LIMIT THEOREMS FOR FACTOR MODELS

DOI10.1017/S0266466620000468zbMath1479.62069arXiv1807.06338MaRDI QIDQ5012632

Stanislav Anatolyev, Anna Mikusheva

Publication date: 25 November 2021

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.06338

zbMATH Keywords

limit theoremfactor model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items (2)

Factor models with many assets: strong factors, weak factors, and the two-pass procedure ⋮ Testing many restrictions under heteroskedasticity

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