Determining the number of factors in approximate factor models by twice K-fold cross validation

Jie Wei, Hui Chen

Year of publication:	2020
Authors:	Wei, Jie ; Chen, Hui
Published in:	Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 191.2020, p. 1-6
Subject:	Approximate factor models \| Consistency \| Finite sample performance \| K-fold cross validation \| Faktorenanalyse \| Factor analysis \| Theorie \| Theory \| Panel \| Panel study \| CAPM \| Modellierung \| Scientific modelling

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