Which factor model? A systematic return covariation perspective
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DOI: 10.1016/j.jimonfin.2023.102865
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More about this item
Keywords
Asset pricing model; Factor model; Model evaluation; Portfolio selection; Out-of-sample;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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