Exponent of cross-sectional dependence for residuals (Q2297944)
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scientific article; zbMATH DE number 7170288
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| English | Exponent of cross-sectional dependence for residuals |
scientific article; zbMATH DE number 7170288 |
Statements
Exponent of cross-sectional dependence for residuals (English)
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20 February 2020
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pair-wise correlations
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cross-sectional dependence
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cross-sectional averages
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weak and strong factor models
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CAPM and Fama-French factors
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0.7470192313194275
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0.7422075271606445
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0.726980984210968
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0.7254841327667236
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0.7225745320320129
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