A diagnostic criterion for approximate factor structure
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Publication:2330733
DOI10.1016/j.jeconom.2019.06.001zbMath1452.62909arXiv1612.04990OpenAlexW3121949285WikidataQ127679321 ScholiaQ127679321MaRDI QIDQ2330733
Elisa Ossola, Patrick Gagliardini, Olivier Scaillet
Publication date: 23 October 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.04990
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25)
Related Items (8)
Factor models with local factors -- determining the number of relevant factors ⋮ Factor models with many assets: strong factors, weak factors, and the two-pass procedure ⋮ A penalized two-pass regression to predict stock returns with time-varying risk premia ⋮ Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models ⋮ Identifying latent factors based on high-frequency data ⋮ Large dimensional latent factor modeling with missing observations and applications to causal inference ⋮ Bridging factor and sparse models ⋮ Unrestricted maximum likelihood estimation of multivariate realized volatility models
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