Showing 1 - 10 of 22
Persistent link: https://www.econbiz.de/10003269313
Persistent link: https://www.econbiz.de/10003996711
Persistent link: https://www.econbiz.de/10011486394
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
Persistent link: https://www.econbiz.de/10001466518
Persistent link: https://www.econbiz.de/10001203220
Persistent link: https://www.econbiz.de/10001768229
Persistent link: https://www.econbiz.de/10015174724
Persistent link: https://www.econbiz.de/10009680399
Persistent link: https://www.econbiz.de/10010356492