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A reduced rank regression approach to tests of asset pricing

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Author Info
Michele Costa ()
Attilio Gardini ()
Paolo Paruolo

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File URL: http://amsacta.cib.unibo.it/archive/00002212/01/Quaderni_ricerche_1992_ReducedRankRegression.pdf
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Paper provided by Department of Statistics, University of Bologna in its series Quaderni di Dipartimento with number 5.

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Date of creation: 1992
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Handle: RePEc:bot:quadip:48

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References listed on IDEAS
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  1. Chan, K. C. & Chen, Nai-fu & Hsieh, David A., 1985. "An exploratory investigation of the firm size effect," Journal of Financial Economics, Elsevier, vol. 14(3), pages 451-471, September. [Downloadable!] (restricted)
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  1. Francisco J. Goerlich-Gisbert, 1999. "Shocks agregados versus shocks sectoriales. Un análisis factorial dinámico," Investigaciones Economicas, Fundación SEPI, vol. 23(1), pages 27-53, January. [Downloadable!]
  2. Peter Hansen, 2002. "Generalized Reduced Rank Regression," Working Papers 2002-02, Brown University, Department of Economics. [Downloadable!]
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