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Artificial Neural Networks 1 Artificial intelligence 1 CAPM 1 Conditioning Information 1 Estimation 1 Factor analysis 1 Faktorenanalyse 1 Forecasting model 1 IV-Schätzung 1 Instrumental Variables 1 Instrumental variables 1 Künstliche Intelligenz 1 Large Panel 1 Machine Learning 1 Neural networks 1 Neuronale Netze 1 Panel 1 Panel study 1 Post-Lasso 1 Prognoseverfahren 1 Schätzung 1 Theorie 1 Theory 1 Unobservable Factors 1
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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English 1
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Gagliardini, Patrick 1 Ma, Hao 1
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Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
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Extracting statistical factors when betas are time-varying
Gagliardini, Patrick; Ma, Hao - 2019 - This version: July 2019
This paper deals with identification and inference on the unobservable conditional factor space and its dimension in large unbalanced panels of asset returns. The model specification is nonparametric regarding the way the loadings vary in time as functions of common shocks and individual...
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