Showing 1 - 10 of 13
Persistent link: https://www.econbiz.de/10009267244
We propose new generalized method of moments (GMM) estimators for the number of latent factors in linear factor models. The estimators are appropriate for data with a large (small) number of cross-sectional observations and a small (large) number of time series observations. The estimation...
Persistent link: https://www.econbiz.de/10014050472
Persistent link: https://www.econbiz.de/10011348941
Persistent link: https://www.econbiz.de/10001521435
Persistent link: https://www.econbiz.de/10010424823
Persistent link: https://www.econbiz.de/10003487133
Persistent link: https://www.econbiz.de/10011522362
Persistent link: https://www.econbiz.de/10011585551
We propose a new methodology to select a subset of assets for (partial) index replication, based on the latest research on factor models of large dimensions. Our method selects the set of leader stocks that can fully capture the systematic risk of the index to be replicated. Our selection...
Persistent link: https://www.econbiz.de/10012848887
Persistent link: https://www.econbiz.de/10013259499