FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST?
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Publication:2842533
DOI10.1142/S0219024913500209zbMath1271.91087OpenAlexW2039264945MaRDI QIDQ2842533
Sergio M. Focardi, Frank J. Fabozzi
Publication date: 15 August 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024913500209
principal component analysisfactor modelsProcrustes analysiscorrelation analysisclassical factor modelcluster-based factor model
Factor analysis and principal components; correspondence analysis (62H25) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)
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