A Unique Orthogonal Variance Decomposition
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- Clatworthy, Mark A & Pong, Christopher K.M. & Wong, Woon K., 2009. "Auditor Quality and the Role of Accounting Information in Explaining UK Stock Returns," Cardiff Economics Working Papers E2009/9, Cardiff University, Cardiff Business School, Economics Section, revised Oct 2011.
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KeywordsVariance decomposition; Cholesky decomposition; unique orthogonal decomposition and square root matrix;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-05 (All new papers)
- NEP-BEC-2008-05-05 (Business Economics)
- NEP-ECM-2008-05-05 (Econometrics)
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