What are statistical or macroeconomic factors

What are statistical or macroeconomic factors?

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In practice we can select the factors to be statistical or macroeconomic. Here are several possible macroeconomic variables as follows:
• An index level
• GDP development
• An interest rate or may two
• A default spread upon corporate bonds
• An exchange rate.
Statistical variables originate from an analysis of a covariance of asset returns. By this one extracts the factors by several suitable decompositions.

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