The APT Model as Reduced-Rank Regression
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Cited by:
- Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2019.
"Too good to be true? Fallacies in evaluating risk factor models,"
Journal of Financial Economics, Elsevier, vol. 132(2), pages 451-471.
- Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2017. "Too Good to Be True? Fallacies in Evaluating Risk Factor Models," FRB Atlanta Working Paper 2017-9, Federal Reserve Bank of Atlanta.
- Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014.
"Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty,"
Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
- Feunou, Bruno & Fontaine, Jean-Sébastien & Tédongap, Roméo, 2011. "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics we1144, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers 12-11, Bank of Canada.
- James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
- Anna Pirogova & Antonio Roma, 2020.
"Performance of value‐ and size‐based strategies in the Italian stock market,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(1), February.
- Anna Pirogova & Antonio Roma, 2019. "Performance of Value and Size based Strategies in the Italian Stock Market," Department of Economics University of Siena 814, Department of Economics, University of Siena.
- Ziping Zhao & Daniel P. Palomar, 2018. "Sparse Reduced Rank Regression With Nonconvex Regularization," Papers 1803.07247, arXiv.org.
- Gonzalo Camba-Mendez & George Kapetanios, 2005. "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers 541, Queen Mary University of London, School of Economics and Finance.
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