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A robust method for estimating the number of factors in an approximate factor model

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hal-02358699 , version 1 (12-11-2019)

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  • HAL Id : hal-02358699 , version 1

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Higor Cotta, Valderio A. Reisen, Pascal Bondon. A robust method for estimating the number of factors in an approximate factor model. International Work-Conference on Time Series, Sep 2019, Granada, Spain. pp.711-722. ⟨hal-02358699⟩
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