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Persistent link: https://www.econbiz.de/10005122910
Integrating the two steps of an arbitrage pricing theory (APT) model leads to a reduced rank regression (RRR) model. So the results on RRR can be used to estimate APT models, making estimation very simple. The authors give a succinct derivation of estimation of RRR, derive the asymptotic...
Persistent link: https://www.econbiz.de/10005430153