NFA FOR FACTOR NUMBER DETERMINATION IN APT

DOI10.1142/S021902490400244XzbMath1088.91052OpenAlexW2066729054MaRDI QIDQ4653011

Kai-Chun Chiu, Lei Xu

Publication date: 28 February 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902490400244x

zbMATH Keywords

model selectionfactor analysisstatistical testsarbitrage pricing theoryBYY harmony learning

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
• Temporal BYY learning for state space approach, hidden Markov model, and blind source separation
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

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