A Reduced Rank Regression Approach to Tests of Asset Pricing
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Other versions of this item:
- Michele Costa & Attilio Gardini & Paolo Paruolo, 1992. "A reduced rank regression approach to tests of asset pricing," Quaderni di Dipartimento 5, Department of Statistics, University of Bologna.
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Cited by:
- Scott Gilbert & Petr Zemčík, 2005. "Testing for Latent Factors in Models with Autocorrelation and Heteroskedasticity of Unknown Form," Southern Economic Journal, John Wiley & Sons, vol. 72(1), pages 236-252, July.
- 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.
- Peter Hansen, 2002. "Generalized Reduced Rank Regression," Working Papers 2002-02, Brown University, Department of Economics.
- W. M. Tang & K. F. C. Yiu & H. Wong, 2020. "Subset Selection Using Frequency Decomposition with Applications," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 195-220, March.
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