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ARBITRAGE PRICING THEORY
1
ASYMPTOTIC PRINCIPAL COMPONENTS
1
TIME VARYING RISK PREMIA
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Faff, Robert W.
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Australian Journal of Management
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A Multivariate Test of an Equilibrium APT with Time Varying Risk Premia in the Australian Equity Market
Faff, Robert W.
- In:
Australian Journal of Management
17
(
1993
)
2
,
pp. 233-258
This paper applies an
asymptotic
principal
components
technique, developed by Connor and Korajczyk (1988), to test an …
Persistent link: https://www.econbiz.de/10010769504
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