Exponent of Cross-sectional Dependence for Residuals
Year of publication: |
2018
|
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Authors: | Bailey, Natalia ; Kapetanios, George ; Pesaran, M. Hashem |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | pair-wise correlations | cross-sectional dependence | cross-sectional averages | weak and strong factor models | CAPM and Fama-French factors |
Series: | CESifo Working Paper ; 7223 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1031198946 [GVK] hdl:10419/185421 [Handle] RePec:ces:ceswps:_7223 [RePEc] |
Classification: | C21 - Cross-Sectional Models; Spatial Models ; C32 - Time-Series Models |
Source: |
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Exponent of cross-sectional dependence for residuals
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Exponent of cross-sectional dependence for residuals
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