Augmented factor models with applications to validating market risk factors and forecasting bond risk premia (Q2658786)

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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
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    Augmented factor models with applications to validating market risk factors and forecasting bond risk premia (English)
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    24 March 2021
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    heavy tails
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    forecasts
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    principal components
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    identification
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