Factor models for asset returns based on transformed factors
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Publication:1739597
DOI10.1016/j.jeconom.2018.09.001zbMath1452.62777arXiv1605.01214OpenAlexW2964342908WikidataQ129139473 ScholiaQ129139473MaRDI QIDQ1739597
Wenyang Zhang, Efang Kong, Jia-Liang Li
Publication date: 26 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.01214
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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