Online Appendix for Canonical Correlation-based Model Selection for the Multilevel Factors
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More about this item
Keywords
Multilevel Factor Models; Principal Components; Canonical Correlation Difference; Multilevel Asset Pricing Models;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-10-12 (Econometrics)
- NEP-ISF-2020-10-12 (Islamic Finance)
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