Estimation of large dimensional conditional factor models in finance
Year of publication: |
2020
|
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Authors: | Gagliardini, Patrick ; Ossola, Elisa ; Scaillet, Olivier |
Published in: |
Handbook of econometrics ; Volume 7A. - Amsterdam : Elsevier, North Holland, ISBN 978-0-444-63649-2. - 2020, p. 219-282
|
Subject: | Large panel | Factor model | Conditional information | Risk premium | Asset pricing | Emerging markets | Theorie | Theory | CAPM | Schätzung | Estimation | Risikoprämie | Faktorenanalyse | Factor analysis | Schwellenländer | Emerging economies | Prognoseverfahren | Forecasting model |
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