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

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https://hal-centralesupelec.archives-ouvertes.fr/hal-02358699
Contributor : Pascal Bondon <>
Submitted on : Tuesday, November 12, 2019 - 9:55:28 AM
Last modification on : Wednesday, September 16, 2020 - 4:50:18 PM

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  • HAL Id : hal-02358699, version 1

Citation

Higor Cotta, Valderio 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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