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(9)
Performance measurement with the arbitrage pricing theory : A new framework for analysis
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DETERMINING THE NUMBER OFF ACTORS IN APPROXIMATE FACTOR MODELS
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Risk and return in an equilibrium APT : Application of a new test methodology
Risk and return in an equilibrium APT : Application of a new test methodology,10.1016/0304405X(88)900621,Journal of Financial Economics,Gregory Conn
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Risk and return in an equilibrium APT : Application of a new test methodology
(
Citations: 143
)
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Gregory Connor
,
Robert A. Korajczyk
Journal:
Journal of Financial Economics  J FINAN ECON
, vol. 21, no. 2, pp. 255289, 1988
DOI:
10.1016/0304405X(88)900621
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www.sciencedirect.com
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linkinghub.elsevier.com
)
Citation Context
(33)
...
Connor and Korajczyk (1986, 1988)
developanewprocedurecalledAsymptoticPrincipalComponent(APC),where thefirst k eigenvectors of the (T × T )covariance matrix are viewed as asymptotically nonsingular linear transformations of the true factors from the (n × n) covariance matrix...
Peter S. Karlsson
.
The Incompleteness Problem of the APT Model
...However, Connor and Korajczyk (
1986
,
1988
,
1993
) note that in static models, the factors can be consistently estimated by principal components as
N
→ ∞ even if
e
_{ it }
is weakly crosssectionally correlated...
Nii Ayi Armah
,
et al.
Seeing Inside the Black Box: Using Diffusion Index Methodology to Cons...
...By contrast,
Connor and Korajczyk (1986, 1988)
pioneered techniques for undertaking dynamic factor analysis when T is fixed and N "# ...
Sydney C. Ludvigson
,
et al.
Macro Factors in Bond Risk Premia
...10 For examples of application of the MLRT, see
Connor and Korajczyk (1988)
and Faff (1992)...
Annette Nguyen
,
et al.
Are the Fama–French factors proxying news related to GDP growth? The A...
...Rothschild (1983) and
Connor and Korajczyk (1986, 1988, 1993)
show that if N goes to...
Borus Jungbacker
,
et al.
Likelihoodbased Analysis for Dynamic Factor Models
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Citations
(143)
Risk and Protective Factors Associated With NonSteroidal Antiinflammatory DrugInduced Small Intestinal Injury in Patients With Rheumatoid Arthritis
Tetsuya Tanigawa
,
Toshio Watanabe
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Yuji Nadatani
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Koji Otani
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Yasuaki Nagami
,
Satoshi Sugimori
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Natsuhiko Kameda
,
Hirotoshi Okazaki
,
Hirohisa Machida
,
Hirokazu Yamagami
,
Kenji Watanabe
,
Kazunari Tominaga
http://academic.research.microsoft.com/io.ashx?type=5&id=49702562&selfId1=0&selfId2=0&maxNumber=12&query=
Journal:
Gastroenterology
, vol. 140, no. 5, pp. S294S294, 2011
9204 ORAL Telomerase Inhibition Affects Fludarabine Sensitivity in Primary Chronic Lymphocytic Leukemia Lymphocytes
M. Shawi
,
L. Amrein
,
S. M. Gryaznov
,
C. Autexier
,
R. Aloyz
Journal:
European Journal of Cancer  EUR J CANCER
, vol. 47, pp. S640S641, 2011
The Incompleteness Problem of the APT Model
Peter S. Karlsson
Journal:
Computational Economics  COMPUT ECON
, vol. 38, no. 2, pp. 129151, 2011
Are disaggregate data useful for factor analysis in forecasting French GDP?
(
Citations: 12
)
Karim Barhoumi
,
Olivier Darné
,
Laurent Ferrara
Journal:
Journal of Forecasting  J FORECASTING
, vol. 29, no. 12, pp. 132144, 2010
Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments
(
Citations: 4
)
Nii Ayi Armah
,
Norman R. Swanson
Journal:
Econometric Reviews  ECONOM REV
, vol. 29, no. 56, pp. 476510, 2010