Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test
Year of publication: |
2007-06
|
---|---|
Authors: | Ren, Yu ; Shimotsu, Katsumi |
Institutions: | Economics Department, Queen's University |
Subject: | Covariance matrix estimation | Factor models | Finite sample properties | Hansen-Jagannathan distance | Shrinkage method |
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