-French model, not the widely used standard OLS regression should be used, but the newly proposed ALS version. The new adaptive estimation procedure takes into account and controls for heteroskedasticity in the data (residuals) which is particularly pronounced in times of market turbulence. The new procedure allows better testing of factor analyzes for the development and evaluation of investment strategies.

1 Ordinary least squares
2 Adaptive least squares

OLZ Gianluca de Nard.
Dr. Gianluca De Nard
Head of Quantitative Research

Member of the NYU Stern Volatility and Risk Institute in New York City and Senior Research Associate at the Department of Economics at the University of Zurich. Previously, he conducted research as a postdoctoral fellow at Yale University.

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