Models for Expected Returns with Statistical Factors
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Cited by:
- Cueto, José Manuel, 2021. "How to explain the cross-section of equity returns through Common Principal Components," DES - Working Papers. Statistics and Econometrics. WS 32258, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- José Manuel Cueto & Aurea Grané & Ignacio Cascos, 2021. "How to Explain the Cross-Section of Equity Returns through Common Principal Components," Mathematics, MDPI, vol. 9(9), pages 1-22, April.
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Keywords
asset pricing; Big Data; bootstrap; cross-sectional regression; factor models; time series;All these keywords.
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