Chapter 3. Estimation of large dimensional conditional factor models in finance
Year of publication: |
2020
|
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Authors: | Gagliardini, Patrick ; Ossola, Elisa ; Scaillet, Olivier |
Published in: |
Handbook of econometrics : Volume 7A. - Amsterdam : Elsevier, North Holland, ISBN 0-444-63654-4. - 2020, p. 219-282
|
Subject: | Large panel | Factor model | Conditional information | Risk premium | Asset pricing | Emerging markets | CAPM | Risikoprämie | Faktorenanalyse | Factor analysis | Theorie | Theory | Schätzung | Estimation | Schwellenländer | Emerging economies | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Panel | Panel study | Kapitaleinkommen | Capital income |
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