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Mining the factor zoo : estimation of latent factor models with sufficient proxies

Runzhe Wan, Yingying Li, Wenbin Lu, Rui Song
Year of publication:
2024
Authors: Wan, Runzhe ; Li, Yingying ; Lu, Wenbin ; Song, Rui
Subject: High dimensionality | Heavy tails | Low rank | Reduced-rank regression | Faktorenanalyse | Factor analysis | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | Schätzung | Estimation | Bergbau | Mining | Kapitalmarkttheorie | Financial economics
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