Canonical correlation-based model selection for the multilevel factors

DOI10.1016/J.JECONOM.2021.09.008OpenAlexW3210587812MaRDI QIDQ2688648

Yanyan Li

Publication date: 3 March 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.09.008

zbMATH Keywords

principal componentscanonical correlation differencemodified canonical correlationsmultilevel asset pricing modelsmultilevel factor models

Mathematics Subject Classification ID

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

Related Items (1)

GrFA

Cites Work

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