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Data frequency and the number of factors in stock returns

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Author Info
Huang, Roger D.
Jo, Hoje
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File URL: http://www.sciencedirect.com/science/article/B6VCY-3YB56S3-15/2/45aaafa8f238750db92a136ff745288d
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 19 (1995)
Issue (Month): 6 (September)
Pages: 987-1003
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:jbfina:v:19:y:1995:i:6:p:987-1003

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  1. Alexei Onatski, 2005. "Determining the number of factors from empirical distribution of eigenvalues," Discussion Papers 0405-19, Columbia University, Department of Economics. [Downloadable!]
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