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Estimating UK factor models using the multivariate skew normal distribution
Adcock, C. J. - In: Linear factor models in finance, (pp. 12-29). 2005
Persistent link: https://www.econbiz.de/10003304023
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Estimating a combined linear factor model
Stroyny, Alvin L. - In: Linear factor models in finance, (pp. 210-225). 2005
Persistent link: https://www.econbiz.de/10003304050
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling asset returns
Kapetanios, George; Pesaran, M. Hashem - In: The refinement of econometric estimation and test …, (pp. 239-281). 2007
Persistent link: https://www.econbiz.de/10003461881
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On the estimation and inference of a panel cointegration model with cross-sectional dependence
Bai, Jushan; Kao, Chihwa - In: Panel data econometrics : theoretical contributions and …, (pp. 1-30). 2006
Persistent link: https://www.econbiz.de/10003331420
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Improved estimation strategy in multi-factor Vasicek model
Ahmed, S. Ejaz; Nkurunziza, Sévérien; Liu, Shuangzhe - In: Statistical inference, econometric analysis and matrix …, (pp. 255-270). 2009
Persistent link: https://www.econbiz.de/10003781036
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Mismeasured and unobserved variables
Schennach, Susanne M. - 2020
Persistent link: https://www.econbiz.de/10012392237