Factor selection and structural breaks
Siddhartha Chib and Simon C. Smith
| Year of publication: |
May 31, 2024 ; Draft: May 31, 2024
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|---|---|
| Authors: | Chib, Siddhartha ; Smith, Simon C. |
| Publisher: |
Washington, D.C. : Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board |
| Subject: | Model comparison | Factor models | Structural breaks | Anomaly | Bayesian analysis | Discount factor | Portfolio analysis | Sparsity | Strukturbruch | Structural break | Theorie | Theory | Faktorenanalyse | Factor analysis | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Bayes-Statistik | Bayesian inference | CAPM | Diskontierung | Discounting | Zeitreihenanalyse | Time series analysis |
freely available