Factor representing portfolios in large asset markets
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Publication:2439044
DOI10.1016/S0304-4076(03)00197-0zbMath1282.91271MaRDI QIDQ2439044
Publication date: 7 March 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B84: Economic time series analysis
91G10: Portfolio theory
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