Dynamic component detection in a multifactor model for stock returns

DOI10.1007/BF02589038zbMath1446.62264OpenAlexW1972561156MaRDI QIDQ3598295

Michele Costa

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02589038

zbMATH Keywords

information criteriadynamic factor analysisasset returns

Mathematics Subject Classification ID

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

Cites Work

• Factor analysis and AIC
• Some identification and estimation results for regression models with stochastically varying coefficients
• Estimating the dimension of a model
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