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  • Search: subject:"ASYMPTOTIC PRINCIPAL COMPONENTS"
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Year of publication
Subject
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Asymptotic Principal Components 3 Estimation 3 Estimation theory 3 Factor Model 3 Factor analysis 3 Faktorenanalyse 3 Forecasting model 3 Large-Scale Factor Model 3 Prognoseverfahren 3 Schätztheorie 3 Schätzung 3 ARBITRAGE PRICING THEORY 1 ASYMPTOTIC PRINCIPAL COMPONENTS 1 TIME VARYING RISK PREMIA 1
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Online availability
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Free 2 Undetermined 2
Type of publication
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Article 2 Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 3 Undetermined 1
Author
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Chen, Zhuo 3 Connor, Gregory 3 Korajczyk, Robert A. 3 Faff, Robert W. 1
Published in...
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Australian Journal of Management 1 Review of asset pricing studies 1 Working papers / Department of Economics, Finance and Accounting, NUI Maynooth 1
Source
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ECONIS (ZBW) 3 RePEc 1
Showing 1 - 4 of 4
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A Performance Comparison of Large-n Factor Estimators
Chen, Zhuo - 2018
We evaluate the performance of various methods for estimating factor returns in an approximate factor model. Differences across estimators are most pronounced when there is cross-sectional heteroskedasticity, or when cross-sectional sample sizes, n, are below 4,000 assets. Estimators...
Persistent link: https://www.econbiz.de/10012938133
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A performance comparison of large-n factor estimators
Chen, Zhuo; Connor, Gregory; Korajczyk, Robert A. - 2014
Persistent link: https://www.econbiz.de/10011486394
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A performance comparison of large-n factor estimators
Chen, Zhuo; Connor, Gregory; Korajczyk, Robert A. - In: Review of asset pricing studies 8 (2018) 1, pp. 153-182
Persistent link: https://www.econbiz.de/10012001545
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A Multivariate Test of an Equilibrium APT with Time Varying Risk Premia in the Australian Equity Market
Faff, Robert W. - In: Australian Journal of Management 17 (1993) 2, pp. 233-258
This paper applies an asymptotic principal components technique, developed by Connor and Korajczyk (1988), to test an …
Persistent link: https://www.econbiz.de/10010769504
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