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  • Search: subject:"Dynamic Factor Structure"
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Year of publication
Subject
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Dynamic Factor Structure 2 Asset Pricing 1 Asset Returns 1 Börsenkurs 1 CAPM 1 Capital income 1 Capital market returns 1 Dynamic Principal Components 1 Equilibrium Correction Term 1 Estimation 1 Factor analysis 1 Faktorenanalyse 1 Idiosyncratic Components 1 Kapitaleinkommen 1 Kapitalmarktrendite 1 Large Cross-Sections 1 Portfolio selection 1 Portfolio-Management 1 Risikoprämie 1 Risk premium 1 Schätzung 1 Share price 1 Theorie 1 Theory 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1 Undetermined 1
Author
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Favero, Carlo A. 1 Forni, Mario 1 Lippi, Marco 1 Melone, Alessandro 1
Institution
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C.E.P.R. Discussion Papers 1
Published in...
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CEPR Discussion Papers 1 Working papers / Innocenzo Gasparini Institute for Economic Research 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Asset pricing vs asset expected returning in factor models
Favero, Carlo A.; Melone, Alessandro - 2019 - This version: July, 2019
Persistent link: https://www.econbiz.de/10012110349
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Cover Image
The Generalized Dynamic Factor Model: Representation Theory
Forni, Mario; Lippi, Marco - C.E.P.R. Discussion Papers - 2000
This paper, along with the companion paper Forni, Hallin, Lippi and Reichlin (1999), introduces a new model-the generalized dynamic factor model-for the empirical analysis of financial and macroeconomic data sets characterized by a large number of observations both cross-section and over time....
Persistent link: https://www.econbiz.de/10005123749
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