LIMIT THEOREMS FOR FACTOR MODELS
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Publication:5012632
DOI10.1017/S0266466620000468zbMath1479.62069arXiv1807.06338MaRDI QIDQ5012632
Stanislav Anatolyev, Anna Mikusheva
Publication date: 25 November 2021
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.06338
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)
Related Items (2)
Factor models with many assets: strong factors, weak factors, and the two-pass procedure ⋮ Testing many restrictions under heteroskedasticity
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