Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models
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More about this item
Keywords
Higher-order multi-cumulants; High-dimensional factor models; Weak factors; Consistency; Eigenvalues;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2024-04-15 (Econometrics)
- NEP-MAC-2024-04-15 (Macroeconomics)
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