NFA FOR FACTOR NUMBER DETERMINATION IN APT

DOI10.1142/S021902490400244XMaRDI QIDQ4653011zbMATH OpenOpenAlexFDO

Authors Kai-Chun Chiu, Lei Xu

Publication date 28 February 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902490400244x

zbMATH Keywords

arbitrage pricing theoryBYY harmony learningfactor analysismodel selectionstatistical tests

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

Recommendations

• Deriving the arbitrage pricing theory when the number of factors is unknown
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• A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets

Cites work

• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• scientific article; zbMATH DE number 3185328 (Why is no real title available?)
• Temporal BYY learning for state space approach, hidden Markov model, and blind source separation

Cited in

(2)

• scientific article; zbMATH DE number 1927179 (Why is no real title available?)
• Finding the relevant risk factors for asset pricing

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