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We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non … immune to estimation dimensionality problems. Simulations show good finite sample properties and significant efficiency gains …
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Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...
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