Factor models with many assets: strong factors, weak factors, and the two-pass procedure

DOI10.1016/j.jeconom.2021.01.002OpenAlexW3127370983MaRDI QIDQ2673198

Anna Mikusheva, Stanislav Anatolyev

Publication date: 9 June 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.04094

zbMATH Keywords

factor modelsrisk premiumdimension asymptoticsstrong and weak factorstwo-pass procedure

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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