Decomposing anomalies

DOI10.1016/J.ECONLET.2021.109835zbMath1467.91158OpenAlexW4205819624MaRDI QIDQ2036927

Zhen-Ya Liu, Yifan Zhang, Bo Li, Sabri Boubaker

Publication date: 30 June 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.109835

zbMATH Keywords

asset pricingeigenfunctionfactor modelfunctional principal component analysisanomaly variable

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Uses Software

• fda (R)

Cites Work

• Inference for functional data with applications
• Functional data analysis.
• Common risk factors in the returns on stocks and bonds

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