New answers tagged factor-models
There are a few ways to do this. For example, the FRBNY (google FRBNY and nowcasting) creates a weekly GDP number from monthly and weekly series. You can sift through that to see how they change the time steps. In the past I generated weekly unemployment data (which is a monthly series) from the pattern of weekly unemployment claims or something like ...
Well, there's no absolute thing called a factor. You can make your own factor, say "stocks that begin with the letter 'A'". Or stocks that closed above their previous close. MSCI/Barra sells their factor breakdowns and they have so many different models. USE3L, USE4S, GEM3, US NSTM, etc etc. And they will have different factor breakdowns entirely. ...
This is a much discussesd topic in the litrature, I recommend you to read FF2012: "Size, value, and momentum in international stock returns". Best practice is to create Europe, country or even sector specific factors.
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