Factor models for asset returns based on transformed factors
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DOI: 10.1016/j.jeconom.2018.09.001
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Cited by:
- Jialiang Li & Yaguang Li & Tailen Hsing, 2022. "On functional processes with multiple discontinuities," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 933-972, July.
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Keywords
Backfitting; Factor models; Generalised maximum likelihood ratio test; Kernel smoothing; Transformed factor;All these keywords.
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