Factor models with many assets : strong factors, weak factors, and the two-pass procedure
Stanislav Anatolyev, Anna Mikusheva
| Year of publication: |
2022
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|---|---|
| Authors: | Anatolyev, Stanislav ; Mikusheva, Anna |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 229.2022, 1, p. 103-126
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| Subject: | Dimension asymptotics | Factor models | Risk premium | Strong and weak factors | Two-pass procedure | Risikoprämie | Theorie | Theory | Faktorenanalyse | Factor analysis | CAPM | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.01.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441835