Stable Factors in Security Returns: Identification Using Cross-Validation
Recent papers in financial research focus on identifying a stable factor structure for security returns. The likelihood ratio test typically is used to determine the number of factors from exploratory factor analysis models. In this article, we consider the use of cross-validation to identify a stab...
| Veröffentlicht in: | Journal of Business & Economic Statistics. - American Statistical Association, 1983. - 6(1988), 1, Seite 1-15 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1988
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| Zugriff auf das übergeordnete Werk: | Journal of Business & Economic Statistics |
| Schlagworte: | Arbitrage pricing theory Factor analysis Statistical methods in finance Likelihood ratio test Covariance structures Mathematics Applied sciences Economics |