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Search: subject:"Asymptotic Principal Components"
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ARBITRAGE PRICING THEORY
1
ASYMPTOTIC PRINCIPAL COMPONENTS
1
Asymptotic Principal Components
1
Estimation
1
Estimation theory
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Factor Model
1
Factor analysis
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Faktorenanalyse
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Forecasting model
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Large-Scale Factor Model
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Australian Journal of Management
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Review of asset pricing studies
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A performance comparison of large-n factor estimators
Chen, Zhuo
;
Connor, Gregory
;
Korajczyk, Robert A.
- In:
Review of asset pricing studies
8
(
2018
)
1
,
pp. 153-182
Persistent link: https://www.econbiz.de/10012001545
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2
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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