The statistics of time varying cross-sectional information coefficients
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DOI: 10.1057/s41260-022-00295-9
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More about this item
Keywords
Information coefficient (IC); Asymptotic distribution; Information ratio (IR); Factor model; The fundamental law of active management (FLAM);All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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