Showing 1 - 10 of 41,478
This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...
Persistent link: https://www.econbiz.de/10009674269
Persistent link: https://www.econbiz.de/10000035495
Persistent link: https://www.econbiz.de/10000540418
Persistent link: https://www.econbiz.de/10000048286
Persistent link: https://www.econbiz.de/10000048306
Persistent link: https://www.econbiz.de/10000050245
Persistent link: https://www.econbiz.de/10000053110
Persistent link: https://www.econbiz.de/10002834309
new results as well as a textbook for graduate courses on Market Microstructure Theory, Empirical Methods in Finance or …
Persistent link: https://www.econbiz.de/10001851227
Persistent link: https://www.econbiz.de/10001699919