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South Africa Equity Model (SAE3) Research Notes
Oct 2, 2003
Section 1 focuses on the model’s estimation universe and its industry and risk index factors. Section 2 discusses the estimation of the factor model and the refinements that were made. Construction of the covariance matrix and specific risk forecasts are discussed in Section 3, while Section 4 reviews the performance of the model as a whole and compares bias statistics between the two models.
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